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Re-Examining the January effect in IDX: Insights across small, medium, and large market capitalizations

Ghazali Syamni et al.

Investment Management and Financial Innovations2026https://doi.org/10.21511/imfi.23(1).2026.35article
AJG 1
Weight
0.50

What the paper says

Type of the article: Research ArticleAbstractThe 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.AcknowledgmentThe 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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https://doi.org/https://doi.org/10.21511/imfi.23(1).2026.35

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@article{ghazali2026,
  title        = {{Re-Examining the January effect in IDX: Insights across small, medium, and large market capitalizations}},
  author       = {Ghazali Syamni et al.},
  journal      = {Investment Management and Financial Innovations},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.21511/imfi.23(1).2026.35},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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