Sell in May and Go Away or Just Another January Effect? Studied of Anomaly in Indonesia Stock Exchange

Hayati, Restu; Irman, Mimelientesa; Agia, Lintang Nur

doi:10.37385/ijedr.v1i1.27

Cited by 3 publications

(3 citation statements)

References 13 publications

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“…These researchers' findings support the notion that the COVID-19 pandemic has a detrimental impact on the stock index, so for research question 1 (average monthly return), the theoretical hypothesis is as follows: H1: There is a negative effect of COVID-19 on the average monthly return pattern of LQ45 According to (Wicaksana & Asandimitra, 2018), the stock market on the Indonesian stock exchange does not offer anomalous returns that vary across time periods. (Hayati et al, 2020) note in their study's findings that although the average return increased from November to April due to January's high returns, there was no selling in May, and the increase disappeared on stock exchange in Indonesia. In these circumstances, risk and return have an opposing relationship, showing that the Indonesia Stock Exchange corresponds to the efficient market theory.…”

Section: The Theoretical Frameworkmentioning

confidence: 91%

Comparative Analysis of Sell-In-May-And-Go-Away and Monthly Effect Before and During COVID-19 Pandemic at LQ45 IDX

Sitohang,

Sembel,

Malau

2023

International Journal of Economy and Business

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In 2022, the number of investors in the Indonesian stock market experienced a four-fold growth compared to 2019. This surge occurred during the epidemic period. This financial research aims to analyze the impact of the COVID-19 pandemic on the monthly average return and risk pattern of LQ45, as well as the presence of the Sell-in-May-and-Go-Away (SIMAGA) effect and the optimal investment strategy for LQ45. The study uses a descriptive-comparative methodology and employs mathematical and statistical frameworks. The sample consists of LQ45 companies from 1997 to 2022. Data analysis techniques include the Normality Test, Wilcoxon Rank Test, F Test, and investment strategy simulation. The results indicate that COVID-19 did not have a negative effect on the monthly returns and risk patterns of LQ45, except in 2002. Additionally, the SIMAGA phenomenon is not present in LQ45, but the Sell in August-Buy in November (SIABIN) strategy has been identified as the most effective. These findings provide valuable insights for investors in allocating their investments and determining the best strategy for buying stocks. It is important to consider monthly return variance as a key metric for measuring investment risk and its impact on overall returns.

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Section: The Theoretical Frameworkmentioning

confidence: 91%

Comparative Analysis of Sell-In-May-And-Go-Away and Monthly Effect Before and During COVID-19 Pandemic at LQ45 IDX

Sitohang,

Sembel,

Malau

2023

International Journal of Economy and Business

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“…Sell in May and Go Away (SIMGA): Schabek and Castro (2017) conclude that even with the control of the weather, behavioral and macroeconomic factors, the sell in May and go away strategy is to have a long position on the market from October 31 till April 30 effect persists in the market. Hayati et al, (2020) showed that there was no significant difference observed between the return of May-October, and November-April and reported about the absence of sell in May and go away effect in the Indonesia Stock Exchange.…”

Section: N the Dividend (D)mentioning

confidence: 95%

Factors Affecting Seasonality in the Stock Market: A Social Network Analysis Approach

Kajol

Nath

Singh

et al. 2020

ijafr

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The study aims at identifying the factors influencing the seasonality effect in the stock market and further identifying the relationship between the influencing factors. The study aims at conducting a complete analysis of the influencing factors along with measuring their impact on seasonality using Social Network Analysis (SNA). The factors affecting the seasonality effect in the stock market were identified through the literature review. Experts’ opinions were sought for determining the relationship among the factors and finally, the importance of those factors was analyzed using Social Network Analysis (SNA). It was found that volatility is the most important factor affecting the other factors of seasonality and consequently seasonality effect finally. Besides, earning announcements, dividend, and January effects strongly influence the effect of seasonality in the stock market because of their higher in-degree and out-degree. To understand the mechanism of the stock market, the policymakers need to impart training to the investors through awareness campaign or by opening learning investors’ Club at different places. With this they can evaluate their standing in the stock market and the capability of bearing the risk which, in the long run, will be reflected in their investment behavior along with that the culture of equity investing will also be promoted among the investors.

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“…Hayati et al (2020) meneliti Sell in May and Go Away di Bursa Efek Indonesia menggunakan indeks Harga Saham Gabungan (IHSG), menemukan fakta bahwa meskipun tidak konsisten, rata-rata imbal hasil cenderung lebih tinggi pada periode November-April (best period).…”

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Analisis Sell in May and Go Away di Bursa Efek Indonesia dan Malaysia Periode 2017-2019

Zarika

Paramita

2021

JIM

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In May and Go Away (SMGA), Sell is a type of seasonal Anomaly, which historically originated in Europe and America that between May-October returns lower than the other periods from November to April. This research aims to determine the difference in abnormal return in the May-October (Worst period) period and November-April (Best period) in Indonesia and Malaysia Stock Exchange between 2017 to 2019. This test conducted using the company's stock price data samples listed on the LQ45 index in the Indonesia Stock Exchange and the FBMKLCI index in the Malaysia Stock Exchange period 2017 to 2019. Hypothesis testing using paired sample t-test to answer if there is a difference in return between the best period and the worst period, to prove the Sell's existence in May and Go Away. The results showed no difference returns between the best and worst periods in the Sell in May and Go Away phenomenon at the Indonesia and Malaysia Stock Exchange period 2017 to 2019. The Investor considers SMGA as not a phenomenon containing excellent or bad information that is capable of affecting the price movement of shares so that SMGA as a strategy to buy stocks in the best period and sell in the worst period is no longer relevant

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Sell in May and Go Away or Just Another January Effect? Studied of Anomaly in Indonesia Stock Exchange

Cited by 3 publications

References 13 publications

Comparative Analysis of Sell-In-May-And-Go-Away and Monthly Effect Before and During COVID-19 Pandemic at LQ45 IDX

Comparative Analysis of Sell-In-May-And-Go-Away and Monthly Effect Before and During COVID-19 Pandemic at LQ45 IDX

Factors Affecting Seasonality in the Stock Market: A Social Network Analysis Approach

Analisis Sell in May and Go Away di Bursa Efek Indonesia dan Malaysia Periode 2017-2019

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