Reaksi Pasar Atas Momentum Hari Raya Idul Fitri Tahun 2019

  • Gede Rama Wirya Nanda Fakultas Ekonomi dan Bisnis Universitas Udayana, Indonesia
  • Made Gede Wirakusuma Fakultas Ekonomi dan Bisnis Universitas Udayana, Indonesia

Abstract

This study aims to determine the market reaction to the momentum of Idul Fitri in 2019. This research is an event study with an observation period of 14 days. The study was conducted at companies classified as the Jakarta Islamic Index (JII) in 2019. The population in this study was 30 companies. The sampling method used is the saturated sample method. Samples obtained were 30 companies. Market reaction to the momentum of Idul Fitri in 2019 is measured using abnormal returns and trading volume activity. The data analysis technique used is the one-sample t-test. The test results show that there is a market reaction during the Idul Fitri in 2019 which is indicated by a significant abnormal return and trading volume activity around the event date. This shows that Idul Fitri in 2019 caused a market reaction because of there was an information content of the event.


Keywords: Event Study; Abnormal Return; Trading Volume Activity.

Downloads

Download data is not yet available.

References

Andri, Y. (2013). Reaksi Pasar Modal di Bursa Efek Indonesia Terhadap Pengumuman Peristiwa Bencana Banjir Yang Melanda Daerah Khusus Ibu Kota Jakarta Tahun 2013. Jurnal Nominal, II(II), 135–150.

Anggraini, F. (2017). Analisis Reaksi Pasar Atas Peristiwa Pengumuman Kebijakan Holding BUMN Pertambangan. Skripsi. https://doi.org/10.1017/CBO9781107415324.004

Chang, C. Y., Zhang, Y., Teng, Z., Bozanic, Z., & Ke, B. (2016). Measuring The Information Content of Financial News. COLING 2016 - 26th International Conference on Computational Linguistics, Proceedings of COLING 2016: Technical Papers, 3216–3225.

Chrisnanti, F. (2015). Perbedaan Nilai Actual Return , Expected Return , Abnormal Return , Trading Volume Activity Dan Security Return Variability Sebelum Dan Sesudah Merjer Pada Perusahaan Yang Terdaftar. Jurnal Bisnis Dan Akuntansi, 17(1), 1–9.

Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 383–417.

Frankel, R., & Lee, C. M. C. (1998). Accounting Valuation, Market Expectation, and Cross-Sectional Stock Returns. Journal of Accounting and Economics, 25(3), 283–319. https://doi.org/10.1016/S0165-4101(98)00026-3

Hall, S. G., & Kenjegaliev, A. (2017). The effect of Oil Price Changes on The Price of Russian and Chinese Oil Shares. Empirical Economics, 1639–1656. https://doi.org/10.1007/s00181-016-1176-3

Hartono, J. (2015). Teori Portofolio dan Analisis Investasi (Kesembilan). Yogyakarta: BPFE.

Harvey, C. R., Liu, Y., & Zhu, H. (2016). ⋯ and the Cross-Section of Expected Returns. Review of Financial Studies, 29(1), 5–68. https://doi.org/10.1093/rfs/hhv059

Hasanuddin. (2015). Analisis Komparatif Abnormal Return Saham JII dan Non JII sebelum dan sesudah Libur Idul Fitri (Periode 2009-2013). Jurnal MIX : (Jurnal Ilmiah Manajemen), VI(2), 246–259.

Jatmiko, D. P., Manahov, V., & Obiosa, N. (2014). Does Capital Market Reaction to non-Economic Factors Generate Abnormal Returns? Investment Management and Financial Innovations, 11(4), 66–76.

Levine, R., & Zervos, S. (1998). Stock Markets, Banks, and Economic Growth. American Economic Review, 88(3), 537–558. https://doi.org/10.2307/116848

Marini, E. (2016). Analisis Fenomena Hari Raya Idul Fitri Terhadap Return Saham dan Trading Volume Activity (Studi pada Saham Sub Sektor Food and Beverage di Bursa Efek Indonesia Tahun 2011-2015). Skripsi.

Meylita, H., & Yasa, G. W. (2015). Perbedaan Reaksi Pasar Atas Pengumuman Pemecahan Saham Pada Lq45 Dan Non Lq45. Jurnal Ilmiah Akuntansi Dan Bisnis, 10(2), 96–104.

Nguyen, H. (2017). CEO Ability and Firm Performance: Stock Market and Job Market Reactions. 0–30.

Permana, H. T., Sutejo, B. S., & Si, M. (2013). Perbedaan Abnormal Return Pada Sektor Keuangan Sebelum dan Sesudah Peristiwa Pilkada Gubernur DKI Jakarta 20 September 2012. Jurnal Ilmiah Universitas Surabaya, 2(1), 1–9. https://doi.org/10.1007/springerreference_639

Pujiadi, B. W., & Indriani, A. (2017). Analisis Pengaruh Hari Libur Islam terhadap Abnormal Return Saham. Diponegoro Journal of Management, 6(4), 1–12.

Schatzberg, J. D., & Datta, P. (1992). The Weekend Effect and Corporate Dividend Announcements. 1992, XV(1), 69–76.

Setiasri, R., & Rinofah, R. (2017). Pengaruh Ramadhan Terhadap Return dan Volume Perdagangan Saham pada Jakarta Islamic Index (JII). Jurnal Manajemen, 7(1), 57–64.

Suhadak, & Hidayat, R. R. (2016). Pengaruh Pengumuman Stock Split Terhadap Likuiditas Saham dan Return Saham (Studi pada Perusahaan yang Terdaftar di Bursa Efek Indonesia Periode 2012-2014). Jurnal Administrasi Bisnis (JAB), 38(2), 156–162.

Suryawijaya, M. A., & Setiawan, F. A. (1998). Reaksi Pasar Modal Indonesia terhadap Peristiwa Politik Dalam Negeri (Event Study pada Peristiwa 27 Juli 1996). KELOLA Gadjah Mada University Business Review, Vol. 7, pp. 137–153.

Sutrisno, W., Yuniartha, F., & Susilowati, S. (2000). Pengaruh Stock Split Terhadap Likuiditas Dan Return Saham Di Bursa Efek Jakarta. Jurnal Manajemen Dan Kewirausahaan, 2(2), 1–13. https://doi.org/10.9744/jmk.2.2.pp.1-13

Umam, M. R. K. (2012). Analisis Kemampuan Rasio Leverage dan Informasi Arus Kas Dalam Memprediksi Laba Perusahaan Yang Akan Datang (Studi pada Perusahaan Go Public yang Terdaftar dalam Jakarta Islamic Index di BEI Periode 2008-2010). Tesis.

Utomo, V. J., & Herlambang, L. (2015). Efek Hari Libur Lebaran Pada Emiten Yang Terdaftar Dalam Issi Periode 2011-2013. JESTT, 2(5), 372–386. https://doi.org/10.1017/CBO9781107415324.004
Published
2020-05-25
How to Cite
NANDA, Gede Rama Wirya; WIRAKUSUMA, Made Gede. Reaksi Pasar Atas Momentum Hari Raya Idul Fitri Tahun 2019. E-Jurnal Akuntansi, [S.l.], v. 30, n. 5, p. 1247 - 1257, may 2020. ISSN 2302-8556. Available at: <https://ojs.unud.ac.id/index.php/akuntansi/article/view/56342>. Date accessed: 05 oct. 2022. doi: https://doi.org/10.24843/EJA.2020.v30.i05.p14.
Section
Artikel