Sell in May and Go Away in Small & Big Companies on Indonesia Stock Exchange

Abstract

The study was conducted to prove the occurrence of market abnormalities phenomena, namely, sell in May and go away on the Indonesian Stock Exchange (IDX). By distinguishing stocks based on their size from stock prices as indicators, it is expected to see more accurate results in revealing this phenomenon. The hypothesis in this study is that there are differences in stock returns in May-October and November-April. The results of the study prove that there are no differences in stock returns in May-October and in November-April both in small companies and large companies. Although it is proven that there is no sell in may affect and go away on the IDX, the difference in average stock returns in May-October and Nov-April in small companies is -1.56%, indicating that small companies have a negative average return. While the difference in the average return of large companies in May-Oct and Nov-Apr is 0.09%.