A study of Ramadan effect on the Indonesia Stock Exchange


Keywords: event studies, Ramadan, returns, anomalies, Liquid 45, Indonesia Stock Exchange

Abstract

This study aims to test whether there are significant anomalies in stock returns in Shaaban (before Ramadan), Ramadan, and Shawwal (after Ramadan) in the Indonesia Stock Exchange (IDX). Sample was selected based on the listed companies included in the Liquid 45 indices (LQ45). Data collection is based on weekly closing price in the period 2012 till 2017. Research design followed the event studies and assumes that capital market was semi strong. The analytical method is the Wilcoxon-test and Paired Sample T-test statistical models with a confidence level of 95% or α = 0.05. The results showed that there was no significant statistical difference between LQ45 returns and abnormal returns in Shaaban, Ramadan, and Shawwal in the research period. It revealed that there was not any anomalies effect of Ramadan in Indonesia Stock Exchange.

JEL Classification: H54, R53

Author Biographies

Bimo Galuh Saputro Ahmad, Universitas Mercu Buana, Jakarta, Indonesia

Mercu Buana University, Jakarta

Wiwik Utami, Universitas Mercu Buana, Jakarta, Indonesia

Mercu Buana University, Jakarta, JAKARTA BARAT, PROF. DR (ACCOUNTING)

References

Al-Hajieh, H., Redhead, K. and Rodgers, T. (2011), “Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic Middle Eastern markets”, Research in International Business and Finance, available at: https://doi.org/10.1016/j.ribaf.2011.03.004 (Accessed 11 October 2019), DOI: 10.1016/j.ribaf.2011.03.004.

Alturki, F. M. and Khan, A. (2015), Seasonality in the Saudi stock market, Jadwa Investment, June, available at: http://www.jadwa.com/en/download/seasonality-in-the-saudi-stock-market/research-10-2-1-1 (Accessed 13 October 2019).

Badan Pusat Statistik (2017), Data dan Laporan Tahun 2012-2017, available at: https://www.bps.go.id/Publikasi (accessed 12 October 2019), (in Indonesian).

Bank Indonesia (2017), Data dan Laporan tahun 2012-2017, available at: https://www.bi.go.id/id/publikasi/laporan-tahunan/bi/Default.aspx (Accessed 12 October 2019), (in Indonesian).

Bodie, Z., Kane, A. and Marcus, A. (2011), Investments and portofolio management (Global Edi), New York: The McGraw-Hill Companies Inc.

Chan, M. W. L., Khanthavit, A. and Thomas, H. (1996), “Seasonality and cultural influences on four Asian stock markets”, Asia Pacific Journal of Management, available at: https://doi.org/10.1007/BF01733814 (Accessed 13 October 2019), DOI: 10.1007/BF01733814.

Chotib, C. (2014), Mudik dan arus migrasi, Kompas.com, available at: https://nasional.kompas.com/read/2014/07/27/23175561/Mudik.dan.Arus.Migrasi?page=all (Accessed 21 October 2019), (in Indonesian).

Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, The Journal of Finance, available at: https://doi.org/10.2307/2325486 (Accessed 20 October 2019), DOI: 10.2307/2325486.

Guo, S. and Wang, Z. (2007), Market Efficiency Anomalies: A Study of Seasonality Efffect on the Chinese Stock Exchange, Umea University.

Iqbal, M. S., Kouser, R. and Azeem, M. (2013), “Conventional and Islamic Anomalies in Karachi Stock Exchange”, Science International Journal Lahore, Vol. 25, Issue 4, pp. 999-1007.

Moosa, I. A. (2010), “Does Climatic Seasonality Produce Seasonality in Stock Returns? Evidence from an Emerging Stock Market”, Journal of Applied Business and Economics, Vol. 11, Issue 2, available at: https://www.semanticscholar.org/paper/Does-Climatic-Seasonality-Produce-Seasonality-in-an-Moosa/40e88b88fa979b439f11ce281d6dbef332eb9095 (Accessed 20 October 2019).

Perez, M. (2011), “Efficient Market Hypothesis and Apple Seasonality”, Alhambra Investments, available at: https://alhambrapartners.com/2011/12/11/efficient-market-hypothesis-and-apple-seasonality/ (Accessed 20 October 2019).

Purwakananta, A. and Abilawa, S. (2011), Ekonomi mudik potret potensi ekonomi mudik lebaran dan gagasan mudik berdayakan desa, Jakarta: Dompet Dhuafa Press, (in Indonesian).

Reilly, F. K. and Brown, K. C. (2012), Investment Analysis & Portfolio Management, 10th ed., Mason, OH : South-Western Cengage Learning.

Weber, C. S. and Nickol, P. (2016), “More on Calendar Effects on Islamic Stock Markets”, Review of Middle East Economics and Finance, available at: https://doi.org/10.1515/rmeef-2015-0039 (Accessed 2 October 2019), DOI: 10.1515/rmeef-2015-0039.
Published
2019-12-30
How to Cite
Saputro Ahmad, B. G. and Utami, W. (2019) “A study of Ramadan effect on the Indonesia Stock Exchange”, Management and Entrepreneurship: Trends of Development, 4(10), pp. 67-78. doi: https://doi.org/10.26661/2522-1566/2019-4/10-06.
Section
Entrepreneurship, Trade and Exchange Activities