EFFECT OF EID AL-FITR AND JANUARY HOLIDAYS ON STOCK RETURNS IN LQ45 COMPANIES Hilda Nur Sopha Ningsih, Ellen Rusliati
University of Pasundan
Abstract
Market anomalies can be highly used by investors to get high stock returns. The forms of market anomalies used in this study are the holiday and January effects. The holiday effect occurs, if before and after the holidays, there was an increase in stock returns compared to normal days- while the January effect is an increase in stock returns in the early weeks of January compared to the end of month or months other than January. This study aims to determine the difference in average stock returns before and after the Eid al-Fitr holidays, as well as differences in average stock returns before and after January, in LQ45 index companies listed on the Indonesia Stock Exchange (IDX) for the 2017-2021 period. The method used was descriptive and verification with sample selection technique using purposive sampling method. Total of sample are 24 companies. The analytical tool used is the Wilcoxon Signed Ranks Test. The results prove that there were differences in returns before and after Eid al-Fitr holidays, although the pattern was irregular, while before and after January showed us insignificantly different.
Keywords: market anomalies- stock return- Eid al Fitr Holiday Effect- January Effect- LQ45
