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All Journal JSEH (Jurnal Sosial Ekonomi dan Humaniora) Daya Saing : Jurnal Ilmu Manajemen Distribusi JMM UNRAM (Jurnal Magister Manajemen Universitas Mataram) Jurnal Abdimas Sangkabira ALEXANDRIA: Journal of Economics, Business, and Entrepreneurship
G. A. Sri Oktaryani
Fakultas Ekonomi Dan Bisnis Universitas Mataram
Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Industrial & Manufacturing Engineering Social Sciences Other

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Journal : Distribusi

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ANALISIS JANUARY EFFECT DITINJAU DARI ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY PADA KELOMPOK SAHAM LQ 45 DI BURSA EFEK INDONESIA PERIODE 2010-2016 Rohmi Saofiah; Zainal Abidin; G.A Sri Oktaryani
Distribusi - Journal of Management and Business Vol. 7 No. 1 (2019): Distribusi - Maret 2019
Publisher : Fakultas Ekonomi dan Bisnis Universitas Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29303/distribusi.v7i1.68

Abstract

Penelitian ini bertujuan untuk  melihat fenomena  January effect pada kelompok saham LQ45 yang terdapat di Bursa Efek Indonesia. January effect adalah anomali yang menyajikan abnormal return saham tertinggi terjadi di bulan Januari jika dibandingkan dengan sebelas bulan lainnya. Proksi yang digunakan adalah abnormal return dan trading volume activity. Penelitian ini dilakukan pada 20 perusahaan yang secara statis antara tahun 2010 sampai  tahun  2016  berada  dalam  kelompok  indeks  LQ45  di  Bursa  Efek Indonesia. Metode penentuan sampel yang digunakan adalah purposive sampling. Alat analisis yang digunakan dalam penelitian ini uji beda Paired sample t-tes dan uji Wilcoxon Sign Test. Hasil analisis penelitian menunjukkan bahwa dari sisi abnormal return secara keseluruhan tidak terdapat fenomena January effect pada kelompok saham LQ45 di Bursa Efek Indonesia, begitu juga dari sisi trading volume activity, January effect tidak terjadi pada kelompok saham LQ45 di Bursa Efek Indonesia.
CONTRARIAN STRATEGY: EVIDENCE OF PRICE REVERSAL ON WINNER-LOSER PORTFOLIOS Kusmayadi, Iwan; Suprayetno, Djoko; Wardani, Laila; Abidin, Zainal; Ahyar, Muhammad; Sri Oktaryani, G. A.
Distribusi - Journal of Management and Business Vol. 12 No. 2 (2024): Distribusi, September 2024
Publisher : Fakultas Ekonomi dan Bisnis Universitas Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29303/distribusi.v12i2.583

Abstract

This study aims to analyze the effectiveness of the contrarian strategy by demonstrating the existence of price reversal phenomena in winner-loser stock portfolios on the Indonesia Stock Exchange (IDX). This research differs from previous studies by comprehensively exploring the Indonesian stock market (IDX), which has characteristics distinct from developed countries. Thus, this research contributes new insights to the investment literature in emerging markets. The research approach is quantitative, utilizing monthly data in the form of stock closing prices from all companies listed on the IDX from January 2020 to June 2023, totaling 866 companies, with a selected sample of 670 companies. The hypothesis was tested using an independent sample t-test. The results show that the winner and loser stock portfolios experienced price reversal in the first month after the formation period. However, in the second and third months, the winner stock portfolio did not experience a price reversal but showed significant changes. Meanwhile, the loser stock portfolio experienced price reversals in the first, second, and third months after the formation period. Both portfolios exhibit significant differences in AAR and CAAR values, leading to the general conclusion that price reversal symmetry occurred. Such conditions present opportunities for investors or traders, serving as signals to make contrarian decisions buying loser stocks or selling winner stocks. This phenomenon also provides evidence of the winner-loser anomaly in the Indonesian capital market.
Co-Authors Abdul Mannan, Siti Sofiyah Agustiani, Eka Ahyar, Muhammad ARIF RAHMAN Awafiq Abdurrazak Dewi Rahmasari Herman, Lalu Edy I Nyoman Nugraha Ardana Putra Iwan Kusmayadi Iwan Kusuma Negara Kusmayadi, Iwan Nurmayanti, Siti Rizka Azwar, Sabina Jannatin Rohmi Saofiah Suprayetno, Djoko Suryani, Embun Wardani, Laila Weni Retnowati Zainal Abidin Zainal Abidin