THE INFLUENCE OF FOREIGN AND DOMESTIC INVESTORS ON THE PRICE AND VOLUME OF STOCKS THE INDONESIAN STOCK EXCHANGE: TESTING JANUARY EFFECT

S. Hermuningsih, Pristin Prima, A. Rahmawati
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Abstract

This research aims to test and find empirical theoretical evidence regarding the influence of January on changes in stock prices and volume by foreign and domestic investors. The research method uses a quantitative method. The researcher uses sample data on the LQ-45 company's stock return report on January 2, 2020 to 2023 from Indonesia Stock Exchange by using Multiple Regression Analysis with IBM SPSS 20. This research has found that partially foreign and domestic investor have significant impact on volume of stock while Domestic investor have significant impact on price stock but Foreign Investor does not significant impact on price stock. Simultaneously Foreign and domestic investor have significant impact on price and volume of stock.  The contribution and benefit of this research is to expand the scientific and theoretical models of the January effect based on trading prices and share volume by foreign and domestic investors
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外国和本国投资者对印度尼西亚证券交易所股票价格和交易量的影响:检验一月效应
本研究旨在检验和寻找有关一月对国内外投资者股票价格和交易量变化的影响的实证理论证据。研究方法采用定量方法。研究人员使用 IBM SPSS 20 进行多元回归分析,使用印度尼西亚证券交易所 2020 年至 2023 年 1 月 2 日 LQ-45 公司股票回报报告的样本数据。研究发现,部分外国投资者和国内投资者对股票成交量有显著影响,而国内投资者对股票价格有显著影响,但外国投资者对股票价格没有显著影响。同时,外国投资者和国内投资者对股票价格和交易量都有重大影响。 本研究的贡献和益处在于拓展了基于国内外投资者交易价格和股票成交量的一月效应的科学理论模型。
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