Pengujian Kembali January Effect dan Ramadhan Effect Pada Saham Syariah dan Saham Non-Syariah di Bursa Efek Indonesia Periode 2010-2014
Intan Permatasari (Adv.: Prof.Dr.Eduardus Tandelilin,M.B.A), Prof.Dr.Eduardus Tandelilin,M.B.A
Penelitian ini bertujuan untuk menguji kembali anomali pasar January Effect dan Ramadhan Effect pada Saham Syariah dan Saham Non-Syariah di Bursa Efek Indonesia periode 2010-2014. Data didapatkan melalui Financial Market Update (FMU) FEB UGM dan diolah dengan menggunakan metode regresi. Penelitian ini menggunakan return bulanan dari IHSG (Indeks Harga Saham Gabungan) dan JII (Jakarta Islamic Indeks) selama periode penelitian. Metode sampling yang digunakan adalah purposive sampling. Data sekunder pada penelitian ini diperoleh sebanyak 139 sampel saham non-syariah dan 15 sampel saham syariah,
Hasil yang didapat dari penelitian ini adalah terdapat fenomena January Effect pada saham syariah dan non-syariah, terdapat fenomena Ramadhan Effect pada saham syariah dan tidak terdapat fenomena Ramadhan Effect pada saham non-syariah.
This research aims to reexamine the market anomaly of the January Effect and the Ramadhan Effect on Sharia and non-Sharia stock in the Indonesian stock exchange period 2010 - 2014. The data was obtained through Financial Market Update (FMU) FEB UGM and was treated using regression methods. This research is using the monthly information published by IHSG ( Indeks Harga Saham Gabungan) and JII ( Jakarta Islamic Indeks ). Purposing sampling is the sampling method that was used. From this secondary research as much as 139 samples of the non-Sharia stock and 15 samples of the Sharia stock were taken.
The results of this research proves that there is a January Effect phenomenon on the Sharia and non-Sharia stocks. There is also a Ramadhan Effect phenomenon on the Sharia stock but not on the non-Sharia stock.
Kata Kunci : Market Anomaly, January Effect, Ramadhan Effect, Sharia Stock, Non-Sharia Stock
