The Effect of Covid- 19 on January Effect Events on Index Lq45 as the Basis of Investor Decision Making
DOI:
https://doi.org/10.52218/ijbtob.v2i3.194Abstract
This study aims to determine the differences in stock prices, abnormal returns , and trading volume activity of the LQ45 Index in the January effect before the 2019-2020 COVID- 19 and the January effect during the 2021-2022 covid -19 event. This study uses a quantitative approach. The data collection technique used is the documentation method and the library method. The data source used is secondary data in the form of financial statements of companies listed in the LQ45 index stock on the IDX. The sampling technique used is purposive sampling with a total of 24 companies. The data analysis method used is the analysis of the average difference test with the observation period ( event window ) is 10 days at the beginning of the year opening in January. The results of this study indicate that there is no significant difference in stock prices and abnormal returns in the January effect event during the occurrence of covid -19, while in trading volume activity there is a significant difference in the January effect event and during the occurrence of covid -19.
Keywords: January effect , Stock Price, Abnormal Return , Trading Volume Activity , LQ45.
Downloads
References
Bachelier, L. 1900. Thorie de la speculation. Pzaris: Gauthier – Villars. Translated by A. J. Boness. In the random character of stock market prices, edited by p. Cootner. Cambridge: MIT Press.
Brown, S, J., dan J. B. Wearner. 1985. Using Daily Stock Returns: The Case of Event Studies. Journal of Finacial Economics 14 : 3 - 31
Darman. (2018). Apakah Terjadi Fenomena January Effect di Indonesia ?. Jurnal Riset Akuntansi Keuangan Vol.6 No.1 hal.73-80
Hadi, Nor. (2013). Pasar Modal: Acuan Teoritis dan Praktis Investasi di Intrumen Keuangan Pasar Modal. Edisi Pertama Cetakan Pertama. Yogyakarta: Graha Ilmu.
Halim, Abdul. (2018). Analisis Investasi dan Apilikasinya: Dalam Aset Keuangan dan Aset Riil, Edisi Kedua. Jakarta Selatan: Salemba Empat.
Fama, E, F. (1970). EFFICIENT Capital Market: A Review of Theory and Emprical Work. Journal of Finance (1970). hal 383-417.
Fitriyani, Indah dan Sari, Maria M. Ratna. (2013). Analisis January Effect Pada Kelompok Saham Indeks LQ-45 Di Bursa Efek Indonesia Tahun 2009-2011. E-Jurnal Akuntansi Universitas Udayana 4.2 hal. 421-438
Foster, G. (1986). Financial Statement Analysis, Second Edition. Englewood Cliffs New Jerssey: Printice Hall Internasional.
Jogianto. (2013). teori Portofolio dan Analisis Investasi, Edisi 8, Yogyakarta: BPFE.
Khan, K. Et al (2020). The Impact of Covid-19 Pandemic on Stock Markets : An Empirical Analysis Of World Major Stock Indices. Journal of Asian Finance, Economic and Business, hal.195-202.
Liu, H. Et al (2020). The Covid-19 Outbreak and Affeeted Countries Stock Market Response. Internasional Journal of Environmental Research and Public Health, hal.1-19.
Muliati, Ni Ketut (2020). Pengaruh Perekonomian Indonesia di Berbagai Sektor Akibat Corona Virus Disease 2019 (Covid-19). Widya Akuntansi dan Keuangan Universitas Hindu Indonesia Edisi Agustus 2020 hal.78-95
Norvaisiene, R; Stankeviciene, J, dan Lakstutiene, A. (2015). Seasonality in the Baltic Stock Market. Procedia-Social and Behavioral Science, hal.469-473
Perez, Gerardo “Gerry” Alfonso. (2018). Does the January Effect Still Exists ?. International Journal of Financial Research vol.9 No.1 hal.50-73
Pradnyaparamita, Ni Made W dan Rahyuda, Henry. (2017). Pengujian Anomali Pasar January effect Pada Perusahaan LQ45 di Bursa Efek Indonesia. E-Jurnal Manajemen Unud. Vol.6, No.7 hal.3513-3539
Sharpe W. F, Alexander G.J, dan Bailey J. V. 1995. Investment. Prantice Hall New Jersey.
Sugianto danang. 2020. Perjalanan IHSG Sejak RI Positif Virus Corona. Dalam https://finance.detik.com/bursa-dan-valas/d-4972595/perjalanan-ihsg-sejak-ri-positif-virus-corona, diakses 24 September 2021.
www.idx.co.id, diakses 28 April 2021
Yunita, N.K.E dan Rahyuda, H. (2019). Pengujian Anomali Pasar (January Effect) di Bursa Efek Indonesia, Jurnal Manajemen Unud, vol. 6, no. 7, hal.3514- 3523
