January Effect on Stock in Jakarta Islamic Index (JII)

Abstract

January is the month in which investors expect to get an abnormal return because companies start new activities in another year, the company's reaction can create a reaction to the price of its shares. At the beginning of the year or in January investors are hoping to get a higher return. The purpose of this study was to determine the differences in abnormal returns before and after January in the Jakarta Islamic Index (JII) in the Indonesian Stock Exchange from 20 13 to 201 7. Samples were determined by purposive sampling technique, with criteria: (1) The company always active during the JII publication period, namely from January 2013 to December 201 7, because if the data is not available then the results will be biased; (2) Companies that belong to the JII group from 2013 to 2017, which are always included in the consecutive research period; and (3) Having complete transaction data during the observation period is in accordance with the research variable. Based on these criteria, 14 samples were obtained. This study included an event study with a 5-year observation period. Testing the research hypothesis using analytical techniques Different tests (t-test). The test results showed that there were no differences in abnormal returns before and after January in the Jakarta Islamic Index (JII) on the Indonesia Stock Exchange, in other words the January effect was not proven in this study.