The research was based on the January effect phenomenon occurring in
foreign markets and the phenomenon is still happening until today. This study
analyzes of anomalous January effect and the market stocks return volatility that
occured in the mining sector on Indonesia Stock Exchange during 2003 to 2010,
due to the mining sector has the better prospects in Indonesia.
The sample using a purposive sampling method. The data used are daily
closing price which will be converted into an average return. The data obtained
from IDX website and yahoo finance website. Hypothesis testing is using One
Way ANOVA , One Sample t-test and Independent Sample t-test.
The results showed that the first hypothesis is not proven to be significant,
that’s means are the highest return is not to be held on January, but on February.
The second hypothesis is proven by the volatility of stock returns in the mining
sector, but the volatility returns does not make affect on January periode 2003 to
2010.