SELL IN MAY AND GO AWAY; IS THE PATTERN EVIDENT IN THE INDONESIA STOCK EXCHANGE?

Abstract This research examines the existence of the seasonal anomaly “Sell in May and Go Away” in the Indonesian stock market. While “Sell in May and Go Away” has been widely documented in developed markets, empirical evidence in emerging markets remains inconclusive. This study addresses this gap by analyzing daily closing prices of the Jakarta Composite Index (IHSG) from May 2022 to April 2024 using an Asymmetric GARCH model, which accommodates volatility clustering and asymmetric responses to market shocks. The objective is to test whether returns during the May–October period are statistically lower than those in November–April. The results reveal no significant differences in returns between the two periods, indicating that the “Sell in May and Go Away” anomaly does not occur in Indonesia. These findings support the weak-form Efficient Market Hypothesis, suggesting that seasonal patterns are already reflected in market prices and cannot be systematically exploited to generate abnormal returns. The study contributes to the literature by providing updated evidence from Indonesia with a more robust econometric approach, and it has practical implications for investors and policymakers regarding the inefficacy of seasonal timing strategies in the Indonesian capital market.