Analisis Efek Ramadhan Terhadap Abnormal Return dan Trading Volume Activity pada Perusahaan Yang Masuk dalam Jakarta Islamic Index (JII) di Bursa Efek Indonesia Periode 2014-2018
Keywords:
Event Study, Ramadhan Effect, Abnormal Return, Trading Volume Activity
Abstract
This study is a study of events aimed at knowing the effects of Ramadhan, to companies listed on the Jakarta Islamic Index on the Indonesia Stock Exchange period 2014-2018, using abnormal return and trading volume activity indicators. This study uses secondary data in the form of daily stock price index for the period 2014-2018 , Composite Stock Price Index (IHSG) and trading volume, with the population of companies entering the Jakarta Islamic Index on The Indonesian Stock Exchange , The statistical test used to test the hypothesis is the normality test, and the paired sample t-test. Result of T-test on Abnormal Return between year 2014-2018 know that there is no significant influence between Ramadhan month to abnormal return from year 2014 until 2018. While for T-test on trading volume activity between year 2014 until 2018 know that only in 2014, 2015, and 2017, 2018 there are significant influence which means the market responds to the event. The result of the test of Ramadhan event has the information even though it does not happen in every year of the research period, this is because Ramadhan is a routine event occuring in Indonesia so investors have been able to predict how the stock movemonts in Indonesia Stock Exchange.
References
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Wicaksana, S. B., & Asandimitra, N. (2018). Halloween Effect in Indonesia Stock Exchange. International Journal of Academic Research in Accounting, Finance and Management Sciences, 8(3), 118–127.
Yang, D.-Y., & Lee, C.-H. (2016). The solar and lunar divide and the impact on Taiwan’s stock returns. Cogent Economics & Finance, 4(1), 1177153.
Yuan, T., & Gupta, R. (2014). Chinese lunar New Year effect in Asian stock markets, 1999–2012. The Quarterly Review of Economics and Finance, 54(4), 529–537.
Ziemba, W. T. (2012). Calender Anomalies and Arbitrage. In World of Sciences (Vol. 02).
Alteza, M. (2006). Efek Hari Perdagangan Terhadap Return Saham: Suatu Telaah atas Anomali Pasar Efisien. Jurnal Ilmu Manajemen, 03(01).
Anwar, S. (2015). Dampak Bulan Ramadhan terhadap pengembalian harga saham pada seluruh sektor di Bursa Efek Indonesia periode 2011-2015. Universitas Negeri Islam Surakarta.
Atmadjaja, Y. V. I. (2012). Skripsi: Pengujian Terhadap Abnormal Return dan Trading Volume Activity Sebagai Reaksi Pasar Modal Atas Peristiwa Stock Split. Universitas Erlanggga.
Bergsma, K., & Jiang, D. (2016). Cultural New Year holidays and stock returns around the world. Financial Management, 45(1), 3–35.
Bialkowski, J. P., Etebari, A., & Wisniewski, T. P. (2009). Piety and Profits: Stock Market Anomaly During the Muslim Holy Month. Finance and Corporate Governance Conference 2010 Paper.
Chancharat, S., Maporn, S., Phuensane, P., & Chancharat, N. (2018). Volatility of holiday effects in Thai stock market. Kasetsart Journal of Social Sciences.
Chia, R. C. J., Lim, S. Y., Ong, P. K., & Teh, S. F. (2015). Pre and post chinese new year holiday effects: Evidence from Hong Kong stock market. The Singapore Economic Review, 60(04), 1550023.
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirikal Work. The Journal of Finance, 25(02).
Girard, E., & Omran, M. (2009). On The Relationship between Trading Volume and Stock Price Volatility in Case. International Journal of Managerial Finance, 05(01).
Hartono, J. (2010). Studi Peristiwa: Menguji Reaksi Pasar Modal Akibat Suatu Peristiwa. BPFE.
