JANUARY EFFECT DAN SIZE EFFECT PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA.
Abstract: Capital market is
called efficient if the prices in the market reflect all the information that may
be obtained by investors. In the efficient market there is no possibility to
obtain abnormal returns, although in practice there are things that are
deviant, called anomalies. This study aims to examine and analyze the existence
of the January Effect and Size Effect on stock returns in the Indonesia Stock
Exchange (BEI) in 2007-2012. The method used is to test whether there are differences
in the value of Average Abnormal Return (AAR) before and after January 1, to investigate
the January effect, and statistical tests used independent T-test. While to
examine whether there is the Effect Size see whether differences Average
Cumulative Abnormal Return (ACAR) between small capitalization stocks with
large capitalization stocks in January and statistical tests used paired
T-test. The results of this study prove that there is no January Effect and
Size Effect on test periods.
Penulis: Aulia Rahma Yani, Made
Sudarma
Kode Jurnal: jpakuntansidd131433
