Abstract
January is the month in which investors expect to get an abnormal return because companies start new activities in another year, the company's reaction can create a reaction to the price of its shares. At the beginning of the year or in January investors are hoping to get a higher return. The purpose of this study was to determine the differences in abnormal returns before and after January in the Jakarta Islamic Index (JII) in the Indonesian Stock Exchange from 20 13 to 201 7. Samples were determined by purposive sampling technique, with criteria: (1) The company always active during the JII publication period, namely from January 2013 to December 201 7, because if the data is not available then the results will be biased; (2) Companies that belong to the JII group from 2013 to 2017, which are always included in the consecutive research period; and (3) Having complete transaction data during the observation period is in accordance with the research variable. Based on these criteria, 14 samples were obtained. This study included an event study with a 5-year observation period. Testing the research hypothesis using analytical techniques Different tests (t-test). The test results showed that there were no differences in abnormal returns before and after January in the Jakarta Islamic Index (JII) on the Indonesia Stock Exchange, in other words the January effect was not proven in this study.
Highlights
People today tend to invest more often, one reason is the increasing need for life and the need for guarantees in old age
Discussion of research result: The results of this study prove that there is no difference in the abnormal return in January (January effect) in the Jakarta Islamic Index (JII) in 2013 until 2017
Shares included in the Jakarta Islamic Index (JII) are not affected by the phenomenon of the January effect or investors tend to use the concept of capital market efficiency
Summary
People today tend to invest more often, one reason is the increasing need for life and the need for guarantees in old age. Communities tend to be more selective in choosing the type of investment to be made. Arieyani (2012), said that investors in investing their funds certainly need special consideration, especially to take into account the risk and return they will receive. Investors can determine the position of selling, buying or holding a stock in the capital market based on the information obtained. Companies on the one hand, as those who need funds can raise funds through the capital market by selling their shares to the public or issuing bonds. Investors as parties who have funds can use the capital market as an alternative investment to gain profits
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