Pengujian Anomali Pasar Size Effect Pada Bulan Januari di Pasar Modal Indonesia Tahun 2012-2015

Abstrak

 An efficient capital market hypothesis says that efficient capital markets react quickly to relevant information. In an efficient market, the market will quickly respond to incoming information. But in reality, in the stock market there are things that are opposed to an efficient market called market anomalies. The data used in this study is secondary data from companies listed on Indonesian Capital Market during the study period from 2012-2015. Samples taken from companies in Indonesian Capital Market are 84 companies. Statistical analysis used in this research is t-difference test. It can be concluded that there is no difference in the average return of stocks that capitalize small market and which capitalize big market in Indonesia Capital Market year 2012-2015.

Keywords: market anomaly, capital, size effect, and stock return.