The Effect of Ramadan Month on Stock Return and Volatility of A Sharia-based Index

Arief Rahmatullah (Management Department, University of Surabaya, Indonesia)
Putu Anom Mahadwartha (Management Department, University of Surabaya, Indonesia)
Endang Ernawati (Management Department, University of Surabaya, Indonesia)

Journal of Entrepreneurship & Business
Vol. 2 No. 2 (2021): Journal of Entrepreneurship and Business (September)

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.