Analisis Pengaruh January Effect terhadap return Saham dan Indeks Harga Saham Gabungan di Bursa Efek Jakarta: Periode 2002-2006

Erawati, Rosita, Wiwin Rahmanti, S.E., M.Com., Ak

2008 | Skripsi | S1 Extention - Accounting

Penelitian ini dilakukan guna menguji adanya anomali January Effect di Bursa Efek Jakarta dengan menggunakan data dari 2002-2006. Apakah return saham dan Indeks Harga Saham Gabungan di Bursa Efek Jakarta pada bulan Januari menunjukkan nilai lebih tinggi dibandingkan bulan-bulan lain. Data yang digunakan adalah data harga saham bulanan dan Indeks Harga Saham Gabungan. Metode yang digunakan adalah One Way ANOVA dan Post Hoc Test yaitu Multiple Comparison. Hasil penelitian ini menunjukkan selama periode 2002-2006 tidak terdapat fenomena January Effect. Kata Kunci : January Effect, Market Efficiency

The purpose of this research is to investigate the persistence of seasonality in stock returns and Index (January Effect Phenomenon). Using data from 2002-2006 to determinate whether the influence of January Effect on stock returns and Jakarta Composite Index have changed over the 2002-2006 time period. Data employed stocks and Jakarta Composite Index price. One Way ANOVA and Post Hoc Test to Multiple Comparison can be used to answer the purpose research. The result of this research is no January Effect on stock return and Jakarta Composite Index from 2002-2006. Key Word : January Effect, Market Efficiency

Kata Kunci : January Effect, Market Efficiency; return Saham; Bursa Efek; Indeks Harga Saham