ANALISIS PERBANDINGAN HOLIDAY EFFECT TERHADAP RETURN DAN VOLUME PERDAGANGAN SAHAM PADA PASAR SAHAM DI BURSA EFEK INDONESIA

Abstract

This research aimed to analyze the comparison of holiday effect of Indonesia Stock Exchange during 2017-2019. It was done by observing the differences between return stock and stock trade volume before and after few days before Iedul Fitri, Christmas, Silent day, Waisak and New Year. The research was quantitative. Moreover, the data collection technique used pursposive sampling. In line with, there were 31 manufacturing companies which were listed on Indonesia Stock Exchange during 2017-2019 as the sample. Furthermore, the data analysis techniques used Wilcoxon t-test with SPSS. The research result concluded that Iedul Fitri, Christmas, Silent day, Waisak and New Year had significant effect on stock return. This meant , the investors had not anticipate on the information which was received at stock market quickly. On the other hand, the holidays had a significant effect on stock trade volume as the investors had good impression of investment decision making, in which by analyzing the differences of stock trade volume at Indonesia Stock Exchange.
Keywords: holiday effect, stock return, stock trade volume