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All Journal Journal of Entrepreneurship & Business
Putu Anom Mahadwartha
Management Department, University of Surabaya, Indonesia
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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The Effect of Ramadan Month on Stock Return and Volatility of A Sharia-based Index Arief Rahmatullah; Putu Anom Mahadwartha; Endang Ernawati
Journal of Entrepreneurship and Business Vol. 2 No. 2 (2021): Journal of Entrepreneurship and Business (September)
Publisher : Program MM Universitas Surabaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (476.899 KB) | DOI: 10.24123/jeb.v2i2.4642

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.
Co-Authors Arief Rahmatullah Endang Ernawati