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All Journal Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan Journal of Advances in Accounting, Economics, and Management
Ulfarizty, Zahra Putri
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Januari efek di Bursa Efek Indonesia, Bursa Efek Amerika, Bursa Efek Jerman, dan Bursa Efek Jepang sebelum, sesaat dan sesudah pandemi Covid-19 Ulfarizty, Zahra Putri; Komariah, Siti
Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan Vol. 5 No. 4 (2022): Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan
Publisher : Departement Of Accounting, Indonesian Cooperative Institute, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32670/fairvalue.v5i4.2617

Abstract

Many factors can affect the movement of stock prices in the capital market. Investors can use these factors as a reference in making investment decisions. One of them is the Market Anomaly. Based on the existing anomalies, the seasonal anomaly is the most frequently studied anomaly seen from its effect on company stock returns. One of the categories of seasonal anomaly is the January Effect. This study aims to find out how the January effect phenomenon is on the Indonesian, American, German, and Japanese Stock Exchanges for the period 2019 - 2021. In addition to knowing whether there are differences in stock returns between January and other months, and to find out whether there are differences in stock returns on the stock exchange effects of Indonesia, America, Germany, and Japan during the study period. The data used is the weekly primary stock price index data for the period January 2019 to December 2021. The research method used is the comparative method and event study. While the analysis technique used is the normality test, homogeneity test, Anova test, and post hoc test. The results showed that there was no January effect on the Indonesian, American, German and Japanese stock exchanges because there was no significant difference in the average stock return value between January and other months.
January Effect Phenomenon on the Indonesian Stock Exchange, America, Germany, Japan, and China for the Period 2019-2023 Ulfarizty, Zahra Putri; Rasulun, Astriati Baso
Journal of Advances in Accounting, Economics, and Management Vol. 3 No. 1 (2025): September
Publisher : Indonesian Journal Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47134/aaem.v3i1.827

Abstract

There are many factors that can affect stock price movements in the capital market. These factors can be used as a reference by investors in making investment decisions. One of them is Market Anomaly. Based on existing anomalies, seasonal anomalies are the most frequently studied anomalies in their influence on company stock returns and one of the categories of seasonal anomalies is the January Effect. This study aims to determine the January Effect phenomenon on the Indonesian, American, German, Japanese and Chinese Stock Exchanges before and after Covid-19 (2019-2023 period). In addition, to find out whether there is a difference in stock returns between January and other months, and to find out whether there is a difference in stock returns on the Indonesian, American, German, Japanese and Chinese stock exchanges during the study period. The data used is the daily main stock price index data from January 2019 to December 2023. The research method used is the comparative method and event study. Previous research results in 2019-2021 showed that there was no January effect on the Indonesian, American, German and Japanese Stock Exchanges because there was no significant difference in the average value of stock returns between January and other months. Furthermore, more in-depth research will be conducted to test whether there is an anomalous January Effect phenomenon on the Indonesian, American, German, Japanese and Chinese Stock Exchanges after the Covid-19 pandemic (case study in the 2022-2023 period)
Co-Authors Rasulun, Astriati Baso Siti Komariah