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All Journal Journal of Business Innovation and Research
Sri Budiwati
UPN Veteran Yogyakarta
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Analysis of Size Effect Anomaly in the Indonesian Stock Exchange: A Study of L-45 Companies for the Period of 2015-2017 Annisa Shabri; Ambar Pujiharjanto; Sri Budiwati
Journal of Business Innovation and Research Vol 2, No 1 (2023): Journal of Business Innovation and Research
Publisher : UPN Veteran Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31315/jubir.v2i1.10018

Abstract

The purpose of this study is to analyze the difference in average stock returns between large-sized companies (SBB) and small-sized companies (SBK) in the Indonesian Stock Exchange, focusing on the LQ-45 companies during the period of 2015-2017. The company size is proxied using the market capitalization approach. The analytical tools employed in this research include descriptive analysis, normality test, and paired sample t-test. The research conducted during the period of 2015-2017 reveals that significant differences exist between the returns of large-sized companies (SBB) and small-sized companies (SBK) in the first semester of 2015, first semester of 2016, first semester of 2017, and second semester of 2017. However, no differences in returns between large-sized companies (SBB) and small-sized companies (SBK) are observed in the second semester of 2015 and second semester of 2016..Keywords : Anomaly, Market Anomalies, Size Effect, Stock Return
Co-Authors Ambar Pujiharjanto Annisa Shabri