International Journal of Business, Humanities, Education and Social Sciences
Vol 1 No 2 (2019): International Journal of Business, Humanities, Education and Social Sciences

ANALYSIS OF JANUARY EFFECT ON BIG STOCK COMPANIES AND SMALL STOCK COMPANIES AT INDONESIA STOCK EXCHANGE

Addinpujoartanto, Nur Ariefin (Unknown)



Article Info

Publish Date
31 Dec 2019

Abstract

January Effect is one of market anomaly where the stock returns in January are higher than other months. Some of causes the January Effect are the actions of investor who carry out tax-loss selling and windows dressing. In addition, investors have different views to choose stocks, based on market capitalization dan risk. This study is purposed to find the January Effect in the Indonesia Stock Exchange and January Effect on small company stock is stronger than large company stock. The data is normally distributed using the One-Sample Kolmogorov-Smirnov test. The test using the OLS method with dummy variable at five percent significance level. By using a sample of 30 large company stocks and 30 small company stocks based on market capitalization during period 2013-2017, the result of this study found a January Effect in the Indonesia Stock Exchange. But the January Effect doesn?t occur on small company stock, except on large company stock during that periode.

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Journal Info

Abbrev

IJBHES

Publisher

Subject

Humanities Economics, Econometrics & Finance Education Languange, Linguistic, Communication & Media Social Sciences

Description

The International Journal of Business, Humanities, Education and Social Sciences (IJBHES) is a periodical publication for research activities in the fields of business, humanities, education and social science studies. The results of the research in this journal are then expected to be used to ...