Seasonality and Ramadan Effect on Five Muslim Countries

ANDREAS NUGROHO RAHARDYANTO, Dr. Alexandra van Geen, Gosse Alserda

2017 | Skripsi | S1 ILMU EKONOMI

Bulan suci Ramadhan dirayakan oleh lebih dari 1 miliar umat Muslim setiap tahun dan memiliki efek psikologis serta jasmani terhadap umat yang merayakannya. Karena efeknya pada investor, peningkatan harga saham selama Ramadhan mungkin berbeda dibandingkan dengan peningkatan harga saham pada periode lainnya. Tesis ini memeriksa peningkatan harga saham selama bulan Ramadhan di 5 negara dengan mayoritas penduduk beragama Islam selama periode 1999-2015. Sebagai variabel kontrol, anomali mingguan turut diperiksa dan 5 negara non-Muslim juga digunakan sebagai pembanding. Hasil daripada tesis ini mengindikasikan ketiadaan peningkatan harga saham yang signifikan selama Ramadhan pada 4 negara Muslim, tetapi harga saham menjadi lebih stabil selama Ramadhan

The holy month of Ramadan is observed by more than 1 billion Muslims every year and it has profound psychological and physical effects on its adherents. Due to its effects on investors, stock returns during Ramadan may be different compared to returns during the rest of the year. This paper examines stock returns during Ramadan in 5 predominantly Muslim countries over the period between 1999-2015. To control for any significant impact of Ramadan on stock returns, weekly anomalies are examined and a control group of 5 non-Muslim countries are used as comparison. The result of this paper indicates an absence of significant abnormal returns during Ramadan on 4 Muslim countries, but stock price volatility is found to be lower during Ramadan.

Kata Kunci : Ramadan Effect, Seasonality in Muslim Countries, Stock Market Anomaly