January Effect di Indonesia Periode 2017 – 2019
Abstract
The January Effect is one of the seasonal anomalies, which reveals that stock returns in January tend to be higher than in months other than January. This study aimed to examine and analyze the existence of the January effect using abnormal return and trading volume activity (TVA) variables. The presence of the January Effect was researched on companies listed on the Indonesia Stock Exchange (IDX) and continues to be included in the Investor33 Index during 2017-2019. The samples studied were 25 companies. It was selected using purposive sampling method. The results of the normality test showed that the data was not normally distributed. Thus, only the non-parametric test, namely the Wilcoxon Signed Rank Test, can be used as a data analysis technique. Based on the analysis conducted, it was found that there was a significant difference in abnormal returns and no significant difference in TVA in January and other than January. Therefore, it can be concluded that statistically, the January Effect occurred in Indonesia during the test period indicated by abnormal returns.
Keywords: January Effect; Abnormal Return; TVA.
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References
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Wachtel, S. B. (1942). Certain Observations on Seasonal Movements in Stock Prices. The Journal of Business of the University of Chicago, 15(2), 184–193.
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Yudiawan, P. A. & Abundanti, N. (2020). Reaksi Pasar Terhadap Peristiwa Pemilihan Presiden Tahun 2019 di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 9(2), 799-818. https://doi.org/10.24843/ejmunud.2020.v09.i02.p20
Yunita, N. K. E. & Rahyuda, H. (2019). Pengujian Anomali Pasar (January Effect) di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 8(9), 5571-5590. https://doi.org/10.24843/ejmunud.2019.v08.i09.p11
Bursa Efek Indonesia. (2020). http://www.idx.co.id/ Diakses 3 Mei 2020.
Diniar, A. H. & Kiryanto, K. (2015). Analisis Dampak Pemilu Presiden Jokowi Terhadap Return Saham. Jurnal Akuntansi Indonesia, 4(2), 97-108. https://doi.org/10.30659/jai.4.2.97-108
Easterday, K. E. (2015). The January Effect Anomaly: Effect on the Returns-Earnings Association. American Journal of Business, 30(2), 144-146. https://doi.org/10.1108/ajb-08-2014-0048
Eyuboglu, K. & Eyuboglu, S. (2015). Examining the January Effect in Borsa Istanbul Sector and Sub-Sector Indices. International Journal of Economic Perspectives, 10(2), 103-110.
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383–417.
Fama, E. F. (1991). Efficient Capital Markets: II. The Journal of Finance, 46(5), 1575–1617.
Gharaibeh, O. (2017). The January Effect: Evidence from Four Arabic Market Indices. International Journal of Academic Research in Accounting, Finance and Management Sciences, 7(1) 144-150. https://doi.org/10.6007/ijarafms/v7-i1/2590
Handayani, P. S. & Suartana, I. W. (2015). Pengaruh Hari Perdagangan Pada Abnormal Return Dan Volatilitas Return Saham Indeks LQ45. E-Jurnal Akuntansi Universitas Udayana, 10(2015), 916–932.
Hartono, Jogiyanto. (2017). Teori Portofolio dan Analisis Investasi (Edisi Kesebelas). Yogyakarta: BPFE.
Hutami, R. N. & Ardiyanto, M. D. (2015). Abnormal Return Dan Trading Volume Activity Sebelum Dan Setelah Pemilihan Presiden Secara Langsung 9 Juli 2014 (Studi Kasus Pada Saham LQ-45). Diponegoro Journal of Accounting, 4(2).
Jones, C. P. (2012). Investments: Analysis and Management (Twelfth Edition). US of America: MPS Limited.
Kartikasari, L. H. (2016). Pengujian January Effect: Studi Komparasi Pada Bursa Efek Indonesia Dan Bursa Saham Shanghai Periode 2011-2013. Journal of Business & Banking, 6(1), 65-80. https://doi.org/10.14414/jbb.v6i1.896
Kusumawati, T. D. (2017). Fenomena January Effect di Bursa Efek Indonesia Pada Perusahaan Manufaktur Subsektor Food and Beverage. Gema, 9(1), 52-59.
Levy, H. (1992). Stochastic Dominance and Expected Utility: Survey and Analysis. Management Science, 38(4), 555–593.
Meirinanda, N. A. (2018). Analisis Perbedaan Abnormal Return dan Trading Volume Activity Sebelum dan Sesudah Peristiwa January effect di Bursa Efek Indonesia (Event Study pada Sektor Industri Barang Konsumsi Periode 2013-2017). https://dspace.uii.ac.id/handle/123456789/12594
Nursanti, D. (2015). Analisis Perbedaan January Effect dan Rogalsky Effect pada Perusahaan yang Tergabung dalam Jakarta Islamic Indeks di Bursa Efek Indonesia. Jurnal Akuntansi dan Sistem Teknologi Informasi, 13(3), 360-366.
