Pengaruh Sell in May and Go Away terhadap Saham Lq-45 DI Indonesia Periode 2015-2018

Abstract

In carrying out activities in the capital market there are many factors that can influence, such as policies, market anomalies and unexpected natural events. The phenomenon that makes stocks fluctuate, especially during winter, is commonly known as Sell in may and go away. This research uses an event study approach and is quantitative in nature. The data used is secondary data. The research was conducted on LQ45 index companies on the Indonesian Stock Exchange (IDX) in 2015-2019. Selection of the sample using purposive sampling technique. The observation period used in this study was 5 years from 2015 to 2019. The test used in this study was the Paired Sample T-test. The test results show that on the LQ45 index on the Indonesia Stock Exchange, the average sell-in return is not higher than the average return in other months during the study period.