Institutional Ownership and January Effect

Muhammad Madyan,Allan Rizky Arianto,

One of the market anomalies that often occurs in the capital market is the January Effect. This phenomenon occurs when stock returns in January become higher or increase compared to other months. Thus, this study aimed to analyze the January Effect and test the effect of institutional ownership of the anomaly January Effect. This study also uses market returns, stock turnover, and firm’s size as control variables. The sample in this study were 73 companies that are categorized as LQ-45 inIndonesia Stock Exchange(ISE) period of 2012 to 2014 in accordance with predetermined criteria. This research method is purposive sampling with analysis techniques using t-test and Moderated Regression Analysis (MRA) which uses (α = 5%). The results of this study proves that the January Effect andinstitutional ownership has significant negative effect on January Effect. In addition, the results showed thatmarket return, stock turnover, and firm’s size has a significant positive effect on return.

Volume 11 | 05-Special Issue

Pages: 1285-1292