The purpose of this study is to analyze the capital market reaction from the impact
of religious holidays which will be indicated by the presence or absence of
abnormal return and trading volume activity. The sample used is the Jakarta
Islamic Index (JII). This type of research is event study so that the observation
period is used to see reactions before and after the event occurs. The events used
in this study were the Birthday of the Prophet Muhammad, Isra Mi'raj, Eid al-Fitr,
Eid al-Adha and Islamic New Year. The observation period used is from 2014 to
2017. The research period used was 7 days before the event and 7 days after the
event. Data sources are obtained from Yahoo Finance, Sahamok.com and IDX.
The data used in this study are secondary data, such as stock closing prices, IHSG
closing prices and stock trading volume. The analytical tool used to test the
hypothesis in this study is a paired t-test. The results showed that Eid al-Adha
holidays had a significant difference to the abnormal return and trading volume
activity before and after holidays. There were no significant differences in the
abnormal return and trading volume activity before and after the Miraj Isra
holiday. While the birthday of the Prophet Muhammad SAW, Eid holidays and
Islamic New Year holidays there is no significant difference between abnormal
stock returns and there are differences in trading volume activity before and after
holidays.