PENGUJIAN OVERREACTION DI BULAN RAMADAN PADA BURSA EFEK NEGARA-NEGARA DENGAN MAYORITAS PENDUDUK PEMELUK AGAMA ISLAM
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Abstract
Abstract - This study is intended to investigate Ramadan and its effect of stocks abnormal return in five most populous Muslim countries which are Indonesia, Malaysia, Turkey, Pakistan and Egypt. The observation is using full year of Islamic calendar which divided into two periods. First, Ramadan month and the second one is 14 working days after Eid Al-Fitr ends. To test the hypothesis, 165 companies which listed in five countries Stock Exchange will be selected for 1434 Hijriah to 1436 Hijriah period. This study is using Cummulative Average Return (CAR) to select winner and loser stocks for each country. Findings in this study show that Ramadan does have a relationship effect between calendar event and abnormal return in a few countries. It is also proven that loser stocks will overcome winner stocks average abnormal return lately of the observation.
Abstrak - Penelitian ini bertujuan untuk menginvestigasi Ramadhan dan pengaruhnya terhadap abnormal return saham di lima negara Muslim yang dengan populasi tertinggi, antara lain Indonesia, Malaysia, Turki, Pakistan dan Mesir. Pengamatan ini menggunakan kalender Islam yang dibagi menjadi dua periode. Pertama, bulan Ramadhan dan yang kedua adalah 14 hari kerja setelah hari raya Idul Fitri. Untuk menguji hipotesis, 165 perusahaan yang terdaftar di lima negara Bursa Efek akan dipilih untuk penelitian dari 1434 Hijriah hingga tahun 1436 Hijriah. Penelitian ini menggunakan Cummulative Average Return (CAR) untuk memilih saham winner dan loser untuk masing-masing negara. Temuan dalam penelitian ini menunjukkan bahwa Ramadhan memang memiliki efek hubungan antara suatu perayaan dan abnormal return di beberapa negara. Hal ini juga membuktikan bahwa saham loser akan mengungguli saham winner rata abnormal return akhir-akhir ini dari pengamatan.
Keywords: Overreaction Hypothesis, Calendar Effect, Efficient Market Hypothesis, Abnormal Return
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