Universal Journal of Accounting and Finance Vol. 9(5), pp. 1093 - 1102
DOI: 10.13189/ujaf.2021.090519
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Map of Changes in Abnormal Return and Trading Volume Activity: Reviewing the Effect of Ramadhan in Indonesia

Endang Tri Widyarti , Sugeng Wahyudi , Hersugondo Hersugondo ^*
Department of Management, Faculty of Economic and Business, Diponegoro University, Indonesia

ABSTRACT

Investor assessment of information on the effect of Ramadhan on stock return and trading volume company activities in the capital market is an important phenomenon that always occurs. The purpose of this study was to analyze average abnormal returns and average trading volume activities of stocks before and after the announcement the effect Ramadhan as National Non-Natural Disaster. The method used was an event study with a sample of companies listed in the LQ45, JII, SRI KEHATI, and PEFINDO Indexes. Observations of the 30-day Ramadan event were carried out from April 23 to March 24, 2021, in the month of Sha'ban - syawwal, using 15 samples obtained from IDX (Indonesian Stock Exchange) data. The analytical tool used was regression supported by the SPSS application. The results of the study showed that the Abnormal Returns (AR) was significantly different before (Sya'ban) and after the month of Ramadan (Syawal) for companies on the Indonesia Stock Exchange in 2021, indicating a consistent AR reaction to the Ramadhan Effect. Meanwhile, Trading Volume Activities (TVA) didn't differ significantly before (Sya'ban) and after the month Ramadan (Syawal) at companies on Indonesia Stock Exchanges in 2021. This study updates previous research by including the effect of Ramadan as a research test variable.

KEYWORDS
Abnormal Return, Trading Volume Activity, Ramadhan Effects, Stock Market

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Endang Tri Widyarti , Sugeng Wahyudi , Hersugondo Hersugondo , "Map of Changes in Abnormal Return and Trading Volume Activity: Reviewing the Effect of Ramadhan in Indonesia," Universal Journal of Accounting and Finance, Vol. 9, No. 5, pp. 1093 - 1102, 2021. DOI: 10.13189/ujaf.2021.090519.

(b). APA Format:
Endang Tri Widyarti , Sugeng Wahyudi , Hersugondo Hersugondo (2021). Map of Changes in Abnormal Return and Trading Volume Activity: Reviewing the Effect of Ramadhan in Indonesia. Universal Journal of Accounting and Finance, 9(5), 1093 - 1102. DOI: 10.13189/ujaf.2021.090519.