Hidayati, N., Maslichah, & Junaidi. (2018). Reaksi Abnormal Return dan Trading Voulume Activity Terhadap Ramadhan Effect. Jurnal Ilmiah Riset Akuntansi, 07(03).
Hood, M., & Lesseig, V. (2017). Investor inattention around stock market holidays. Finance Research Letters, 23, 217–222.
Jones, C. P. (1996). Invesment, Analysis and Management. John Wiley & Sons.
Joo, T. T. (2018). Effects of Easter and Yom Kippur on Quarterly Earnings and Returns. Journal of Accounting and Finance, 18(1).
Kallarackal, T. K. (2016). A Study of Holiday Effect on Sensex Returns in the Indian Market. International Journal of Research in Finance and Marketing, 6(11), 63–68.
Manitkajornkit, E. (2017). Holiday Effect in Stock Exchange of Thailand from January 1992-August 2013. Governance Journal, 6(2), 77–96.
Mayasari, D. (2010). Skripsi: Analisis Reaksi Pasar terhadap Pengumuman Kabinet Indonesia Bersatu II Dilihat dari Abnormal Return dan Aktivitas Volume Perdagangan Saham. UIN Sunan Kalijaga.
Mustafa, K. (2008). The Islamic Calender Effect on Karachi Stock Market. The 8 Th International Bussines Research Confrence.
Mustakini, J. H. (2010). Analisis dan Desain Sistem Informasi. Andi Offset.
Omar, R. (2015). Investigation of the Holiday Effect at the Nairobi Securities Exchange (NSE) [PhD Thesis]. United States International University-Africa.
Pantzalis, C., & Ucar, E. (2014). Religious holidays, investor distraction, and earnings announcement effects. Journal of Banking & Finance, 47, 102–117.
Rusmayanti, A., Yusniar, M. W., & Yuniar, A. (2016). Pengaruh Bulan Ramadhan terhadap Return Pasar Saham di Bursa Efek Indonesia (1425 H-1434 H). Jurnal Wawasan Manajemen, 04(01).
Sasikirono, N., & Meidiaswati, H. (2017). Holiday Effect in the Indonesian Stock Market. 2017 International Conference on Organizational Innovation (ICOI 2017).
Seif, M., Docherty, P., & Shamsuddin, A. (2017). Seasonal anomalies in advanced emerging stock markets. The Quarterly Review of Economics and Finance, 66, 169–181.
Sutedi, A. (2011). Pasar Modal Syariah: Sarana Investasi Keuangan Berdasarkan Prinsip Syariah. Sinar Grafika.
Taslim, A., & Wijayanto, A. (2015). Pengaruh Frekuensi Perdagangan Saham, Volume Perdagangan Saham, Kapitalisasi Pasar dan Jumlah Hari Perdagangan terhadap Return Saham (Studi pada Saham Perusahaan Dagang Eceran Yang Terdaftar dalam Indeks Saham Syariah Indonesia Sebelum Sampai Sesudah Bula. Management Analysis Journal, 05(01).
Wardana, M. A. K. (2017). Skripsi: Efek Ramadhan terhadap Abnormal Return dan Trading Volume Activity pada Perusahaan yang Masuk ke dalam Jakarta Islamic Index di Bursa Efek Indonesia Periode 2011-2017. Universitas Lampung.
Wicaksana, S. B., & Asandimitra, N. (2018). Halloween Effect in Indonesia Stock Exchange. International Journal of Academic Research in Accounting, Finance and Management Sciences, 8(3), 118–127.
Yang, D.-Y., & Lee, C.-H. (2016). The solar and lunar divide and the impact on Taiwan’s stock returns. Cogent Economics & Finance, 4(1), 1177153.
Yuan, T., & Gupta, R. (2014). Chinese lunar New Year effect in Asian stock markets, 1999–2012. The Quarterly Review of Economics and Finance, 54(4), 529–537.
Ziemba, W. T. (2012). Calender Anomalies and Arbitrage. In World of Sciences (Vol. 02).
