ANALISIS PERBEDAAN ABNORMAL RETURN DAN VOLUME ERDAGANGAN SAHAM SEBELUM DAN SESUDAH JANUARY EFFECT PADA SAHAM INDEKS LQ 45 DI BURSA EFEK INDONESIA

Abstract

January is the month of the commencement of trading in every year, in this month
investors expect to get high returns from the previous year. In January the stock price is
likely to increase from the previous month. This phenomenon by investors and capital
market analysts are called the January effect. Anomalies January effect can be used by
investors in making decisions to buy, sell or retain stocks held.Factors that influence the
January effect are the selling pressure made by investors at the end of the year to reduce
taxes (tax lost selling) and a Window Dressing, this is namely the selling of the stocks that
have performed poorly in the end year conducted by financial managers with the aim to
report the stock portfolio performance reporting at the end of the year will be look good at
the performance. Besides both cases increasing macro economic growth and optimism of
investors on government policies also affect the stock price increases earlier in the
year.This study examined differences Abnormal Return and Trading Volume Activity
before and after the January Effect in LQ 45 stocks in the Indonesia Stock Exchange
period 2013 to 2015. This study uses event study analysis model. The method used is the
Wilcoxon test, a method to determine the difference in abnormal return and trading volume
of the stock before and after the January effect.Results of analysis Wilcoxon test with level
of significance (α), a 5% showed that the difference was significant abnormal returns in
2013 and 2014, while the views of the Trading VolumeActivity significant difference
occurred from 2013 to 2015.