HERSUGONDO, Hersugondo (2021) Artikel Dr. HERSUGONDO, SE, MM: 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).

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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.

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