Efek Bulan Januari Pada LQ 45 2007-2009

• Main Authors: , Khumairatul Adawiyah, , Dr. Supriyadi, M.Sc.
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2011
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/90183/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=51099
• Institution: Universitas Gadjah Mada

This paper planned to examine the January effect as an anomaly in the LQ 45 at 2007 until 2009. The existence of January effect, for the investor themselves made them gain an abnormal return, which is it become significantly higher than the result from the other eleven month. When it comes to the end of the year, investor for generally made a decision by ignoring the information they had. The object for this paper is the index LQ 45, which is there are 45 corporation listed in it, for the period of time written in the paper title. Data in this paper are secondary data, collected from the academic research journal and the official website of Indonesia Stock Exchange. This paper computed the stock�s return from the closing price for every corporate everyday, counted the average return for every month, and using statistical testing to compare the difference for every return in every month. Using T-test to define the difference return from January and the other eleven month, this research found that January effect occurred in the index LQ 45, although it existence is not happen regularly. From the T-test that show us, the return itself is not highly significant from the other eleven month.