Market Anomalies: January Effect in Indonesia Stock Exchange and Kuala Lumpur Stock Exchange Period 2015-2019

Abstract

This research aims to find out how the phenomenon of the January effect in the Indonesia Stock Exchange and Kuala Lumpur Stock Exchange period 2015-2019. In addition to knowing if there is a difference in stock returns between January and other months in the Indonesia Stock Exchange and Kuala Lumpur Stock Exchange period 2015-2019, and to find out if there is a difference in stock returns to the Indonesia Stock Exchange and Kuala Lumpur Stock Exchange period 2015-2019. The research method used in this study is comparative. The population in this study is the entire index recorded in the period 2015-2019. The sample determination technique used in this study is non-probability sampling with purposive sampling method, so the sample in this study amounts to 2 indices namely Indonesia Stock Exchange and Kuala Lumpur Stock Exchange. The data analysis used in this study is an independent different test analysis of t-test samples and ANOVA different tests using SPSS Verse 25. The results showed there was no significant difference in the average return of shares between January and other months on the Indonesia Stock Exchange for the period 2015-2019. Then there was no significant difference in the average return of shares between January and other months on the Kuala Lumpur Stock Exchange for the period 2015-2019. And there is no significant difference between the average return of shares on the Indonesia Stock Exchange and the Kuala Lumpur Stock Exchange for the period 2015-2019.