Analisis january effect pada saham perusahaan-perusahaan LQ 45 di bursa efek Jakarta periode 2004-2005
Permadi, Danu Tirtayana, Prof. Dr. Mas'ud Machfoedz, MBA.,Ak
January Effect is a phenomenon where average return in January is higher than other months. This research uses stocks which enlist in Jakarta Stock Exchange at 2004- 2006 and include in LQ-45 list as samples. The sample grouped based on company size (big and small companies). Examination using t-test is done to prove does January Effect happen at the period.The result of examination which has been done indicates that January Effect did not happen at all of sample stocks. It did not happen although the stocks were grouped into two groups based on firm's size. Nevertheless, size effect happened during the research period.
Kata Kunci : January effect, abnormal return, size effect
