JANUARY EFFECT TESTING IN CURRENCY MARKET BETWEEN INDONESIA AND US DOLLAR, AUSTRALIAN DOLLAR, DIRHAM, RUPEE FROM 2007 – 2017

Tekani, Hanny Deepak (2018) JANUARY EFFECT TESTING IN CURRENCY MARKET BETWEEN INDONESIA AND US DOLLAR, AUSTRALIAN DOLLAR, DIRHAM, RUPEE FROM 2007 – 2017. S1 thesis, UAJY.

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Abstract

Exchange are more fluctuative as demand rises and fall in each currencies. Foreign exchange market considered as the biggest and the most liquid financial market in the world (Taha, 2018). Each every country has their own rules of inflation rate, government debt, term of trade, political stability, recession, speculation. Since than, fluctuation is a big issue lead this paper to conduct research in fluctuation in currency market which tend to has market anomalies specially January effect. Anomalies itself refers to situation where a sequrity performs different to the notation of market efficiency which means the price or rate of return distortion on the market where it is contradict with market efficiency (Naik, 2014). According to Alteza (2007) ‘anomalies is an exception of rules nor models’ means that anomalies is a deviation of model and concept of market efficiency. This research is conducted with the aim of identifying the precence of January effects in Indonesia currency market from 2007-2017 and to identify January effects in Indonesia currency market with other currencies (Dirham of UAE, US Dollar of United States of America, Rupees of India, and Australian dollar of Australia). The results show that the is no January Effect in currency market, this indicates that hypothesis 1 is not supported and there is no January Effect in Indonesia exchange with Rupees, Dirham, Australian Dollar and US Dollar. This shows that H2a, H2b, H2c and H2d are not supported.

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