January Effect Phenomenon on the Indonesian Stock Exchange, America, Germany, Japan, and China for the Period 2019-2023
DOI:
https://doi.org/10.47134/aaem.v3i1.827Keywords:
Stock Returns, January Effect January Effect on the Indonesian, American, German, Japanese and Chinese Stock ExchangeAbstract
There are many factors that can affect stock price movements in the capital market. These factors can be used as a reference by investors in making investment decisions. One of them is Market Anomaly. Based on existing anomalies, seasonal anomalies are the most frequently studied anomalies in their influence on company stock returns and one of the categories of seasonal anomalies is the January Effect. This study aims to determine the January Effect phenomenon on the Indonesian, American, German, Japanese and Chinese Stock Exchanges before and after Covid-19 (2019-2023 period). In addition, to find out whether there is a difference in stock returns between January and other months, and to find out whether there is a difference in stock returns on the Indonesian, American, German, Japanese and Chinese stock exchanges during the study period. The data used is the daily main stock price index data from January 2019 to December 2023. The research method used is the comparative method and event study. Previous research results in 2019-2021 showed that there was no January effect on the Indonesian, American, German and Japanese Stock Exchanges because there was no significant difference in the average value of stock returns between January and other months. Furthermore, more in-depth research will be conducted to test whether there is an anomalous January Effect phenomenon on the Indonesian, American, German, Japanese and Chinese Stock Exchanges after the Covid-19 pandemic (case study in the 2022-2023 period)
References
Balaz, M. (2011). DAX’s January 2008 Crash: A Routine Correction or Outright Panic. SSRN Electronic Journal, January. https://doi.org/10.2139/ssrn.1419543
Erick, M. C. J., Miranda, G., Sandra, D., Argueta, E., Wacher, N. H., Silva, M., Valdez, L., Cruz, M., Gómez-Díaz, R. A., Casas-saavedra, L. P., De Orientación, R., Salud México, S. de, Virtual, D., Instituto Mexicano del Seguro Social, Mediavilla, J., Fernández, M., Nocito, A., Moreno, A., Barrera, F., … Faizi, M. F. (2016). No 主観的健康感を中心とした在宅高齢者における 健康関連指標に関する共分散構造分析Title. Revista CENIC. Ciencias Biológicas, 152(3), 28.
FARIANTIN, E., SETIAWATI, E., & ASDIANSYURI, U. (2024). Analisis Abnormal Return Dan Trading Volume Activity Untuk Mengukur Terjadinya Januari Effect Pada Kelompok Saham Indeks Lq 45 Di Bei. Ganec Swara, 18(1), 296. https://doi.org/10.35327/gara.v18i1.761
Jannah, R., & Hidayat, N. (2024). Market Anomalies: January Effect and Weekend Effect on Stock Return. Jurnal Ilmu Keuangan Dan Perbankan (JIKA), 13(2), 325–334. https://doi.org/10.34010/jika.v13i2.12783
Li, J., & Gong, J. (2015). Volatility Risk and January Effect: Evidence from Japan. International Journal of Economics and Finance, 7(6), 25–30. https://doi.org/10.5539/ijef.v7n6p25
Maros, H., & Juniar, S. (2016). 済無No Title No Title No Title. 1–23.
Nasicha, D. (2018). Pengaruh Return on Equity (Roe), Current Ratio (Cr), Debt To Equity Ratio (Der), Dan Earning Per Share (Eps) Terhadap Return Saham Pada Perusahaan Property Real Estate Yang Terdaftar Di Bei Periode 2014 - 2016. Untag Surabaya, 7–22.
Patel, J. B. (2016). The january effect anomaly reexamined in stock returns. Journal of Applied Business Research, 32(1), 317–324. https://doi.org/10.19030/jabr.v32i1.9540
Ratrini, G. A., & Suartana, I. W. (2021). January Effect di Indonesia Periode 2017 – 2019. E-Jurnal Akuntansi, 31(3), 756. https://doi.org/10.24843/eja.2021.v31.i03.p18
Rumawas, N. E., Mertha, M., Suaryana, I. G. N. A., & Wirawati, N. G. P. W. (2024). Pengaruh January Effect Dan Month Of The Yearr effect Terhadap Perusahaan Yang Tercatat Di Indeks lq45 Tahun 2020-2022. Jurnal Ilmiah Wahana Pendidikan, 10(2), 685–696.
S. Chandrasekhar, F. R. S., & Laily Noor Ikhsanto, jurusan teknik mesin. (2020). No 主観的健康感を中心とした在宅高齢者における 健康関連指標に関する共分散構造分析Title. Liquid Crystals, 21(1), 1–17.
Sari, F., & Sisdyani, E. (2014). Analisis January Effect Di Pasar Modal Indonesia. E-Jurnal Akuntansi, 6(2), 237–248.
Trisnadi, M. M., Bagus, I., & Sedana, P. (2016). Pengujian Anomali Pasar: Day of the Week Effect Pada Saham Lq-45 Di Bursa Efek Indonesia Fakultas Ekonomi dan Bisnis Universitas Udayana (Unud), Bali, Indonesia Pasar modal merupakan suatu mekanisme ekonomi dengan aktivitas perdagangan surat berharga. E-Jurnal Manajemen Unud, 5(6), 3794–3820.
Ulfarizty, Z. P., & Komariah, S. (2022). Januari efek di Bursa Efek Indonesia, Bursa Efek Amerika, Bursa Efek Jerman, dan Bursa Efek Jepang sebelum, sesaat dan sesudah pandemi Covid-19. Fair Value: Jurnal Ilmiah Akuntansi Dan Keuangan, 5(4), 1819–1829. https://doi.org/10.32670/fairvalue.v5i4.2617
Windarsih, E. (2020). Pengaruh Keputusan Pendanaan, Kebijakan Deviden, Keputusan Investasi dan Leverage Terhadap Nilai Pperusahaan (Pada Perusahaan Perbankan Yang Terdaftar Di Bursa Efek Indonesia Periode 2017 - 2019).
www.cnbcindonesia.com
www.databoks.katadata.co.id/:2021
www.finance.detik.com
www.finance.yahoo.com
www.idxchannel.com/:2022
www.investing.com
Yunita, N. K. E., & Rahyuda, H. (2019). Pengujian Anomali Pasar (January Effect) Di Bursa Efek Indonesia. E-Jurnal Manajemen Universitas Udayana, 8(9), 5571. https://doi.org/10.24843/ejmunud.2019.v08.i09.p11
Downloads
Published
How to Cite
Issue
Section
