The Analysis of the Influence of the January Effect and Weekend Effect Phenomenon on Stock Returns of Companies Listed on the JII Index (2017–2019 Period)

Abstract

This study aims to determine the influence of the January effect and the weekend effect on stock returns of companies listed on the Jakarta Islamic Index (JII). The research period was carried out for three years, starting from 2017 to 2019. The samples used in this study were 17 companies selected using the purposive sampling method. This study uses multiple linear regression analysis method. The results of the study show that the January effect and weekend effect have no influence on stock returns in companies listed on the JII Index for the 2017–2019 period.