Faculty of Economics and Business, Halu Oleo University, Kendari Abstract The purpose of this study is to investigate the difference of average return and abnormal return before and after Islamic holiday in Indonesia and to investigate whether the Indonesian Stock Exchange is efficient or not. Islamic holiday investigated in this study are Eid alFitr, Eid al-Adha, Mawlid, and Isra Mi’raj period 2013-2017. Samples in this study were 30 companies which included in consumer goods in the industry sector, obtained by purposive sampling method. Paired sample t-test in SPSS 24 version for Windows was used. The results of this study showed that there were no significant differences on normal returns before and after Idul Fitri, Idul Adha, Maulid, and Isra Mi’raj. There were no significant differences on abnormal returns before and after Maulid and Isra Mi’raj. There were substantial differences in abnormal return before and after Idul Fitri and Idul Adha. It showed that holiday effect did happen in Indonesia Stock Exchange and showed that Indonesia Stock Exchange ia included in the semi-strong formation the of efficient market.