PENGARUH BULAN PERDAGANGAN TERHADAP RETURN SAHAM : PENGUJIAN JANUARY EFFECT DI INDEKS HARGA SAHAM LIQUIDITY 45 (Studi pada perusahaan yang bergerak di bidang keuangan perbankan yang tercatat di LQ45 selama periode 2004-2012)

Abstract

Investors need to be aware of information and other factors that are always
changing every second to make a decision about theirstock . This study aimed to
investigate the effect of months of trading on stock returns in the banking LQ45
and active during the period 2004-2012 . Some studies reveal that the tendency is
always positive returns during the month of January ( January effect ) . But some
research suggests that the January effect only occurs in certain stocks and the
some countries. Researchmetodeto determine the trend of positive returns each
January using descriptive analysis . Descriptive analysis illustrates the average
stock return . Proceed with the testing process using the homogeneity test ,
normality test , and Kruskal Wallis.Uji normality showed that the data were
sampled data that does not have a normal distribution , so as to test the hypothesis
have touse a non parametrik. Hypothesis testthatusing Kruskal Wallis test
showed that there are differences in returns in January with theother months.
Keywords :  January effect, Return Saham, Bulan Perdagangan,saham
perbankan,  indeks harga saham LQ45