Effects of Eid Al Fitr and January Holidays on Stock Returns in LQ45 Company

Hilda Nur Sopha Ningsih and Ellen Rusliati ()
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Hilda Nur Sopha Ningsih: Universitas Pasundan
Ellen Rusliati: Universitas Pasundan

A chapter in Proceedings of the 8th Global Conference on Business, Management, and Entrepreneurship (GCBME 2023), 2024, pp 88-93 from Springer

Abstract: Abstract Investors can use market anomalies 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 is an increase in stock returns compared to normal days. In contrast, the January effect is an increase in stock returns in the early weeks of January compared to the end of the 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 a sample selection technique using a purposive sampling method. The total sample is 24 companies. The analytical tool used is the Wilcoxon Signed Ranks Test. The results prove significant differences in stock returns before and after the Eid al-Fitr holidays, although the pattern was irregular, while before and after January showed insignificant differences.

Keywords: Market anomalies; Stock return; Eid al Fitr Holiday Effect; January Effect; LQ45 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-443-3_14

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DOI: 10.2991/978-94-6463-443-3_14

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