REAKSI ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY TERHADAP RAMADHAN EFFECT (Studi pada Perusahaan Food and Beverages yang Terdaftar di Bursa Efek Indonesia Periode 2015-2017)

Abstract

Abstract
The purpose of this research is to examine the reaction of Abnormal
Return (AR) and Trading Volume Activity (TVA) on Ramadhan Effect in the
Indonesia Stock Exchange. This research is an event study research by using
quantitative approach. The sample consists of 8 Food and Beverages companies
listing on Indonesia Stock Exchange during 2015-2017. The methods which is
used to test hypothesis is paired sample t-test. The results show that Abnormal
Return (AR) sifnificantly different between before (Sya’ban) and after Ramadhan
(Syawal) in Food and Beverages company in Indonesian Stock Exchange 2016-
2017, but Trading Volume Activity (TVA) does not significantly different between
before (Sya’ban) and after Ramadhan (Syawal) in Food and Beverages company
in Indonesia Stock Exchange in 2015-2017. The different research results indicate
that AR and TVA reactions are inconsistent with Ramadhan Effect.
Keywords: Abnormal Return, Trading Volume Activity, Ramadhan Effect, Food
and Beverages, Event Study.