ANALYSIS OF JANUARY EFFECT ON THE JAKARTA ISLAMIC INDEX (JII) GROUP ON THE INDONESIA STOCK EXCHANGE (IDX)

Abstract

The capital market is indicator for measuring the economic condition of a country. The efficient market is based on the Efficient Market Hypothesis (EMH), which has random stock price movements or random walks. The January Effect is a market anomaly that occurs when stock prices tend to increase in January compared to the following months. This research aims to determine the January Effect phenomenon in terms of stock returns and abnormal returns in the Jakarta Islamic Index (JII) stock group in 2022. Data collection uses purposive sampling techniques with predetermined criteria. The research sample consisted of 22 companies from a total population of 30 companies included in the JII group. Test the research hypothesis using the one-way ANOVA test with the assumption that the data is normally distributed and homogeneous. The research results based on a review of stock returns have a significance value of 0.636 and abnormal returns with a significance value of 0.634, which means that the January Effect phenomenon does not occur in the stock group in JII in 2022.