PENGARUH JANUARY EFFECT DAN ROGALSKI EFFECT TERHADAP ABNORMAL RETURN SAHAM DAN TRADING VOLUME ACTIVITY (Studi Pada Perusahaan LQ45 yang Terdaftar di Bursa Efek Indonesia)

Karina Maliasari, Nur Khusniyah Indrawati

Abstract


The research aims: to test the influence of January Effect and Rogalski
Effect of the Abnormal Return and Trading Volume Activity in the Indonesia stock exchange.  The sample was selected by using purposive sampling technique. Methods of analysis used  the Product Moment Correlation Test, Kruskall-wallis Test, Paired Sample t-Test, and Wilcoxon Signed Rank Test.  
The result showed that January Effect occurs in  the period 2012 influential
against  to Abnormal return but  it  didn’t  happen,  further  more  influence on
Trading Volume Activity. But Rogalski Effect didn’t exist  in  the  Indonesia  stock
exchange.

Keywords:January effect, Rogalski effect, abnormal  return, trading volume
activity, LQ45 stock price index

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