MARISA, ANGELIKA EVA (2019) PENGARUH HARI LIBUR NASIONAL KEAGAMAAN TERHADAP ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY Pada Sektor Industri Food And Beverage Yang Terdaftar Di Bursa Efek Indonesia Tahun 2017-2018. Other thesis, Universitas Pembangunan Nasional Veteran Yogyakarta.
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Abstract
Holiday effects are one of the anomalies which are included in seasonal
anomalies and were identified in the financial market, holiday effects on financial
markets include national holidays, religious holidays, new year holidays, and
other public holidays. This study aims to determine the effect of Religious
National Holidays on the abnormal return and trading volume activity in the food
and beverage sub-sector, as many as 15 companies become objects of observation
and 4 religious holidays during the 2017-2018 research period. Analyze used the
mean defference test, which is one sample t-test and paired t-test. This research
proved that Eid al-Fitr and Christmas influence the abnormal return. Eid al-Fitr
affects trading volume activity.
Key words: efficient market hypothesis, market anomalies, holiday effect,
abnormal return, trading volume activity.
ABSTRAKSI
Holiday effects merupakan salah satu anomali yang termasuk kepada anomali
musiman dan teridentifikasi di pasar keuangan, holiday effects pada pasar
keuangan meliputi hari libur nasional, hari libur keagamaan, hari libur tahun baru,
dan hari libur umum lainnya. Penelitian ini bertujuan mengetahui pengaruh Hari
Libur Nasional Keagamaan terhadap abnormal return dan trading volume activity
pada sub-sektor food and beverage, sebanyak 15 perusahaan menjadi objek
observasi dan 4 hari libur selama periode penelitian 2017-2018. Analisis
menggunakan mean defference test, yaitu one sample t-test dan paired t-test.
Penelitian menghasilkan bahwa Idul Fitri dan Natal yang berpengaruh terhadap
abnormal return. Idul Fitri berpengaruh terhadap trading volume activity.
Kata kunci : efficient market hypothesis, anomali pasar, holiday effect, abnormal
return, trading volume activity.
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| Item Type: | Thesis (Other) |
|---|---|
| Subjek: | H Social Sciences > HB Economic Theory |
| Divisions: | x. Faculty of Law, Arts and Social Sciences > School of Management |
| Depositing User: | Sarimin Sarimin |
| Date Deposited: | 22 Aug 2019 02:43 |
| Last Modified: | 22 Aug 2019 02:43 |
| URI: | http://eprints.upnyk.ac.id/id/eprint/20793 |
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