Investors Reactions to Islamic Religious Events in Indonesia: Indonesia Stock Exchange JII70 Index - Nabilatunnuha, Adelia; Rahmatika, Dien Noviany; Mubarok, Abdulloh (JURNAL MANAJEMEN MOTIVASI, 2025)
AbstrackThis study examines the impact of Islamic religious events on the Islamic capital market, focusing on AAR and ATVA on the JII70 index during 2021-2024. The study applies an event study method using 33 companies selected by purposive sampling. The events analyzed are Ramadan, Eid al-Fitr, and Eid al-Adha. The results show that AAR does not change significantly during these events. However, ATVA increases during Ramadan and Eid al-Fitr, reflecting positive investor sentiment and higher trading activity. Eid al-Adha has no significant impact on AAR or ATVA. These findings support the efficient market hypothesis, where religious events affect trading volume more than stock price movements.A B S T R A C TPenelitian ini mengkaji pengaruh peristiwa keagamaan Islam terhadap pasar modal syariah dengan fokus pada AAR dan ATVA pada indeks JII70 periode 2021-2024. Penelitian menggunakan metode event study dengan 33 perusahaan yang dipilih melalui purposive sampling. Tiga peristiwa yang dianalisis meliputi Ramadan, Idul Fitri, dan Idul Adha. Hasil menunjukkan AAR tidak mengalami perubahan signifikan selama ketiga peristiwa tersebut. Namun, ATVA mengalami peningkatan saat Ramadan dan Idul Fitri, menunjukkan adanya sentimen positif investor dan peningkatan aktivitas perdagangan. Idul Adha tidak memberikan pengaruh signifikan terhadap AAR maupun ATVA. Hasil penelitian mendukung hipotesis pasar efisien, bahwa peristiwa keagamaan lebih mempengaruhi volume transaksi daripada perubahan harga saham.