PENGARUH PERISTIWA JANUARY EFFECT TERHADAP ABNORMAL RETURN DAN VOLUME TRADING SAHAM YANG LISTING PADA JAKARTA ISLAMIC INDEX TAHUN 2017-2019

Devris El Farizi, NIM.: 15830072 (2020) PENGARUH PERISTIWA JANUARY EFFECT TERHADAP ABNORMAL RETURN DAN VOLUME TRADING SAHAM YANG LISTING PADA JAKARTA ISLAMIC INDEX TAHUN 2017-2019. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

This study aims to test and provide evidence of how big the market reaction to the effect of the January effect on abnormal returns and trading volume of shares in companies listed on the Jakarta Islamic Index JII in 2017-2019 with a sample of 30 companies. The sample selection method uses purposive sampling with a study period of 3 years and the data used in this study are secondary data in the form of company financial statements. The analytical method used in this study uses STATA and SPSS. The results show that current stock movements can be influenced by information because the prices traded in the market are a reflection of existing information. The information can be in the form of information from the company's internal or external company. The test used is the normality test, paired sample T-test and Wilcoxon signed rank test. The results showed that the January effect only responded negatively by -2,172 on the 3rd day before the event and then responded positively by 2,086 on the 4th day after the event and there were differences in stock trading volume before and after the January effect.

Item Type: Thesis (Skripsi)
Additional Information: Mukhamad Yazid Afandi, M.Ag
Uncontrolled Keywords: Pasar efisien; pasar modal syariah; saham syariah; JII
Subjects: Ekonomi Keuangan
Divisions: Fakultas Ekonomi dan Bisnis Islam > Manajemen Keuangan Syariah (S1)
Depositing User: Muh Khabib SIP.
Date Deposited: 09 Jun 2021 12:51
Last Modified: 09 Jun 2021 12:51
URI: http://digilib.uin-suka.ac.id/id/eprint/42243

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