Matrik: Jurnal Manajemen, Strategi Bisnis, dan Kewirausahaan
Volume 15 Nomor 2 Tahun 2021

Testing of January Effect on the Indonesian Capital Market: Sectoral Analysis of GARCH Models

I Gusti Bagus Wiksuana (Universitas Udayana)
Ni Ketut Purnawati (Universitas Udayana)
I Made Surya Negara Sudirman. (Universitas Udayana)

Article Info

Publish Date
08 Aug 2021

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.

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

Abbrev

jmbk

Publisher

Universitas Udayana

Subject

Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

Description

Matrik:Jurnal Manajemen, Strategi Bisnis dan Kewirausahaan is a scientific journal published by the Department of Management, Faculty of Economics, Udayana University which aims to publish articles of empirical and theoretical studies in the field of marketing management, finance, human resources, ...