The Effect Of Ramadan Month On Stock Return And Volatility Of A Sharia-Based Index

Rahmatullah, Arief and Mahadwartha, Putu Anom and Ernawati, Endang (2021) The Effect Of Ramadan Month On Stock Return And Volatility Of A Sharia-Based Index. Journal of Entrepreneurship & Business (JEB), 2 (2). pp. 119-133. ISSN 2721-706X

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Abstract

This study aims to examine the effect of a religious-related calendar anomaly, namely Ramadan, on stock return and volatility of a Sharia-based index in Indonesia. This study used the GARCH (p,q) method and linear regression to examine the effect of Ramadan on stock returns and volatility, with Ramadan as a dummy variable. This study results show that Ramadan month has a significant positive effect on stock returns, or it can be said that an anomaly occurs during Ramadan month. Meanwhile, volatility during Ramadan month is negative and not significant. This study also exercised a T-test to support the GARCH regression (p,q) and linear regression results. The t-test results show that the average return during Ramadan is higher than in other months. Meanwhile, the average volatility during Ramadan is lower than in other months.

Item Type:	Article
Uncontrolled Keywords:	Ramadhan effect, Seasonal Anomaly, Stock Return, Volatility
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Divisions:	Faculty of Business and Economic > Department of Management
Depositing User:	Ester Sri W. 196039
Date Deposited:	01 Nov 2022 04:44
Last Modified:	01 Nov 2022 04:44
URI:	http://repository.ubaya.ac.id/id/eprint/42829

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