Analisis Anomali Pasar “January Effect dan The Day of The Week Effect” pada Return Saham Perusahaan IDX30 yang Terdaftar di BEI (Bursa Efek Indonesia) Periode Januari 2020 – Februari 2021

Abstract

Abstract. This study aims to test whether there are differences in stock returns so as to determine the occurrence of the January Effect and The Day of The Week Effect phenomena on the IDX30 index listed on the IDX (Indonesian Stock Exchange) during January 2020 - February 2021. The sampling technique used is purposive sampling method. The sample used is 22 companies that are consistently listed on the IDX30 index during the study period. The data used are monthly and daily stock returns derived from closing price data. The data analysis technique of this study used the Mann Whitney U Test and Kruskal Wallis methods. The results showed that there were differences in monthly stock returns during the study period, but there was no evidence of the January Effect phenomenon because the average return in January was negative. In addition, it shows that there are differences in daily stock returns during the study period, the average positive and highest daily stock returns occur on Fridays and the average negative daily stock returns and the lowest occurs on Mondays so that the phenomenon of The Day of The Week Effects is proven.

Abstrak. Penelitian ini bertujuan untuk menguji apakah terdapat perbedaan return saham sehingga mengetahui terjadinya fenomena January Effect dan The Day of The Week Effect pada indeks IDX30 yang terdaftar di BEI (Bursa Efek Indonesia) selama Januari 2020 – Februari 2021. Teknik pengambilan sempel yang digunakan yaitu metode purposive sampling. Sempel yang digunakan yaitu 22 perusahaan yang konsisten terdaftar di indeks IDX30 selama periode penelitian. Data yang digunakan adalah return saham bulanan dan harian yang berasal dari data closing price. Teknik analisis data penelitian ini menggunakan metode Mann Whitney U Test dan Kruskal Wallis. Hasil penelitian menunjukan bahwa terdapat perbedaan return saham bulanan selama periode penelitian, namun tidak terbukti adanya fenomena January Effect karena rata-rata return pada bulan Januari negatif. Selain itu, menunjukan bahwa terdapat perbedaan return saham harian selama periode penelitian, rata-rata return saham harian positif dan tertinggi terjadi pada hari Jumat dan rata-rata return saham harian negatif dan terendah terjadi pada hari Senin sehingga terbukti adanya fenomena The Day of The Week Effect.