Analisis abnormal return saham dan trading volume activity sebelum dan sesudah January Effect

Fadillah, Firhan Java and Welkom, Syahfitri Suryaningsi and Muslim, Ahmad (2023) Analisis abnormal return saham dan trading volume activity sebelum dan sesudah January Effect. Discussion Paper. Fakultas Ekonomi dan Bisnis UAI, Jakarta. (Unpublished)

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Abstract

This study aims to determine the difference between abnormal returns and trading volume activity before and after the January effect in companies listed on the Jakarta Islamic Index for the 2016-2020 period. This research is a comparative research using event study. The population in this study are companies listed on the Jakarta Islamic Index for the 2016-2020 period. The sample collection method in this study was purposive sampling and obtained 12 samples of companies. The data used in this research is secondary data. The data analysis method used is the paired sample t-test and the Wilcoxon signed rank test. The results of the Wilcoxon signed rank test show that there is no significant difference in abnormal returns before and after the January effect on companies listed on the Jakarta Islamic Index for the 2016-2020 period. The results of the Wilcoxon signed rank test show that there is no significant difference in trading volume activity before and after the January effect on companies listed on the Jakarta Islamic Index for the 2016-2020 period.

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