Analisis January Effect Pada Return Dan Abnormal Return Perusahaan Agribisnis Di Bursa Efek Indonesia

Abstract

The January Effect is a market anomaly phenomenon that occurs in the stock market which is stock returns in January are higher than other months. There are 3 phenomena that interest researchers in analyzing the existence of the January Effect, especially in agribusiness sector companies on Indonesia Stock Exchange during the 2019-2023 period. From 2019 to 2022 there is the Covid-19 phenomenon. From 2020 to 2022 there is a phenomenon of conflict between Russia and Ukraine. In 2023 there will be a phenomenon of Russia leaving the Black Sea Grain Initiative agreement. These three phenomena influence global and domestic food security. This research aims to analyze the existence of the January effect on returns and abnormal returns in agribusiness companies listed on the Indonesia Stock Exchange during the 2019-2023 period. Researchers used the T test data analysis method, which is the Independent Sample T-test for data that is normally distributed and the Mann-Whitney U test for data that is not normally distributed. The research results show that if you look at the stock returns of agribusiness companies on the IDX, the January Effect only occurs in 2019 and 2023, whereas if you look at the abnormal returns, the January Effect only occurs in 2023. Overall for the 2019-2023 period, January The effect does not occur in Indonesia especially, in the Agribusiness sector on the Indonesian Stock Exchange.