A market anomaly techniques that seems contradictory development strategies Market with efficient process. The market efficiently process the anomaly should not occur . In financial theory, known at least four kinds of anomalies in the market. The fourth anomaly is anomalous Company ( anomaly companies ) , or seasonal calendar anomalies ( anomalies calendar / seasonal anomalies ) , anomalous events or Genesis ( anomalous event) and accounting anomalies ( anomalies accounting ) . The holiday effect is the prayer calendar anomaly Part of one important holiday hearts or more calendar contains the holiday effect in which Revenue Shares in the day - Toward the High Holidays much more than the day - a normal day.The issues raised in this research is : how is the stock return of sharia in Jakarta Islamic Index ( JII ) before and after the New Year Holidays Hijri , the Prophet's Birthday , Isra ' Mi'raj , Idul Fitri , Idul Adha and overall Holidays Islam (Islamic Holiday ) . This study propose to analyze the stock return of sharia in Jakarta Islamic Index ( JII ) before and after Holidays Islam (Islamic Holiday ) . Research using quantitative approach . The sample used a number of 10 shares of the population of Jakarta Islamic Index ( JII ) 2012-2014 , they were taken by using purposive sampling.The results of data analysis with Test Paired samples t-test showed that H0 is accepted on Holidays New Year Hijrah , the Prophet's Birthday , Eid al-Fitr , Eid al- Adha and the overall Holidays Islam (Islamic Holiday) in the sense that there is no significant difference between before ( pre- holiday ) and after the Islamic holidays ( post- holiday ) on stock returns JII index 2012-2014 ( holiday effect phenomenon unidentified ) and H0 is rejected on Holidays Isra ' Mi'raj in the sense that there are significant differences between the before ( pre- holiday ) and after the Islamic holidays ( post- holiday ) on stock returns JII index 2012-2014 ( holiday effect phenomenon identified ).