<![CDATA[The biggest stock exchanges in Indonesia is the Jakarta Stock Exchange (JSE),
which is also known by the name of its foreign Jakarta Stock Excange (JSX).
Securities traded on the JSE are preferred shares (Preferred stock), shares of
common stock (common stock), rights (rights), and convertible bonds (convertible
bonds). Common shares dominate trading volume on the JSE.
Based on the data that has been collected and analyzed from this study is that the
return tends to fall in December and rose in January. For stock return obtained
more meaningful for financial and trade sectors should investors buy shares in
February, March, April, May, September, October, November, and December.
Then sell these shares in January, June, July, August. Empirical evidence shows
that the average stock return in February, March, April, May, September, October,
November and December tend to be lower than in January, June, July, August
tends to be higher.
Based on the results of this study occurred in the January effect on the Jakarta
Stock Exchange company that belongs to the group LQ 45 in the study period
2004-2006. With the January effect phenomenon occurred in the Jakarta Stock
Exchange, it can be concluded if a capital market anomaly then have a capital
market is efficient in the form of half-strength (semi-strong) and are not efficient
in weak form. This study rejected a previous study Sukmawati and Herman
(2001) which states that at the Jakarta Stock Exchange, although there are
differences in stock returns in January are higher than in September but has no
significant effect. The results of this study also shows that investors can earn
higher returns by exploiting poal monthly returns that occurred in the Jakarta
Stock Exchange.
Keywords: January effect, Jakarta Stock Exchange, Return.]]>
