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All Journal Jurnal Akuntansi : Kajian Ilmiah Akuntansi (JAK) IJBE (Integrated Journal of Business and Economics) Kompartemen : Jurnal Ilmiah Akuntansi Inovator : Jurnal Manajemen MONETER Neraca Keuangan : Jurnal Ilmiah Akuntansi dan Keuangan Jurnal Manajemen Strategi dan Aplikasi Bisnis Abdi Dosen : Jurnal Pengabdian Pada Masyarakat Oikonomia: Jurnal Manajemen eCo-Fin Jurnal Ekonomika Manajemen Dan Bisnis Moneter : Jurnal Keuangan dan Perbankan JAKBS JEBD Jurnal Harmoni: Jurnal Akuntansi dan Keuangan Journal of Business Economics and Management Jurnal Penelitian dan Pengabdian Masyarakat Jurnal Pengabdian Nusantara Manager : Jurnal Ilmu manajemen
Denia Maulani
Universitas Ibn Khaldun Bogor
Religion Agriculture, Biological Sciences & Forestry Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Law, Crime, Criminology & Criminal Justice Public Health Social Sciences

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Market Anomaly (January Effect) in the Indonesian Capital Market Maulani, Denia; Hanifan, M. Zakie; Azmia, Nora; Aliyah, Hikmatul; Salamah, Defina Hantin Fikri
Neraca Keuangan : Jurnal Ilmiah Akuntansi dan Keuangan Vol. 20 No. 3 (2025)
Publisher : Fakultas Ekonomi dan Bisnis Universitas Ibn Khaldun Bogor

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32832/neraca.v20i3.22242

Abstract

The company's strategy to improve its financial performance is to sell stocks that are expected to incur losses. This study uses secondary data on closing stock prices on the Indonesia Stock Exchange (IDX30) for the study period of 2020 to 2024. The January effect occurs when there is a difference in return values in January compared to other months. The variables used in this study include stock returns, abnormal returns, and trading volume activity. A company's strategy to improve its financial performance involves divesting stocks projected to incur losses at low prices at the end of the year and repurchasing large amounts, boosting the prices of stocks deemed to have good future prospects. The market anomaly discussed in this study is the January Effect. Investors and financial managers will divest stocks projected to incur losses. Another reason is to reduce taxes on stock ownership. When January is optimistic and data analysis is strong, they will repurchase large amounts, boosting the prices of stocks deemed to have good future prospects.This study was conducted to determine the best ARIMA model for the January Effect anomaly, reflecting the differences in stock returns in January compared to other months for companies listed on the Indonesia Stock Exchange (IDX). The dynamic market conditions in each research period illustrate the need for a study on testing market anomalies in the Indonesian Capital Market by providing important information regarding the potential and a real picture of the prospects and potential returns at the beginning of the year. The study results show several model estimations for abnormal return including ARMA (2,0), ARMA (0,3) and ARMA (2,3). The best ARIMA model estimation is ARMA (2.3) represented by the equation Y_t=β_0+β_1 Y_(t-1)+β_2 Y_(t-2)+e_t+α_1 e_(t-1)+α_2 e_(t-2)+α_3 e_(t-3). The January effect is indicated by the discovery of abnormal returns, fitting within the semi strong form of the efficient market hypothesis. Meanwhile, the best model for trading volume activity is ARMA (1,1) with the equation for the model being Y_t=β_0+β_1 Y_(t1)+α_0 e_t+α_1 e_(t-1). Market anomalies are indicated by the discovery of abnormal returns, which is in line with the efficient market hypothesis.
Pengaruh Modified Value Added Intellectual Capital terhadap Efisiensi Operasional Bank: Moderasi Good Corporate Governance Ahmad Fauzan; Desmy Riani; Denia Maulani
eCo-Fin Vol. 8 No. 2 (2026): eCo-Fin
Publisher : Komunitas Dosen Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32877/ef.v8i2.3877

