ANALISIS PENGARUH HARI LIBUR ISLAM TERHADAP ABNORMAL RETURN SAHAM (studi empiris pada perusahaan yang tercatat di JII tahun 2012-2016)

PUJIADI, Bagus Wahyu and INDRIANI , Astiwi (2017) ANALISIS PENGARUH HARI LIBUR ISLAM TERHADAP ABNORMAL RETURN SAHAM (studi empiris pada perusahaan yang tercatat di JII tahun 2012-2016). Undergraduate thesis, Fakultas Ekonomika dan Bisnis.

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Abstract

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 after and before 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.

Item Type:Thesis (Undergraduate)
Additional Information:Efficient Market Hypothesis, Anomaly, Islamic holiday, abnormal return, event study.
Uncontrolled Keywords:Efficient Market Hypothesis, Anomaly, Islamic holiday, abnormal return, event study.
Subjects:H Social Sciences > H Social Sciences (General)
Divisions:Faculty of Economics and Business > Department of Management
ID Code:56493
Deposited By:Mr. Perpustakaan Fakultas Ekonomi
Deposited On:29 Sep 2017 10:07
Last Modified:29 Sep 2017 10:07

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