JANUARY EFFECT IN THE INDONESIAN STOCK EXCHANGE: COMPARISON OF BIG AND SMALL CAP STOCTKS
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 existence of January effect on small capitalization stocks is much str...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2012
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| Summary: | 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 existence of January effect on small capitalization
stocks is much stronger than the big capitalization stocks in Indonesia stock exchange. We
found that there is no January effect in Indonesian Stocks Exchange. We explain this
phenomenon by examining all stocks, as measured by the t test and analysis regression of
dummy. We still use the similar 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. |
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