Analisis Anomali Pasar (January Effect) Pada Bursa Efek Indonesia

Dilla, Velisa Ratna (2022) Analisis Anomali Pasar (January Effect) Pada Bursa Efek Indonesia. Other thesis, Universitas Islam Riau.

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Abstract

Market anomalies are deviation events that occur in the capital market. The existence of an anomaly is a form of disturbing phenomenon in the theory of the efficient capital market hypothesis. This market anomaly rejects the hypothesis of the concept of capital market efficiency which states that investors cannot predict prices and rates of return based on past stock prices caused by random returns, but can be predicted based on the influence of a certain calendar or period. So that this seasonal anomaly can be used by investors to get high abnormal returns . The seasonal anomaly that has a high influence on most of the world's stock prices is the January Effect. This study was conducted to determine the difference in abnormalreturns stockin January and other than January on the Stock Price Index of companies listed on the IDX in the 2019-2021 period. The sample of this research was selected by using purposive sampling method. The data analysis was carried out by descriptive analysis and hypothesis testing. The results of the analysis show that there is no significant difference in abnormalreturns stockin January with months other than January in all companies that are continuously listed on the Indonesia Stock Exchange during the 2019-2021 research period. This means that thephenomenon January Effect does not occur in Indonesia. This is because Indonesia has a different cultural condition from the culture of foreign countries, where thephenomenon January Effect was first discovered in developed countries.

Item Type: Thesis (Other)
Uncontrolled Keywords: Market Anomaly, Abnormal Return, January effect.
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: > Manajemen
> Manajemen
Depositing User: Mohamad Habib Junaidi
Date Deposited: 21 Jul 2022 10:49
Last Modified: 21 Jul 2022 10:49
URI: http://repository.uir.ac.id/id/eprint/12643

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