Pengaruh January Effect Terhadap Return Saham Perusahaan Lq 45 Di Bursa Efek Indonesia

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.

Kata Kunci : January Effect, 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.

Key words : January Effect, Share Return.