| dc.contributor.advisor | PRARTIWI, AMELIA | |
| dc.contributor.author | SUJEFRI, SUJEFRI | |
| dc.date.accessioned | 2017-04-18T06:00:18Z | |
| dc.date.available | 2017-04-18T06:00:18Z | |
| dc.date.issued | 2017-01-12 | |
| dc.identifier.uri | http://repository.umy.ac.id/handle/123456789/10103 | |
| dc.description | Anomali Fenomena January Effect di Indonesia berbeda dengan negara barat yang kerap terjadi disetiap tahunnya, sehingga banyak para investor dan fund manager yang menjual sahamnya untuk liburan Natal dan Tahun Baru dan membeli ketika di awal bulan pada tahun yang baru. Sedangkan teori Size Effect erat kaitannya dengan saham yang berkapitalisasi kecil cenderung memiliki return yang tinggi dibandingkan dengan saham yang berkapitalisasi besar. Data yang digunakan pada penelitian ini adalah data sekunder dari perusahaan-perusahaan yang terdaftar dan konsisten di ISSI selama periode penelitian Oktober 2011 sampai September 2016. Sampel yang digunakan pada penelitian ini sejumlah 90 emiten dengan metode purposive sampling. Analisis yang digunakan dalam penelitian ini adalah Uji Kruskal-Wallis. Hasil Uji KW menunjukkan bahwa terdapat perbedaan rata-rata return saham bulan Januari dan selain Januari pada ISSI. January Effect hanya terjadi pada tahun 2012 selama periode penelitian dan secara keseluruhan rata-rata return saham ISSI terbesar terjadi pada bulan Maret. Sedangkan Uji KW pada Size Effect diperoleh hasil yang tidak signifikan antara saham berkapitalisasi kecil, sedang dan besar dengan perbedaan return yang tidak nyata. Saham yang berkapitalisasi sedang mempunyai return yang sedikit lebih tinggi dibandingkan dengan saham yang berkapitalisasi kecil dan besar,sehingga disimpulkan fenomena Size Effect terjadi di Indeks Saham Syariah Indonesia (ISSI). | en_US |
| dc.description.abstract | Anomaly phenomenon of January Effect in Indonesia is different from that of western country that often happens in every year, so that there are a lot of investors and fund managers that sell their stock for Christimas and New Year holidays and buy it in the beginning of the month in the year. Meanwhile, Size Effect theory is closely related to the stock with small capitalization and tends to have high return compared to stock with big capitalization. The data used in the research was secondary data from companies that were listed and were consistent in the ISSI during the research period from October 2011 until September 2016. The sample used in the research was 90 issuers with purposive sampling method. The analysis used in the research was Kruskal-Wallis Test. The result of the Kruskal-Wallis Test showed that there was difference in the return stock mean in January and beyond January in ISSI. January Effect only happened in 2012 during the research period and in a whole the biggest ISSI return stock mean happened in March. Meanwhile, Kruskal-Wallis Test on Size Effect, there was a result that was not significant between stock with small, average and big stock capitalization and return difference that was not real. Stock with average capitalization has a return that was a return bit higher compared to stock with small and big capitalization, so that it could be concluded that Size Effect phenomenon happened in Indonesia Sharia Stock Index (ISSI). | en_US |
| dc.publisher | FAI UMY | en_US |
| dc.subject | Anomaly, the January Effect, Size Effect, Stock Return. Anomali, January Effect, Size Effect, Return Saham | en_US |
| dc.title | ANALISIS FENOMENA JANUARY EFFECT DAN SIZE EFFECT BERBASIS RETURN PADA SAHAM YANG LISTING DI INDEKS SAHAM SYARIAH INDONESIA (ISSI) (Periode 2011 – 2016) | en_US |
| dc.type | Thesis
SKR
005 | en_US |
