REAKSI ABNORMAL RETURN DAN TRADING VOLUME ACTIVITY TERHADAP RAMADHAN EFFECT (Studi pada Perusahaan Food and Beverages yang Terdaftar di Bursa Efek Indonesia Periode 2013-2014) - Syarifatul A’immah (Fakultas Ilmu Administrasi Universitas Brawijaya, 2015)
The purpose of this research is to examine the reaction of Abnormal Return (AR) and Trading Volume Activity (TVA) on Ramadhan Effect in the Indonesia Stock Exchange. This research is an event study research by using quantitative approach. The sample is selected using purposive sampling technique. The sample consists of 15 stocks in the Food and Beverages sub sector during 2013-2014. The methods which is used to test hypothesis is paired sample t-test. The results show that AR during Ramadhan is not significantly different from that during than Sya’ban and Syawal, but TVA during Ramadhan is significantly different. It indicates that TVA reacts on Ramadhan Effect. The research also finds that AR and TVA during Sya’ban are higher than Ramadhan and Syawal. Keywords: Abnormal Return, Trading Volume Activity, Ramadhan Effect, Food and Beverages, Event Study Abstrak Tujuan dari penelitian ini adalah untuk menguji reaksi Abnormal Return (AR) dan Trading Volume Activity (TVA) terhadap Ramadhan Effect di Bursa Efek Indonesia. Jenis penelitian ini adalah penelitian studi peristiwa (event study) dengan pendekatan kuantitatif. Sampel terdiri dari 15 saham sub sektor Food and Beverages periode 2013-2014. Metode yang digunakan untuk menguji hipotesis adalah paired sample t-test. Hasil penelitian menunjukkan bahwa AR selama Ramadhan tidak berbeda secara signifikan dengan AR selama Sya’ban dan Syawal, namun TVA selama Ramadhan berbeda secara signifikan. Hasil penelitian mengindikasikan TVA bereaksi terhadap Ramadhan Effect. Penelitian ini juga menemukan bahwa AR dan TVA Sya’ban lebih tinggi dibandingkan dengan Syawal dan Ramadhan. Kata Kunci: Abnormal Return, Trading Volume Activity, Ramadhan Effect, Food and Beverages, Event Study