Patel, J. B. (2016). The January Effect Anomaly Reexamined in Stock Returns. Journal of Applied Business Research, 32(1), 317-324. https://doi.org/10.19030/jabr.v32i1.9540
Podgórski, B. (2018). Impact of the January Effect on Return Rates in the Markets of the 2004 EU Enlargement. Journal of Management and Business Administration, 26(1), 27-48. https://doi.org/10.7206/jmba.ce.2450-7814.218
Pradnyaparamita, N. M. W. & Rahyuda, H. (2017). Pengujian Anomali Pasar January Effect Pada Perusahaan LQ45 Di Bursa Efek Indonesia. In E-Jurnal Manajemen Universitas Udayana, 6(7), 3513-3539.
Purwata, I. P. & Wiksuana, I. G. B. (2019). Reaksi Pasar Terhadap Peristiwa Stock Split Di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 8(4), 2302-8912. https://doi.org/10.24843/ejmunud.2019.v08.i04.p17
Ross, S. A. (1977). The Determination of Financial Structure: The Incentive-Signalling Approach. The Bell Journal of Economics, 8(1), 23–40.
Sahin, S., Topaloglu, E. E., & Ege, I. (2018). January Effect Revisited: Evidence from Borsa Istanbul and Bucharest Stock Exchange. International Journal of Economics and Finance, 10(1), 159-166. https://doi.org/10.5539/ijef.v10n1p159
Shahid, M. N. & Mehmood, Z. (2015). Calendar Anomalies in Stock Market: A Case of KSE 100 Index. International Journal of African and Asian Studies 7, 16-22.
Shamshir, M., Baig, J. M., & Mustafa, K. (2016). Evidence of Monthly Anomalies in Pakistan Stock Exchange. Archives of Business Research, 4(6), 312-324. https://doi.org/10.14738/abr.46.2515
Simbolon, I. P. (2015). January Effect of Stock Returns in Indonesia: The Unconditional Method and the Conditional Method. International Business Management, 9(6), 1221-1225. https://doi.org/10.3923/ibm.2015.1221.1225
Spence, M. (1973). Job Market Signaling. The Quarterly Journal of Economics, 87(3), 355-374.
Subhan, M., Hasan, A., & Wijaya, E. Y. (2016). Analisis Perbedaan Abnormal Return dan Volume Perdagangan Saham Sebelum dan Sesudah January Effect pada Saham Indeks LQ 45 di Bursa Efek Indonesia. Jurnal Tepak Manajemen Bisnis 8(3), 1-12.
Sudarvel, J. & Velmurugan, R. (2015). January Effect in Indian Banking Sector with Reference to BSE Bank Index. International Journal of Management Research and Reviews, 5(11), 1066–1071.
Sugiyono, P. D. (2017). Metode Penelitian Bisnis: Pendekatan Kuantitatif, Kualitatif, Kombinasi, dan R&D. Bandung: Penerbit CV. Alfabeta.
Tandelilin, E. (2010). Portofolio dan Investasi: Teori dan Aplikasi (Edisi Pertama). Yogyakarta: Kanisius.
Wachtel, S. B. (1942). Certain Observations on Seasonal Movements in Stock Prices. The Journal of Business of the University of Chicago, 15(2), 184–193.
Wiagustini, N. L. P. (2014). Manajemen Keuangan. Denpasar: Udayana University Press.
Yahoo Finance. (2020). https://finance.yahoo.com/ Diakses 5 Mei 2020.
Yudiawan, P. A. & Abundanti, N. (2020). Reaksi Pasar Terhadap Peristiwa Pemilihan Presiden Tahun 2019 di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 9(2), 799-818. https://doi.org/10.24843/ejmunud.2020.v09.i02.p20
Yunita, N. K. E. & Rahyuda, H. (2019). Pengujian Anomali Pasar (January Effect) di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 8(9), 5571-5590. https://doi.org/10.24843/ejmunud.2019.v08.i09.p11
Published
2021-03-25
How to Cite
RATRINI, Gusti Ayu; SUARTANA, I Wayan.
January Effect di Indonesia Periode 2017 – 2019.
E-Jurnal Akuntansi, [S.l.], v. 31, n. 3, p. 756-768, mar. 2021.
ISSN 2302-8556.
Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/65444>. Date accessed: 24 apr. 2024.
doi: https://doi.org/10.24843/EJA.2021.v31.i03.p18.
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