PERBEDAAN ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY SAHAM SEBELUM RAMADAN, SELAMA RAMADAN, DAN SESUDAH RAMADAN STUDI PADA PERUSAHAAN LQ45 YANG TERCATAT DI BEI PERIODE 2018 – 2019
| Main Authors: | Muhammad, Brilliant Yudha, yanuarti, ika |
|---|---|
| Format: | Article info application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Universitas Multimedia Nusantara
, 2020
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| Online Access: |
http://ejournals.umn.ac.id/index.php/Akun/article/view/1475 http://ejournals.umn.ac.id/index.php/Akun/article/view/1475/890 |
Daftar Isi:
- Introduction/Main Objectives: This study aims to analyze differences in abnormal return and trading volume activities before Ramadhan, during Ramadhan, and after Ramadhan in LQ45 companies in the period 2018 - 2019. Background Problems: Ramadan anomaly is a strategy that is contrary to the efficient market, because this strategy can produce abnormal returns and high trading volume activity around Ramadan that can be utilized for investment decision making. Novelty: Capital market participants not only see the company's performance in investment decision making, but also see the market anomalies that occur around Ramadan. Research Methods: Samples taken by using purposive sampling as many as 37 companies. The data analysis technique starts with conducting a normality test using Kolmogorov-Smirnov, transforming data, then testing the hypothesis using a paired t-test. Finding/Results: (1) There is a difference in abnormal return before Ramadan and during Ramadan 2019, during Ramadan with after Ramadan 2019, and during Ramadan with after Ramadan 2018. (2) There is no difference in abnormal return before Ramadan and after Ramadan 2019, before Ramadan with during Ramadan 2018, and before Ramadan and after Ramadan 2018. (3) There are differences in trading volume activity before Ramadan during Ramadan 2018, and during Ramadan with after Ramadan 2018. (4) There is no difference in trading volume activity before Ramadan with Ramadan 2019, during Ramadan with after Ramadan 2019, before Ramadan with after Ramadan 2019, and during Ramadan with after Ramadan 2018. Conclusion: Different research results show that the abnormal return reaction and trading volume activity are not consistent with the Ramadan.
- Pendahuluan / Tujuan Utama: Penelitian ini bertujuan untuk menganalisa perbedaan abnormal return dan trading volume activity sebelum Ramadan, selama Ramadan, dan sesudah Ramadan pada perusahaan LQ45 periode 2018 – 2019. Latar Belakang Masalah: Anomali Ramadan merupakan strategi yang bertentangan dengan pasar efisien, karena strategi ini dapat menghasilkan abnormal return dan tingginya trading volume activity di sekitar Ramadan yang dapat dimanfaatkan untuk pengambilan keputusan investasi. Kebaruan: Pelaku pasar modal tidak hanya melihat kinerja perusahaan dalam pengambilan keputusan investasi, namun juga melihat anomali pasar yang terjadi di sekitar Ramadan. Metode Penelitian: Sampel yang diambil dengan menggunakan purposive sampling sebanyak 37 perusahaan. Teknik analisis data dimulai dengan melakukan uji normalitas menggunakan Kolmogorov – Smirnov, transformasi data, kemudian melakukan uji hipotesis menggunakan uji paired t – test. Temuan / Hasil: (1) Terdapat perbedaan abnormal return sebelum Ramadan dengan selama Ramadan 2019, selama Ramadan dengan sesudah Ramadan 2019, dan selama Ramadan dengan sesudah Ramadan 2018. (2) Tidak terdapat perbedaan abnormal return pada sebelum Ramadan dengan sesudah Ramadan 2019, sebelum Ramadan dengan selama Ramadan 2018, dan sebelum Ramadan dengan sesudah Ramadan 2018. (3) Terdapat perbedaan trading volume activity sebelum Ramadan dengan selama Ramadan 2018, dan selama Ramadan dengan sesudah Ramadan 2018. (4)Tidak terdapat perbedaan trading volume activity sebelum Ramadan dengan selama Ramadan 2019, selama Ramadan dengan sesudah Ramadan 2019, sebelum Ramadan dengan sesudah Ramadan 2019, dan selama Ramadan dengan sesudah Ramadan 2018. Kesimpulan: Hasil penelitian yang berbeda menunjukkan bahwa reaksi abnormal return dan trading volume activity tidak konsisten terhadap peristiwa Ramadan.