| Summary: | Capital Market is a market for tradable financial instruments, consists of
debt-financial instruments type such as obligations or equity-financial instruments
type such as stock, mutual fund, derivative or other instruments. Capital market act
as a source of fund for company or other institutions (such as governments) and also
as an investment source. Therefore, capital market provide various facilitations and
infrastructure for trading activities and other related activities.
Indonesia Stock Exchange is the merger of two stock exchange: Jakarta Stock
Exchange and Surabaya Stock Exchange, that become the meeting facilities between
investors and emitens in Indonesia. Along with the growth of Indonesia economic
development, Indonesia Stock Exchange also showed significant growth in volume
and in transaction frequency. Composite Stock Exchange (IHSG) which acts as a
barometer for stock price in Indonesia Stock Exchange, also experience significant
growth.
IHSG growth also gives an opportunity for investors to gain return in form of
capital gain. Investor's effort to gain return from capital gain can be done in various
ways, one of them is with technical analysis by observing patterns of past IHSG
movement that brings abnormal return. This study try to analyze patterns of IHSG
movements in period around religious holidays (holiday effect).
The result of this analysis concludes that holiday effect happened in periods
after Idul Fitri holiday, during period of observations in 2008 - 2012, and also there
is a tendency of incease average daily transactions after Idul Fitri and Chrismast
holiday and there is a tendency of increase of abnormal return in period T+4 and
T+5 after the religious holidays. This result gives opportunity for investors to gain
profit.
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