PENGARUH HOLIDAY EFFECT TERHADAP RETURN SAHAM PERUSAHAAN YANG TERGABUNG DALAM LQ-45 DI BURSA EFEK INDONESIA

Abstract

This thesis wants to know whether the effect of holiday (Holiday Effect) on Firms’s Stock Return Which Incorporate In LQ-45 on February 2011 – January 2014. Samples were taken in this study  is the daily stock price data from firms which incorporate in LQ-45 on February 2011 – January 2014. This study was divided into two holidays; religious holidays and national holidays to see whether there are differences  in the view of investors on both holidays. The research concludes there is influence of Holiday Effect on Firms’s Stock Return Which Incorporate In LQ-45 on February 2011 – January 2014.

 

Key Words : Holiday Effect, Efficient Market, Anomaly Calendar, Pre-Holiday, Post Holiday