Month of the Year Effect in Indonesia Stock Exchange

Abstract

This study examines the phenomenon of the month of the year effect on sectoral stock indices on the Indonesia Stock Exchange (IDX). The data used is monthly closing price data for sectoral stock price index during the period of 2016 to 2018 obtained from IDX (idx.co.id). Data analysis was performed using the one sample t test model. To test the hypothesis, ANOVA is used, using SPSS version 23. The results of this study show that: the agriculture index experienced a significant increase in every April, the mining index experienced a significant increase in every July, the basic industry index experienced a significant increase in April, miscellaneous industry indices experienced a significant decline in every May, the consumer goods index experienced a significant decline in every May, the property and real estate index did not experience a significant increase or decrease based on the month, infrastructure index experienced a significant increase in each of June and December, the finance index experienced a significant increase in every July and September, and the trade and service index did not experience a significant increase or decrease based on the month. Keywords: month of the year effect; stock return; stock sectoral index; IDX