Analisis January Effect di Pasar Saham Indonesia (Studi Kasus Saham Indeks LQ45 Tahun 2016-2020)

Abstract

The January effect Anomaly that have been in Indonesian stock market inconsistent. However, the existence of January effect anomaly create a potential risk which negative return in the non-January trading month. This study aims to identify the characteristic of January effect anomaly in Indonesian stock market and the impact to the stock abnormal returns in long term five years. Sample of this research are 27 stock in stock index LQ45 from 2016 to 2020. The analytical tool used in this study is multiple linear regression with data panel method. The findings of this study are the January effect anomaly only occurs in some stock in stock index LQ45, and the peak period was in 2018 and 2019. Regression test found that the January effect anomaly does not have a significant effect on stock abnormal returns. This results have implications for investors so as not to overreact to the January effect anomaly. As well as maintaining the efficient condition of the Indonesian stock market by conducting fair share trading.