REAKSI RAMADHAN EFFECT TERHADAP SAHAM PERUSAHAAN MAKANAN DAN MINUMAN DI INDONESIA

Abstract

This study aims to test the statistical hypothesis (H0), that there are no differences in trading volume activity and abnormal returns that occur before and after Ramadhan in 2016, 2017, and 2018. The sample of this research consists of 12 companies determined based on purposive sampling technique. The research data was taken from the IDX in the form of the JCI daily time-series data, closing prices of shares, trading volume, and the number of shares outstanding during the20 trading days in Sha’ban, 20 trading days in Ramadhan and 20 trading days in Shawwal in 2016, 2017 and 2018. Data processing using SPSS software version 20.0 by conducting descriptive statistical tests and hypothesis tests using paired sample ttest. The results indicated that the largest trading volume activity and the highest abnormal return occurred in the Sya’ban. Trading volume activity does not differ significantly between before Ramadhan (Sha’ban) and after Ramadhan (Shawwal). Likewise, the abnormal return does not differ significantly between before Ramadhan (Sha'ban) and after Ramadhan (Shawwal). Therefore, it can be said that the Ramadhan effect does not react to trading volume activity and abnormal returns on consumer goods stocks, especially on food and beverage company’s stock.