Abstract

 
 
 
 Efficient market is a price that reflects all the information available, the more efficient the market is very difficult for investors to obtain abnormal return. Abnormal return can happen the event of holiday effectEid Al-Fitr. The purpose of this study was to examine the differences of abnormal returns before and after Eid Al-Fitr and to examine the effect of one week before Eid Al-Fitr and one week after Eid Al-Fitr against abnormal return in Food and Beverages sub sector. the observation period is one week or seven days Eid Al-Fitr and one week or seven days after Eid Al-Fitr for five years (2013-2017). The results of hypothesis testing in this study used the analysis of different test paired t-test sample with SPSS program and 5% significance level (0.05) and by using Multiple Regression Analysis with Eviews program. The sampling technique in this research is purposive sampling to get the sample of 11 companies. The result of the test is obtained (1) there is difference of abnormal return before and after Eid Al-Fitr, (2) the week Eid Al-Fitr has significant effect to abnormal return, (3) a week after Eid Al-Fitr does not affect abnormal return.
 
 
 
Highlights
The capital market is said to be efficient if the market is able to interact quickly with information that is relevant to the measurement of the speed of new information reflected in the price of securities
According to Malkiel and Fama (1970) in an efficient market there is an equilibrium between information and stock prices, so that no investor is able to exploit the market with the information that is owned to obtain an abnormal return continuously
The results of the study with a paired sample t-test statistic show that there are differences in Abnormal Returns Before and After Eid al-Fitr on food and beverages sub-sector companies listed on the Indonesia Stock Exchange in 2013-2017
Summary
The capital market is said to be efficient if the market is able to interact quickly with information that is relevant to the measurement of the speed of new information reflected in the price of securities. According to Malkiel and Fama (1970) in an efficient market there is an equilibrium between information and stock prices, so that no investor is able to exploit the market with the information that is owned to obtain an abnormal return continuously (persistently). One of them is the Eid al-Fitr holiday, which is a holiday that has different characteristics from other religious holidays, because people will prefer to hold cash during Eid holidays so that the allocation of funds for investment will be reduced including investment in the stock exchange. There are different results in research related to the effect of Eid al-Fitr holidays on abnormal stock returns (Hasanuddin, 2015). The following is the proportion of the average closing price of food and beverages companies before and after Eid al-Fitr, starting from 2013 to 2017 as follows: LITERATURE REVIEW Capital Market Efficiency
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Journal of Economics, Business, and Government Challenges
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
