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JANUARY EFFECT ON THE INDONESIAN STOCK MARKET

Volume: 70  ,  Issue: 1 , February    Published Date: 09 February 2021
Publisher Name: IJRP
Views: 24  ,  Download: 16
DOI: 10.47119/IJRP100701220211714

Authors

# Author Name
1 Monica Belinda Kusuma, S.M.
2 Dr. Yanuar Dananjaya, B.Sc., M.M.
3 Dr. Cicilia Erna Susilawati , S.E., M.Si.

Abstract

This study examines the January Effect, by not only comparing returns per year with returns in January, but also comparing returns per year with returns in other months. Thus, this study can determine whether there is a significant difference in January (January effect) on LQ45 company shares, or there is no significant difference in January, but there is a significant difference in other months. In order for this research to be ceteris paribus (isolating the effects of other factors beyond what was studied), this research will eliminate events that occur in companies that affect stock returns. When there is an event that affects return, the 1 week period is omitted. This study aims to test whether there is a January effect in Indonesia, by comparing the daily average return each month with the daily average return a year, using the Mann Whitney U Test analysis method, which is a non-parametric test where the dependent variable data scale is the interval / ratio or ordinal that is not normally distributed. This test can determine the median of 2 independent groups. By testing the average return per month, this study can prove whether there is a significant difference in January, or whether there is a significant difference in other months. The results of data processing in this study stated that there were 4 months where the results were significant, namely January, September, November, and December. Of these four months with significant results, January and December had significantly higher yields. Meanwhile, September and November had significantly lower results. From these results, it can be concluded that a significantly higher result in January indicates that there is a January Effect in Indonesia. In December, the yield was significantly higher due to Window dressing.

Keywords

  • Stock Return
  • daily average return
  • annual average return
  • january effect