Hari Perdagangan : Abnormal Return dan Volatilitas Return Saham
Studi Pada Perusahaan di Jakarta Islamic Index
DOI:
https://doi.org/10.23969/jrie.v2i3.34Keywords:
Abnormal Returns, The Trading Day Anomaly , Stock Return VolatilityAbstract
Investors have a goal of maximizing the return of invested funds without ignoring the risks. This study aims to determine the effect of trading days on stock abnormal returns and stock return volatility in companies that are consistently listed on the Jakarta Islamic Index for the period January–December 2021. The companies that are consistently listed on the Jakarta Islamic Index during January–December 2021 are the population in this study. The purposive sampling method resulted in 24 sample companies. The method of analysis in this study is the Wilcoxon Signed Rank Test. The results showed that there was no significant effect of the trading day anomaly on abnormal stock returns. Positive abnormal stock returns occur on Thursday and negative on Tuesday. There is a significant effect of the trading day anomaly on the volatility of the company's stock returns.
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