Pengaruh January Effect dan Monday Effect terhadap Return Saham pada Perusahaan yang Terdaftar di Bursa Efek Indonesia

Allya Rizky Salzabilla; Anatasyha Amelia Saputri; Dila Julia; Mayyadah Luthfiyatus Sholihah; Natalia Kusuma Wardhani

doi:10.61132/rimba.v4i4.2959

Authors

Allya Rizky Salzabilla Universitas Mulawarman
Anatasyha Amelia Saputri Universitas Mulawarman
Dila Julia Universitas Mulawarman
Mayyadah Luthfiyatus Sholihah Universitas Mulawarman
Natalia Kusuma Wardhani Universitas Mulawarman

DOI:

https://doi.org/10.61132/rimba.v4i4.2959

Keywords:

January Effect, Market Efficiency, Monday Effect, Panel Data Regression, Stock Return

Abstract

This study aims to examine the existence of the January Effect and Monday Effect on stock returns of companies listed on the Indonesia Stock Exchange (IDX). The research sample consists of five blue-chip companies: PT Bank Central Asia Tbk (BBCA), PT Bank Rakyat Indonesia Tbk (BBRI), PT Bank Mandiri Tbk (BMRI), PT Telkom Indonesia Tbk (TLKM), and PT Astra International Tbk (ASII) over the 2023-2025 period. Daily stock prices were used to compute daily returns. The analytical method employed is panel data linear regression with dummy variables, namely a January dummy (D_JAN) to test the January Effect and a Monday dummy (D_MON) to test the Monday Effect, processed with SPSS. The results show that neither the January dummy nor the Monday dummy has a statistically significant effect on stock returns (p > 0.05), and the overall regression model is not significant either. Therefore, this study finds no evidence of a January Effect or a Monday Effect among the five stocks examined during 2023-2025. These findings support the weak-form efficient market hypothesis on the Indonesia Stock Exchange for blue-chip stocks during the period studied.

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