PENGARUH HARI LIBUR NASIONAL TERHADAP RETURN SAHAM HARIAN DI BURSA EFEK JAKARTA

Abstract

Many research about holiday effect on stock return were examined in the stock exchanges abroad. Kim and Park (1994) reported that the highest return on the trading day before holidays in US, UK and Japanese. The holiday effects in the UK and Japanese stock markets are independent from the holiday effect in the US stock market, because each country has different holidays. The aim of the research is to provide evidence of the effect national holiday on the daily manufacture stock return in Jakarta Stock Exchange (JSE). First is to examine the effect of national holiday to stock return on trading days before and after national holiday. Second is to examine the effect of national holiday on stock return on trading days before and after holiday, which are shifted to weekend. Third, to examine which national holidays have effects on stock returns before and after the holiday. This research is using Composite Stock Price Index of manufacture in JSE from 1996 to 2003 as the sample. Dependent variable used is manufacture stock return and independent variable are stock trading day from Monday until Friday. National holiday in this research is the holiday determined by the government except Saturday and Sunday holidays. Hypotheses are tested using ARIMA. The result of this research proved that there is no effect of stock return on trading day before the national holiday. But, there is a negative effect of return stock on trading day after the national holiday. While for the holiday which is shifted to the weekend shows a positive effect of return stock on the day before holiday and shows no effect of return stock on the day after holiday. This research shows a positive effect and significant on trading day after Monday and Tuesday holiday. Keyword : Stock Return, National Holiday Effect