Analysis of the Ramadan Effect in Indonesia Stock Exchange
DOI:
https://doi.org/10.17010/ijf/2016/v10i8/99320Keywords:
Ramadan Effect
, Abnormal Return, Market Efficiency, and Calendar AnomalyG12
, G14, G15Paper Submission Date
, August 30, 2015, Paper sent back for Revision, February 15, 2016, Paper Acceptance Date, March 31, 2016.Abstract
The purpose of the present study was to find out the return during Ramadan, which is different from returns in other periods in the Indonesia Stock Exchange. We analyzed three months of observations; one month before Ramadan (Sha'ban), Ramadan, and one month after Ramadan. Hypothesis testing using paired sample t-test was used to determine whether there were any differences between Ramadan with Sha'ban and also between Ramadan with Shawwal. The results of this study showed that there is no difference between returns in Ramadan with the returns in other months (one month before Ramadan and one month after Ramadan) in the Indonesia Stock Exchange. So, based on the period of this research, it can be concluded that there is no Ramadan effect in the Indonesia Stock Exchange.Downloads
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