PENGUJIAN ANOMALI PASAR JANUARY EFFECT PADA PERUSAHAAN LQ45 DI BURSA EFEK INDONESIA
ABSTRACT: This experiment aims
to determine the presence of abnormal stock returns in January and the other in
that LQ45 companies listed in Indonesia Stock Exchange. The test results using
SPSS through t test, showed that the average abnormal stock returns were
highest in January which amounted -0.02055 and lowest in other months is equal
to -7.23661. The test results showed
between the two variables is -0.210 with a significance of 0.075>
0.05 means that there is no correlation anatara before and after the January
Effect. An increase in abnormal stock return of 0.2102 or 0.04 as a result of
the January effect phenomenon. Abnormal Return on average before and after the
January effect in the period February 2009 - January 2014 in the amount of
-7.216 with a standard deviation of 14.618, t amounting to -4.454 with a
significance of 0. Significance (2-tailed) showed 0.000 <0.05, there are
significant differences in the abnormal stock returns in January with a month
other than January of the LQ45 companies on the stock Exchange during the study
period.
KEYWORDS: return, abnormal
return, January Effect
Penulis: Ni Made W
Pradnyaparamita, Henny Rahyuda
Kode Jurnal: jpmanajemendd170138
