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All Journal Matrik: Jurnal Manajemen, Strategi Bisnis, dan Kewirausahaan E-Jurnal Manajemen Universitas Udayana Inobis: Jurnal Inovasi Bisnis dan Manajemen Indonesia
Ni Ketut Purnawati
Fakultas Ekonomi Dan Bisnis Universitas Udayana
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Journal : Matrik: Jurnal Manajemen, Strategi Bisnis, dan Kewirausahaan

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Testing of January Effect on the Indonesian Capital Market: Sectoral Analysis of GARCH Models I Gusti Bagus Wiksuana; Ni Ketut Purnawati; I Made Surya Negara Sudirman.
Matrik : Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan Volume 15 Nomor 2 Tahun 2021
Publisher : Universitas Udayana

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (444.403 KB) | DOI: 10.24843/MATRIK:JMBK.2021.v15.i02.p12

Abstract

January Effect is the stock returns in January are higher than other months. This study uses the Generalized Autoregresive Conditional Heteroscedasticity (GARCH) method to test and analyze the January Effect in the Indonesian capital market from 2000 dd. 2018. The novelty of this study is a research methodology that classifies samples by sector and period on the January Effect test. The results of this study indicate that the January Effect occurs in several sectors and period. The January Effect occurs in the mining sector, consumer goods sector, property sector, and trade sector. Thus, the results of this study confirm the tax loss selling hypothesis and window dressing hypothesis in several sectors and observation periods. This shows that the January Effect is related to the characteristics of the sector and the period of observation.
Co-Authors A. A. Sagung Putra Pradnya Paramitha Dame Prawira Silaban Dewa Ayu Anjani Dewa Gede Eka Narendra Putra Dina Paulina I Gusti Bagus Wiksuana I Gusti Made Diah Windari I Made Ivan Adiwinata I Made Surya Negara Sudirman I Made Wirayuda Dinata I Putu Adi Sanjaya I Putu Pujanam Surya Buana I Putu Putra Adi Darmawan I Wayan Edi Suliastawan Ida Ayu Aishwarya Rai Ida Ayu Gede Dewi Ida Bagus Nyoman Puja Wijaya Kiky Jenitha Rosalia Made Ratih Nurmalasari Nelly Agustina Musabbihan Ni Kadek Ratna Sari Ni Kadek Ratna Sari Ni Luh Putu Mita Dani Puspita Ni Luh Putu Pratiwi Lestari Ni Putu Tara Damayanti Dewi Nina Sufiana Putu Sri Puspytha Ratnasari Tri Satya Pradnyandari