Efek Hari Libur Lebaran Pada Emiten Yang Terdaftar Dalam ISSI Periode 2011-2013
Abstract: This research aims
to analyze the market reactions of Eid Mubarak Holiday which is indicated by
the presence of average abnormal return and average abnormal trading volume
activity on issuers in ISSI list within 2011-2013 period, and especially for
the issuers which engaged in the field of food and drinking product industries,
also retail industries as well.
The method used in this research is event study which will analyze the
alteration of price movements and volume of stock trading before and after Eid
Mubarak Holiday. The hypothesis of this research is the presence of trading
reaction that indicated by average normal return and the difference of average
abnormal trading volume activity before and after Eid Mubarak Holiday. This
research testing uses one sample-test to seek if there are any average normal
returns around Eid Mubarak Holiday, while paired sample-test is used to test
the difference of average normal trading volume activity before and after Eid
Mubarak Holiday. The writer did the research within 41 days, divided into two
periods. 30 days before Eid Mubarak Holiday and 10 days after Eid Mubarak
Holiday. The amount of sample in this research is 31 issuers which have met the
sampling criteria using purposive sampling.
The result of the first hypothesis indicates that there is insignificant
average abnormal return, while the second hypothesis indicates the difference
of significant average abnormal trading volume activity.
Keywords: event study,
abnormal return, trading volume activity, Eid Mubarak, ISSI
Penulis: Venny Julia Utomo,
Leo Herlambang
Kode Jurnal: jpmanajemendd151445
