Holiday Effect and Stock Returns: Evidence from Stock Exchanges of Gulf Cooperation Council (original) (raw)

Stock Return Analysis Before and After Islamic Holidays

Southeast Asian Journal of Teaching and Economics, 2019

The purpose of this study is to investigate the difference of average return and abnormal return before and after Islamic holiday in Indonesia and to investigate whether the Indonesian Stock Exchange is efficient or not. Islamic holiday investigated in this study are Eid al-Fitr, Eid al-Adha, Mawlid, and Isra Mi'raj period 2013 - 2017. Samples in this study were 30 companies which included in consumer goods in the industry sector, obtained by purposive sampling method. Paired sample t-test in SPSS 24 version for Windows was used. The result of this study showed that there were no significant differences on normal return before and after Eid al-Fitr, Eid al-Adha, Mawlid, and Isra Mi'raj. There were no significant differences on abnormal returns before and after Mawlid and Isra Mi'raj. There were substantial differences in abnormal return before and after Eid-al Fitr and Eid-al Adha. It Showed that Indonesian Stock Exchange is included in the semi-strong formation the of efficient market. Key Word: Islamic holiday, holiday effect, average return, abnormal return, efficient market hypothesis