ANALISIS PENGARUH HARI LIBUR ISLAM TERHADAP ABNORMAL RETURN SAHAM (Studi empiris pada perusahaan yang tercatat di JII tahun 2012-2016)
Abstract: There are still some
differences in the results of research on the impact of holiday on stock
returns. Other than that there are still few researches who only specifically
examine the effects of islamics holidays against abnormal return. This research
aims to analyse the influence of Islamic holiday to abnormal return of shares
before and after Islamic holiday. The holidays used are Maulid Nabi, Isra’
Mi’raj, Idul Fitri, Idul Adha, and New Year Hijriyah. The study period used
from 2012 to 2016.
This research uses event study. Research population used all company
which listed in Jakarta Islamic Index. Technique of choosing sample is used
purposive sampling and obtained 15 company. The data used in this research
obtained from website KSEI, website BEI, and online trading system of Mirae
Asset Securities. Determination of estimated return using market adjusted
model. Parametric analysis tets tools used to test the hypothesis in this study
are descriptive statistic, normality tets, and paired sample t-test.
The result of this study indicate that the Maulid Nabi holiday and Idul
Fitri holidays affect the significant abnormal return difference between before
and after the holiday. While the holidays of Isra’ Mi’raj, Idul Adha, and New
Year Hijriyah hove no effect on the difference of abnormal return of stock
before and after the holiday.
Keywords: Islamic holiday,
abnormal return, event study
Penulis: Bagus Wahyu Pujiadi,
Astiwi Indriani
Kode Jurnal: jpmanajemendd170927
