Re-Examining the January effect in IDX: Insights across small, medium, and large market capitalizations
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Author(s)Ghazali SyamniLink to ORCID Index: https://orcid.org/0000-0001-6175-4402
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Deshinta Arrova DewiLink to ORCID Index: https://orcid.org/0000-0003-1488-7696
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Sari Yulis TerfiadiLink to ORCID Index: https://orcid.org/0009-0000-1505-1693
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Muhammad HafizhLink to ORCID Index: https://orcid.org/0000-0002-9372-2605
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Harley AgustianLink to ORCID Index: https://orcid.org/0009-0006-7249-4654
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Tri Basuki KurniawanLink to ORCID Index: https://orcid.org/0000-0002-3718-0776
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DOIhttp://dx.doi.org/10.21511/imfi.23(1).2026.35
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Article InfoVolume 23 2026, Issue #1, pp. 470-481
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Creative Commons Attribution 4.0 International License
Type of the article: Research Article
Abstract
The capital market is one of the investment venues that supports economic growth. Investors entering the capital market must take advantage of all issues to obtain returns on their investments. The January effect is a phenomenon related to the documentation of irrational behavior in global capital markets, but its exact nature remains uncertain. This study aims to test the existence of the January effect in the IDX by analyzing data on companies with small, medium, and large market capitalizations. The January effect was tested using the Mann-Whitney test on daily data, with a total of 17,760 observations during the 2023–2024 period, comprising 8,400 Small Market Capitalization (SMC), 7,920 Medium Market Capitalization (MMC), and 1,440 Large Market Capitalization (LMC) stocks, accessed via www.idx.co.id or www.yahoofinance.com. Findings reveal significant evidence of the January effect among small-cap firms, with returns showing positive anomalies in January. Conversely, no such evidence is found in medium or large-cap firms, suggesting that the anomaly is not universal. This study concludes that market anomalies may persist within certain segments, and, in practical terms, underscores the importance of investor caution when relying on seasonal anomalies in decision-making.
Acknowledgment
The authors would like to express sincere gratitude to Muhammad Dava Rizki for his assistance in data tabulation, to Dr. Didi Pianda for his valuable preliminary review, and to Dr. A.Y.M. Atiqul Islam for his insightful suggestions.
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JEL Classification (Paper profile tab)G11, G14, G15, G17
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References53
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Tables4
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Figures0
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- Table 1. Variables measurement
- Table 2. Descriptive data
- Table 3. Results of the normality test estimation
- Table 4. Mann-Whitney test result
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doi: http://dx.doi.org/10.21511/ppm.15(1).2017.05
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Formalization of the impact of imbalances in the movement of financial resources on economic growth of countries in Central and Eastern Europe
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