ANALISIS JANUARY EFFECT PADA SAHAM PERUSAHAAN KOMPAS 100 DI BURSA EFEK INDONESIA

This study ained to determine whether there are differences in stock returns in January with months other than January. If there is a difference between January and other months, the January effect occurs, and vice versa if the stock return in January does not show a difference with other months, the January effect does not occur. The study sample consisted of 32 companies included in the compass index for the 2014-2018 period. The analytical method used in this study was One Way ANOVA Test to test whether there are differences in stock returns between January and months other than January. The results of the analysis of this study indicated that there are stock returns in each month but this does not prove that the January anomaly effect occurs in companies listed in the compass index for the 2014-2018 period because there is indeed a difference in returns from January to other months but returns in January does not show an always positive return and the return value in January is not always higher when compared to other months because the highest return in this study occurred in December.