Abstract

Transformasi industri perbankan di era digital mendorong perusahaan untuk meningkatkan efisiensi operasional melalui pengelolaan aset tidak berwujud, khususnya intellectual capital. Namun, penelitian mengenai pengaruh intellectual capital terhadap efisiensi operasional masih menunjukkan hasil yang tidak konsisten, terutama terkait efektivitas masing-masing komponen Modified Value Added Intellectual Capital (MVAIC) dan peran Good Corporate Governance (GCG) sebagai variabel moderasi. Penelitian ini bertujuan menganalisis pengaruh Human Capital Efficiency (HCE), Structural Capital Efficiency (SCE), Relational Capital Efficiency (RCE), dan Capital Employed Efficiency (CEE) terhadap efisiensi operasional perbankan yang diproksikan melalui BOPO, serta menguji peran GCG sebagai variabel moderasi pada bank KBMI 3 dan KBMI 4 periode 2021–2024. Penelitian menggunakan pendekatan kuantitatif dengan data sekunder yang diperoleh dari laporan tahunan perusahaan. Sampel penelitian terdiri dari 13 bank dengan total 52 observasi yang dipilih menggunakan purposive sampling. Analisis data dilakukan menggunakan regresi data panel melalui Random Effect Model (REM) dan Moderated Regression Analysis (MRA) menggunakan EViews. Hasil penelitian menunjukkan bahwa HCE, SCE, dan CEE meningkatkan efisiensi operasional, sedangkan RCE tidak berpengaruh signifikan terhadap BOPO. GCG secara umum belum mampu memoderasi hubungan intellectual capital terhadap efisiensi operasional, kecuali pada hubungan RCE terhadap BOPO. Temuan penelitian menunjukkan bahwa efisiensi operasional perbankan lebih dipengaruhi pengelolaan sumber daya internal dibandingkan hubungan eksternal perusahaan.
Pengaruh ESG terhadap Kinerja Keuangan dengan Ukuran Perusahaan sebagai Variabel Moderasi (Studi pada Perusahaan Manufaktur Subsektor Makanan dan Minuman yang Terdaftar di Bursa Efek Indonesia) Marwah Marwah; Immas Nurhayati; Denia Maulani
Journal of Business Economics and Management | E-ISSN : 3063-8968 Vol. 3 No. 1 (2026): Juli - September
Publisher : GLOBAL SCIENTS PUBLISHER

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

This research aims to analyze the effect of Environmental, Social, and Governance (ESG) implementation on financial performance, examine the effect of company size on financial performance, and evaluate whether company size moderates the relationship between ESG implementation and financial performance in manufacturing companies listed on the Indonesia Stock Exchange (IDX). The research method used is a quantitative associative approach. The population consists of food and beverage sub-sector manufacturing companies listed on the IDX for the 2020–2024 period. Using purposive sampling, 12 companies were selected, resulting in 60 observation data points. Data analysis was conducted using SPSS through descriptive statistics, classical assumption tests, multiple linear regression, Moderated Regression Analysis (MRA), t-test, F-test, and the coefficient of determination. The results show that ESG implementation has a positive and significant effect on financial performance proxied by Return on Assets (ROA). Company size also has a positive and significant effect on financial performance, and significantly moderates and strengthens the positive effect of ESG implementation on financial performance. Simultaneously, ESG and company size significantly affect financial performance, with an explanatory power of 42.1%. Future research is recommended to incorporate other variables such as leverage, liquidity, corporate governance, or operational efficiency.
Co-Authors ., Rachmatullaily Adawiyah, Siti Robiatul Aditya Pratama, Gilang Ahmad Fauzan Alfarizy, M. Farhan Aliyah, Hikmatul Amelia Rahmawati Anak Agung Dewi Megawati, Anak Agung Dewi Ananda, Syakira Rezky Arfa Maynanda Artasya, Andini Nabilah Ayu Wulandari Azolla Degita Azis Bimo, Widhi Aryo Chayati, Nurul Desmy Riani Dewi Megawati diah ayu Diah Yudhawati Dian Kurniawati Dian Kurniawati Ecin Kuraesin Fadilah, Imas Nur Fitriani, Melinda Hanifan, M. Zakie Hanifan, Muhammad Zakie Hannisa Rahmaniar Hannisa Rahmaniar Hasnin Hendri Maulana Hikmatul Aliyah Hurriyaturrohman Hurriyaturrohman Indupurnahayu Istirhamiyah, Siti Komalasari Kurniawan, Fero Laksamana, Patria M. Imam Sundarta Marlina, Asti Marwah Marwah Muhamad Azis Firdaus Muhammad Farhan Muhammad Farhan Muhammad Iqbal Muhammad Iqbal Muhammad Reza Mulyana, Muhammad Ugi N. A. Rumiasih Nora Azmia Nugroho, Agung Nurhayati, Immas Octaviani, Niken Octavya, Vera Dwi Oktaviani, Sita Puspita Sari Rachmatullaily Tinakartika Rinda Rahmah Hermawan, Siti Nabila Ramadhany, Tsaltsa Putri Ramdani, Ali Nurdin Ratnawati, Dini Renea Shinta Aminda Rian Sopian Rinda, Rachmatullaily Tina Kartika Ristianti, Diah Ayu Rumiasih, NA. Rumiasih, Neng Aas Salamah, Defina Hantin Fikri Saputra, Andika Guruh Septiyani, Fitria Ika Sopian, Rian Sukaesih, Putri Endang Supramono Syahdiany, Geny Syahrum Agung Tidokartika, Shinta Arum Titing Suharti Widhi Ariyo Bimo Yasfa, Maria Yenti, Deni Rahma Yuni Wulandari