JANUARI EFFECT IN THE INDONESIAN STOCK EXCHANGE: COMPARISON OF BIG AND SMALL CAP STOCKS

Ardiansyah Japlani

Abstract


Researchers have detected in the financial markets the presence of the January effect, which refers to the historical patterns of higher returns in January than that of the other months(Feb-Dec). This study investigates that the exixtence of January effect on small capitalization stocks is much stronger than the big capitalization stocks in Indonesian stock exchange. We found that there is no January effect in Indonesian Stock Exchange. We explain this phenomenon by examining all stocks, as measured by the t test and analysis regression of dummy. We still use the similiar procedure by using t test and dummy regression, but the sample is divided into big and small capitalization stocks. We found that the January effect is stronger for big capitalization stocks than the small capitalization stocks.

 

Keywords: Stock returns, Big capitalization stocks, small capitalization stocks, T test, and Regression of dummy.

Full Text:

PDF

References


Agrawal and K. Tendon. February 1994, “Anomalies or Illusions? Evidence from stock Markets in Nineteen Countries.” Journal of International Money and Finance, V. 13(1), 83-106.

Banz, Rolf W., 1981. “The relationship between return and market value of common stocks, Journal of Financial Economics.” March, 3-18.

Brown, P., Keim, D., Kleidon, A. and Marsh, T. 1983. “Stock Return Seasonalities and Tax-Loss Selling Hypothesis-Analysisi of the Arguments and Australian Evidence.”, Journal of Financial Economics, 12, 105-127.

Bruce I. Jacobs and Kenneth N. Levy, CFA. 1999. Enhached active equity portfolios are trim equitized long-short portofolios *revised.

Cadsby, C. B. 1989. Canadian Calender Anomalies and the Capital Asset Pricing Model, in R. M. C. Guimaraes, B. G. Kingsman and S. J. Taylor (eds.) A Reappraisal of the efficiency of financial Markets. Berlin: Springer-Verlag, 199-226

Constantinides, George M. 1984. “Optimal Stock Trading with Personal Taxes: Implications for Prices and The Abnormal January Returns.” Journal of Financial Economics, v13(1), 65-89.

Darwedi., 2002. “Study of January effect, size effect dan low share price effect”, University of Gajah Mada, Yogyakarta.

Eugene F. Fama, “Random Walks in Stock Market Prices, “Financial Analysts Journal, September/October. 1965 (reprinted and revised January-February 1995).

Eugene F. Fama. “The behaviour of stock-Market Prices,” Journal of Business, XXXVIII (January, 1965), 34-105.

Gultekin, M. And Gultekin, N.B. 1983. Stock Market Seasonality: International Evidence, Journal of Financial Economics, 12, 469-81.

Haugen R., and P. Jorion. 1996. “The January Effect: still there after all these years.” Financial Analyst Journal 52:27-31.

Haugen, R. A and Lakonishok, J. 1988. The Incredible January Effect, Homewood, IL: Dow Jones-Irwin.

Haugen, R. A. and Wichern, D. 1973. The Diametrics of the Capital Gains Tax on the Stability of Stock Prices, Journal of Finance, 28, 987-96.

Jones, C.P., Pearce, D.K. and Wilson, J.W. 1987. Can Tax-Loss Selling Explain the January Effect? A Note, Journal of Finance, 42, 453-61.

Keim, D., 1983, “Size Related Anomalies and Stock Market Seasonality; Further Empirical Evidence. “Journal of Financial Economics, 12: 12-32.

Lakonishok, Josef, Andrei Shleifer, Richard Thaler, and Robert Vishny, 1991, Window dressing by pension fund managers, American Economic Review, Papers and Proceedings 81, 227-231.

Manurung A.H., 2001. “Weekend effect and January effect on JSX”. Manajemen Usahawan Indonesia, March 30th 2001 : 28-34.

Reinganum, Marc R., 1983. “The Anomalous Stock Market Behaviour of Small Firms in January: Empirical Tsts for Tax-Loss Selling Effect,” Journal of Financial Eonomics, vol.12,pp.89-104.

Rozeff, M., and W. Kinney. 1976. “Capital Market Seasonality: The case of stocks Returns.” Journal of Financial Economics 3: 379-402.

Rogalski, Richard J., and Seha M. Trinic, “The January SizeEffect: Anomaly or Risk Mismeasurement?” Financial Analysts Journal, Vol. 42, No. 6, November – December 1986, pp. 63-70.

Schwert, G. William. “Anomalies and Market Efficiency, “in Constantinides, George M., Milton Harris, and Rene M. Stulz 2003 Handbook of the Economics of Finance, Elsvier.

Sindang. 1997, “Testing January effect of Manufactur Company in JSE, Indonesia.

Twain, M. 1981. Pudd’nhead Wilson, Toronto:Bantam Books.

Ulansari., 2002. “The explanotary power of moving average beta in the January effect”, University of Gajah Mada, Yogyakarta.

Wachtel, S. 1942. “Certain Observation on Seasonal Movements in Stock Prices.” Journal of Business 15: 184-193.

W. Sharpe, G. Alexander. & J. Bailey. 1999. “Investment.” Prentice Hall


DOI: 10.24127/akuisisi.v11i2.20

DOI (PDF): https://doi.org/10.24127/akuisisi.v11i2.20.g18

Article Metrics

Abstract view : 628 times
PDF - 293 times

Refbacks

  • There are currently no refbacks.



Creative Commons License
Akuisisi is licensed under a Creative Commons Attribution 4.0 International License

Flag Counter

Web
Analytics View My Stats

Print ISSN : 1978-6581 Online ISSN : 2477-2984

Adress:

Fakultas Ekonomi dan Bisnis (FEB)Universitas Muhammadiyah Metro , Jl. Ki Hajar Dewantara No. 116 Iringmulyo, Metro Timur, Kota Metro, Lampung 34111.

Telephone: (0725)42445-42454

Email: akuisisijurnal@gmail.com