ANALISIS REAKSI PASAR MODAL ATAS HARI RAYA IDUL FITRI (EVENT STUDY PADA PERUSAHAAN CONSUMER GOODS INDUSTRY)
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Abstract
This study aims to analyze the capital market's reaction to the Eid al-Fitr holiday using an event study approach in the consumer goods sector listed on the Indonesia Stock Exchange (IDX) during the period of 2021–2024. Market reaction is measured using two main indicators: abnormal return and trading volume activity (TVA), with an observation period of five days before and five days after the Eid holiday. The analytical method used is the independent sample t-test to examine differences between the event and non-event periods.
The results show that the market reacted significantly in the form of abnormal returns before and after the Eid holiday. Prior to the holiday, abnormal returns were negative and significant, indicating selling pressure from investors. After the holiday, a significant positive abnormal return was observed, followed by a significant decline, indicating post-holiday optimism and profit-taking. Meanwhile, trading volume activity did not show any significant difference across both periods, indicating stable trading activity. These findings support the hypothesis that the Indonesian capital market reacts to the Eid al-Fitr holiday, particularly through price movements, although it is not fully semi-strong efficient.
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