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>THE PRESENCE OF EID al-FITR HOLIDAY EFFECT IN JKSE INDEX RETURN AND THE RELATION BETWEEN EID al-FITR HOLIDAY EFFECT AND FIRM SIZE DURING 2000 TO 2013
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THE PRESENCE OF EID al-FITR HOLIDAY EFFECT IN JKSE INDEX RETURN AND THE RELATION BETWEEN EID al-FITR HOLIDAY EFFECT AND FIRM SIZE DURING 2000 TO 2013
This thesis investigates the presence of Eid al-Fitr Holiday Effect in the returns of JKSE index and the relation between the Eid al-Fitr Holiday Effect with the Firm size during the period of 2000-2013. In providing the evidence of Eid al-Fitr Holiday effect this research is using the data of daily stock prices of JKSE which later on is calculated to find the daily stock return. To examine the difference between the Eid al-Fitr holiday returns and other days returns, thi research is using the returns of two days before and two days after Eid al-Fitr holidays.udMoreover, this research also investigates the relation between Eid al-Fitr holiday effect with the firm size. The sample is taken from the the companies’s stocks which are continually listed during 2000 to 2013 in LQ45 Index, those are Astra Agro Lestari (AALI), Indofood Sukses Makmur (INDF), United Tractors (UNTR), Telekomunikasi Indonesia (TLKM), and Astra International (ASII). Those stocks are then classified into two, Small Capitalization and Big Capitalization based on its market capitalization data during 2000 to 2013. The result of this research explains that there is no presence of Eid al-Fitr Holiday effect in JKSE index return and there is no relation between the firm size and Eid al-Fitr Holiday effect.
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机译：本文研究了JKSE指数收益率中的开斋节假期效应的存在以及2000-2013年开斋节假期效应与企业规模的关系。在提供开斋节假期效应的证据时，本研究使用的是JKSE的每日股票价格数据，随后该数据被计算出每日股票收益率。为了研究开斋节假期收益与其他天收益之间的差异，本研究使用开斋节假期前两天和节后两天的收益。 ud此外，本研究还调查了开斋节假期之间的关系。 -Fitr假日效应与公司规模。样本取自2000年至2013年间在LQ45指数中连续上市的公司股票，这些股票包括Astra Agro Lestari（AALI），Indofood Sukses Makmur（INDF），United Tractors（UNTR），Telekomunikasi Indonesia（TLKM）和阿斯特拉国际（ASII）。然后根据2000年至2013年的市值数据将这些股票分为小资本化和大资本化两种。研究结果表明，JKSE指数回报率不存在开斋节假日效应，也没有公司规模与开斋节假期效应之间的关系。
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