THE PRESENCE OF EID al-FITR HOLIDAY EFFECT IN JKSE INDEX RETURN AND THE RELATION BETWEEN EID al-FITR HOLIDAY EFFECT AND FIRM SIZE DURING 2000 TO 2013

Yurike, Sherley (2014) THE PRESENCE OF EID al-FITR HOLIDAY EFFECT IN JKSE INDEX RETURN AND THE RELATION BETWEEN EID al-FITR HOLIDAY EFFECT AND FIRM SIZE DURING 2000 TO 2013. Jurnal Ekonomi Manajemen Internasional. p1-12.

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Abstract

This thesis investigates the presence of Eid al-Fitr Holiday Effect in the returns of JKSE index and the relation between the Eid al-Fitr Holiday Effect with the Firm size during the period of 2000-2013. In providing the evidence of Eid al-Fitr Holiday effect this research is using the data of daily stock prices of JKSE which later on is calculated to find the daily stock return. To examine the difference between the Eid al-Fitr holiday returns and other days returns, thi research is using the returns of two days before and two days after Eid al-Fitr holidays. Moreover, this research also investigates the relation between Eid al-Fitr holiday effect with the firm size. The sample is taken from the the companies’s stocks which are continually listed during 2000 to 2013 in LQ45 Index, those are Astra Agro Lestari (AALI), Indofood Sukses Makmur (INDF), United Tractors (UNTR), Telekomunikasi Indonesia (TLKM), and Astra International (ASII). Those stocks are then classified into two, Small Capitalization and Big Capitalization based on its market capitalization data during 2000 to 2013. The result of this research explains that there is no presence of Eid al-Fitr Holiday effect in JKSE index return and there is no relation between the firm size and Eid al-Fitr Holiday effect.

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