Abstract
The January Effect occurred as a result companies that have a strategy to improve it is financial statements. The company will sell stocks that have low values at the end of the year and sell shares favorable to attract investment back at the beginning of next year. January Effect the anomaly that serves low stock Return occurred in December and the highest Return ing January. The purpose of this research was to examine whether there is a phenomenon January Effect on Effect Indonesia Stock Exchange and Shanghai Stock Exchange in Period 2011-2013The variables used in this study are the Return, Abnormal Return and trading volume activity. This research was conducted at the company that is static between years 2011-2013 were in a group LQ45 and SSE50 samples that meet the criteria. The model used is the determination of the sample with purposive sampling method. The tools used are Test One-Way ANOVA and Paired Sample (t-test). The results of analysis showed that look Abnormal Return stock and Return there is a difference between January to January in addition to the Indonesia Stock Exchange and Shanghai Stock Exchange by using One-Way ANOVA, while the Paired Sample (t-test) on the Shanghai Stock Exchange there the difference between January to be for January. And for testing of trading volume activity, The January Effect does not occurred in the Indonesia Stock Exchange and Shanghai Stock Exchange.
Highlights
The January Effect occurred as a result companies that have a strategy to improve it is financial statements
January Effect the anomaly that serves low stock Return occurred in December
The variables used in this study are the
Summary
Pasar modal (Capital Market) merupakan pasar yang di dalamnya mengandung instrumen keuangan yang mempunyai nilai jangka panjang (jangka waktu lebih dari 1 tahun) dan dapat diperjualbelikan, baik ekuiti (saham), surat hutang (obligasi), dan reksa dana. Melihat tingkah laku investor dalam melakukan strategi bisnisnya dipengaruhi oleh informasi yang ada pada pasar modal (Wibowo dan Wahyudi 2005). Penelitian lain dilakukan oleh Wibowo dan Wahyudi (2005); Aria dan Utami (2012); Panca (2006); dan Nurul Fauzi (2007) yang melakukan penelitian tentang fenomena January Effect meskipun beberapa peneliti menyimpulkan adanya fenomena January Effect pada sektor tertentu seperti hasil ke-. Meskipun begitu peneli- 6, 1 tian lainnya juga memberikan kesimpulan yang hasilnya tidak adanya January Effect pada masing-masing sample penelitian yang diteliti penelitian sebelumnya. Dengan melihat hasil kesimpulan penelitian yang dilakukan (Nurul Fauzi 2007) menyimpulkan juga bahwa tidak adanya January Effect di pasar modal tiga negara yaitu Indonesia, Bombay, dan Shanghai meskipun rata-rata pengembalian bulan.
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