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.