Reaksi Pasar Atas January Effect: Studi Empiris Pada Small Stock Dan Large Stock Di Bursa Efek Indonesia Tahun 2008-2013

The study aims to test the truth of the January effect in Indonesia in case size effect (small stock and large stock). This research uses the period 2008 to 2013 which is the average return calculated on a monthly basis. The research method used is a dummy variable regression tests, t test statistics, and chow test. The results of this research are not there is a phenomenon of the January effect in Indonesia stock exchange either in small or large stock stock in 2008-2013. This can occur because the tax month Indonesia falls in the month of March, a majority of the population of Indonesia's diverse muslim so the most widely celebrated events i.e. widths, and the level of understanding of the people of Indonesia capital market is still low on financial literacy index