Path: Top Journal Jurnal_Ekonomi 2004

Anomali pasar dan Idul Fitri holiday effect : kasus di bursa efek Jakarta.

Jurnal Ekonomi, volume 8, no. 2, Juni 2004
Journal from JIPTUNMERPP / 2008-01-09 09:44:51
Oleh : Sukmawati Sukamulja, Faculty_of_Economics_-_Merdeka_University_Malang (jurnalekonomi-feunmer@yahoo.com)
Dibuat : 2004-06-01, dengan file

Keyword : Asset-pricing behavior, market anomalies, Idul Fitri holiday effect, and market efficiency.

Anomalies are empirical results than seem to be inconsistent with maintened theories of asset-pricing behavior. Several studies have documented the effect of size, devidend yields, E/P ratios, book-to-market value ratios, weekend, January effects, and holiday effect on market returns. Still, much controversy surrounds the existence of, and explanations for the observed market anomalies. Idul Fitri effect is one of the holiday effect. This paper examines the effect of Idul Fitri holiday to market returns. I find that the Idul Fitri holiday do not significantly affect to the Jakarta Stock Exchange during 1999 through 2003. This finding contributes to the debatable of market anomaly as a puzzle of market efficiency.

Deskripsi Alternatif :

Anomalies are empirical results than seem to be inconsistent with maintened theories of asset-pricing behavior. Several studies have documented the effect of size, devidend yields, E/P ratios, book-to-market value ratios, weekend, January effects, and holiday effect on market returns. Still, much controversy surrounds the existence of, and explanations for the observed market anomalies. Idul Fitri effect is one of the holiday effect. This paper examines the effect of Idul Fitri holiday to market returns. I find that the Idul Fitri holiday do not significantly affect to the Jakarta Stock Exchange during 1999 through 2003. This finding contributes to the debatable of market anomaly as a puzzle of market efficiency.

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