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  • 标题:JANUARY EFFECT DAN SIZE EFFECT PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA
  • 作者:Aulia Rahma Yani ; Made Sudarma ; Yeney Widya Prihatiningtias
  • 期刊名称:EL-MUHASABA
  • 印刷版ISSN:2086-1249
  • 出版年度:2014
  • 卷号:4
  • 期号:2
  • 语种:English
  • 出版社:Jur. Akuntansi Fak. Ekonomi
  • 摘要:Capital market is called efficient if the prices in the market reflect all the information that may be obtained by investors. In the efficient market there is no possibility to obtain abnormal returns, although in practice there are things that are deviant, called anomalies. This study aims to examine and analyze the existence of the January Effect and Size Effect on stock returns in the Indonesia Stock Exchange (BEI) in 2007-2012. The method used is to test whether there are differences in the value of Average Abnormal Return (AAR) before and after January 1, to investigate the January effect, and statistical tests used independent T-test. While to examine whether there is the Effect Size see whether differences Average Cumulative Abnormal Return (ACAR) between small capitalization stocks with large capitalization stocks in January and statistical tests used paired T-test. The results of this study prove that there is no January Effect and Size Effect on test periods.
  • 关键词:January Effect;Effect Size;Average Abnormal Return;Cumulative Average Abnormal Return
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