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International Journal of Academic Research in Business and Social Sciences

Open Access Journal

ISSN: 2222-6990

Analysis of the Difference Abnormal Return between January Effect and October Effect in Making Investment Decisions

Laila Marta Zarika, Unun Khoirun Nisak, Rista Nurfadila Pristianti

http://dx.doi.org/10.6007/IJARBSS/v9-i12/6748

Open access

Investors want a positive return in every investment activity. Yield obtained can be calculated from how many abnormal returns are generated. However, sometimes the price of shares on the stock exchange does not reflect real information or is called a market anomaly. Market anomalies that are often encountered are the January Effect and October Effect. Therefore, this study aims to determine the difference in abnormal returns between January Effect and October Effect in investment decision making. This research was conducted on companies listed on the LQ45 Index on the Indonesia Stock Exchange (IDX) using data for the 2015-2018 period. The research method used was purposive sampling, with a sample of 33 companies. The type of data used is secondary data. The data collected was analyzed using the normality test method before testing the hypothesis. Testing the hypothesis in this study using the Paired Sample T-test and Wilcoxon Signed Rank Test. The results showed that there was no difference in abnormal return between January Effect and October Effect on the Indonesia Stock Exchange (IDX).

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In-Text Citation: (Zarika et al., 2019)
To Cite this Article: Zarika, L. M., Nisak, U. K., & Pristianti, R. N. (2019). Analysis of the Difference Abnormal Return between January Effect and October Effect in Making Investment Decisions. International Journal of Academic Research in Business and Social Sciences, 9(12), 533–545.