Analisis January Effect pada Saham Perusahaan LQ-45 di Bursa Efek Indonesia

Dwi Cahyaningdyah; Dhany Kurniawan Putra

doi:10.30588/jmp.v2i2.276

Analisis January Effect pada Saham Perusahaan LQ-45 di Bursa Efek Indonesia

Dwi Cahyaningdyah^(1*), Dhany Kurniawan Putra⁽²⁾,

(1) Universitas Negeri Semarang
(2) Universitas Negeri Semarang
(*) Corresponding Author

Abstract

The purpose of this research is to examine about the existence of a January Effect in the Indonesia stock exchange. Research samples used purposive sampling. Sample consists 30 companies based on sampling criteria. Analysis of data used one sample kolmogorov-smirnov to test data normality and to test hypotheses using one sample t-test. The result shows January Effect didn’t exist in Indonesia stock exchange in the period 2011- 2012. This can be seen that although the value of average return in January showed significant but the average return was not the highest, the highest average return was occurred on June.

Keywords

January effect; stock return

Full Text:

PDF

References

Ahmad, Z dan Simon Hussain. 2001. KLSE Long Run Overreaction and The Chinese New Year Effect. Journal of Business Finance and Accounting. Vol 28, p.1-2.

Andreas, dan Ria Daswan. 2011. January Effect pada Perusahaan LQ-45 Bursa Efek Indonesia 2003-2008. Dalam Jurnal Ekonomi, 19(3): h:11-21.

Aria Nagastara dan Siti Rahmi Utami. 2012. Analysis of January Effect in Indonesian Bangking Sector During the Period of 2005-2012. European Journal of Economic, Finance and Administrative Sciences, Issue 49(2012).

Aryati. 2013. The Influence of Total Assets, Inflation, The Bank’s Indonesia Certificate, and The Exchange Rate on The Return Share of Banking Companies Registered at The Indonesia Stock Exchange. Jurnal Kebangsaan, Vol 2 No.3, Januari 2013, ISSN: 2089-5917.

Cahyaningdyah, Dwi dan Rini Setyo Witiastuti. 2010. Analisis Monday Effect dan Rogalski Effect di Bursa Effek Jakarta. Jurnal Dinamika Manajemen, Vol. 1, No. 2 2010, pp:154-16.

Fauzi, Nurul. 2007. Analisis Fenomena Anomali Pasar January Effect dan Korelasi di antara Tiga Emerging Stock Market Asia Periode 2000-2006. dalam Jurnal Akuntansi dan Manajemen, 2(2): h:63-77.

Fitriyani, Indah dan Maria M. Ratna Sari. 2013. Analisis January Effect pada Kelompok Saham Indeks LQ-45 di Bursa Efek Indonesia Tahun 2009-2011. E-Jurnal Akuntansi Universitas Udayana 4.2 (2013): 421-438.

Ghozali, Imam. 2011. Aplikasi Analisis Multivariate dengan Program IBM SPSS19. Semarang: Badan Penerbit Universitas Diponegoro.

Gumanti, Tatang Ari, dan Elok Sri Utami, 2002, “Bentuk Pasar Efisien dan Pengujiannya”, Jurnal Akuntansi dan Keuangan, Vol. 4, No. 1: 54-68.

Hamid, K., et al. 2010. Testing the Weak form of Efficient Market Hyphotesis: Empirical Evidence from Asia-Pasific Markets. International Research Journal of Finance and Economics, 58: h: 121-133.

Kamaludin. 2010. Bagaimana Keberadaan January Effect di Bursa Asia. Trikonomika, Vol 9, No 1, Juni 2010. Hal 1-10.

Pandiangan, Octavianus. 2009. Analisis Anomali Pasar Hari Perdagangan pada Return Saham di Bursa Efek Indonesia. Skripsi Jurusan Manajemen pada Fakultas Ekonomi Universitas Sumatera Utara.

Pratomo, Agus Wahyu. 2007. January Effect dan Size Effect pada Bursa Efek Jakarta (BEJ) Periode 1998-2005. Tesis Magister Manajemen pada Fakultas Ekonomi Universitas Diponegoro.

Rendra, Tomy. 2004. Analisis Fenomena Efek Januari di Bursa Efek Jakarta Periode 1997-2001. dalam Jurnal Bisnis dan Manajemen, 4(1): h:1-17.

Sugiyono. 2010. Metode Penelitian Kuantitatif Kualitatif dan R&D. Bandung: Alfabeta.

Suharsimi, Arikunto. 2010. Prosedur Penelitian: Suatu Pendekatan Praktik (Edisi Revisi). Jakarta: Rineka Cipta.

Tandelilin, Eduardus. 2010. Portofolio dan Investasi: Teori dan Aplikasi. Jakarta: Kanisius Aksara.

Yoga. 2010. Analisis Fenomena January Effect terhadap Return Pasar di Bursa Efek Indonesia. STIE Atma Bhakti Surakarta. Riset Manajemen dan Akuntansi, Vol 1, No 2 Edisi November 2010.

Wahana, Komputer. 2009. “Pengolahan Data Statistik dengan SPSS 16.0”. Jakarta: Salemba Empat.

Werastuti, Desak Nyoman Sri. 2012. Anomali Pasar pada Return Saham : The Day of Week Effect, Week Four Effect, Rogalsky Effect, dan January Effect Jurnal Ilmiah Akuntansi dan Humanika JINAH. Vol 2 no. 1, Desember. 2012.

Willibroad, Tongma M and Kamta Celestin. 2011. Is there a January Effect In the Swedish Krona?. Department of Economics School of Sustainable Development of Society and Technology Mälardalen University, Box 883, 72132 Västerås Sweden.

DOI: https://doi.org/10.30588/jmp.v2i2.276