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      • 03. DISSERTATIONS AND THESIS
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      •   UMY Repository
      • 03. DISSERTATIONS AND THESIS
      • Students
      • Undergraduate Thesis
      • Faculty of Islamic Studies
      • Department of Economics and Islamic Banking
      • View Item
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      ANALISIS FENOMENA JANUARY EFFECT DAN SIZE EFFECT BERBASIS RETURN PADA SAHAM YANG LISTING DI INDEKS SAHAM SYARIAH INDONESIA (ISSI) (Periode 2011 – 2016)

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      Date
      2017-01-12
      Author
      SUJEFRI, SUJEFRI
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      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).
      URI
      http://repository.umy.ac.id/handle/123456789/10103
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      • Department of Economics and Islamic Banking

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