期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2019
卷号：9
期号：12
页码：533-545
DOI：10.6007/IJARBSS/v9-i12/6748
语种：English
出版社：Human Resource Management Academic Research Society
摘要：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).
