Small Stock Companies Outshine Big Stocks in January Effect Phenomenon
The study analyzed the January Effect in the Indonesia Stock Exchange, where stock returns in January are usually higher than other months. The researchers found that the January Effect was present in the stock market, but it was stronger for large companies compared to small companies. This anomaly is likely due to investor behavior related to tax-loss selling and windows dressing. The data was tested using statistical methods, and the results showed that the January Effect did not occur for small company stocks during the period studied.