ABSTRAK
PENGARUH JANUARY EFFECT TERHADAP RETURN SAHAM PERUSAHAAN LQ 45 DI BURSA EFEK INDONESIA
Penelitian ini berjudul “Analisis Pengaruh January Effect Terhadap Return Saham Perusahaan LQ 45 di Bursa Efek Indonesia”. Data penelitian ini menggunakan data harga saham harian di Bursa Efek Indonesia untuk tahun 2010 sampai 2014. Tujuan dari penelitian ini adalah untuk mengetahui dan menganalisis apakah terdapat pengaruh January effect terhadap return saham perusahaan LQ 45 di Bursa Efek Indonesia.
Variabel yang digunakan dalam penelitian ini adalah January effect sebagai variabel bebas serta return saham sebagai variabel terikat. Variabel yang digunakan adalah hubungan pengaruh antara harga saham 10 hari sebelum Januari (pre January 1) terhadap return saham post January 1 (10 hari pertama di bulan Januari), harga saham post January 1 (10 hari pertama di bulan Januari) terhadap return saham post January 2 (10 hari kedua dibulan Januari) kemudian setelah melakukan perbandingan tersebut dilanjutkan dengan menganalisis January effect. Metode analisis yang digunakan adalah Analisis Deskriptif dan Analisis Regresi Linier Sederhana.
Pada uji regresi linear sederhana, menunjukkan nilai koefisien determinasi pada hipotesis pertama sebesar 0,035 dimana kemampuan variabel January effect terhadap return saham adalah sebesar 3,5% sedangkan sisanya sebesar 96,5% dijelaskan oleh variabel lain yang tidak diteliti dalam penelitian ini. Pada hipotesis kedua koefisien determinasi sebesar 0,152% dimana kemampuan variabel January effect terhadap return saham adalah sebesar 15,2% sedangkan sisanya sebesar 84,8% dijelaskan oleh variabel lain. Pada uji t, untuk hipotesis 1 dan 2 diketahui bahwa variabel January effect secara parsial tidak berpengaruh signifikan terhadap return saham.
ABSTRACT
THE ANALYSIS OF JANUARY EFFECT ON SHARE RETURN IN ORGANIZATION LQ 45
INDONESIAN STOCK EXCHANGE
The title of research is “The Analyis of January Effect on Share Return in Organization LQ 45 Indonesian Stock Exchange”. This research used data of daily share price in Indonesian Stock Exchange of 2010 – 2014. The objective of research would be to know and analyze of January effect on share return in Organization LQ 45 of Indonesian Stock Exchange.
The variables used in this research were January effect as independent variable and share return as dependent variable. The variables used were relation between daily share price 10 days before January (pre January 1) with share return first 10 days in January (post January), daily share price 10 days first in January (post January 1) with share return second 10 days in January (post January 2) and then after compare that variables the next step is analyze the January effect. The method of analysis used was descriptive and simple linear regression analysis.
In simple linear regression test, coefficient of determination in the first hypothesis 0,035 in which the ability of January effect variable on share return was 3,5%, and the rest, 96,5% was explained by another variables outside of this research. The second hypothesis, coefficient of determination 0,152 in which the ability of January effect variable on share return was 15,2% and the rest 84,8% was explained by another variables outside of this research. In T-test, the first and the second hypothesis partially has no significant effect on share return.
