Is January Effect Too Influential on Experiencing Shares Decline Profit?

Abstract

This research is included in event study research. Researchers observed whether unusual recoveries occurred before and after the January Effect phenomenon. In the research, researchers tested whether there were differences in abnormal returns before and after the January Effect event and whether there were differences in abnormal returns in each event period. Researchers used 100 periods for the estimation period 20, before January 2023, and 20 periods before the stock exchange's opening in 2024. The research sample used 46 companies from 100 companies registered on Kompas 100 from 1 November 2023 to 31 January 2024. Paired Sample T-test and One Sample T-test were used to test the first and second hypotheses. The research results show no difference in abnormal returns before and after the January Effect event, and there are no abnormal returns in each period of the January Effect event, which only occurs in five periods.