Open Journal Systems

The Effect of Ramadan on the Indonesian Sharia Stock Index

Ulfiya Husen, Indo Yama Nasarudin, Faizul Mubarok

Abstract

As the most prominent Muslim majority country globally, Ramadan is a viral religious celebration in Indonesia. This study aims to determine the effect of the month of Ramadan on the performance of Islamic stocks in food and beverage companies. This study uses the event study method with a paired sample t-test as a test instrument. Sharia stock performance uses variable returns, abnormal returns, trading volume activity, and variability of securities returns from 2013-2020 during Shaban, Ramadan, and Syawal. This study indicates that the return variable and trading volume activity have a significant difference at the moment and after the month of Ramadan. In contrast, the other tests have no difference. Directly, during the month of Ramadan, the level of public consumption increases along with increasing needs. Indirectly, the traditions of the month of Ramadan also affect performance in the capital market. This phenomenon will affect sentiment in stock transactions based on the festive atmosphere brought by the month of Ramadan.

Keywords

Ramadan; Event Study; Return; Abnormal; Trading

References

Agustin, P., & Mawardi, I. (2015). Perilaku Investor Muslim Dalam Bertransaksi Saham di Pasar Modal. Jurnal Ekonomi Syariah Teori Dan Terapan, 1(12), 874–892. https://doi.org/10.20473/vol1iss201412pp874-892

Akhter, A., Sandhu, A., & Butt, S. (2015). Islamic Calendar Effect on Market Risk and Return Evidence from Islamic Countries. Journal of Business & Financial Affairs, 4(2), 1–5. https://doi.org/10.4172/2167-0234.1000140

Al-Hajieh, H., Redhead, K., & Rodgers, T. (2011). Investor Sentiment and Calendar Anomaly Effects: A Case Study of the Impact of Ramadan on Islamic Middle Eastern Markets. Research in International Business and Finance, 25(3), 345–356. https://doi.org/10.1016/j.ribaf.2011.03.004

Al-Khazali, O. (2014). Revisiting Fast profit Investor Sentiment and Stock Returns during Ramadan. International Review of Financial Analysis, 33, 158–170. https://doi.org/10.1016/j.irfa.2014.02.003

Alrashidi, F., Ahmed, M., & Beneid, F. (2014). The Calendar Impact And Trading Behavior: An Empirical Evidence From Around The Globe. International Business & Economics Research Journal, 13(5), 1025–1032.

Antoniadis, I., Gkasis, C., & Sormas, A. (2015). Insider Trading and Stock Market Prices in the Greek Technology Sector. Procedia Economics and Finance, 24, 60–67. https://doi.org/10.1016/s2212-5671(15)00612-7

Asih, D. N. L., & Khamainy, A. H. (2019). Pengujian Efek Ramadhan Pada Harga Saham Perusahaan Industri Makanan Dan Minuman Yang Terdaftar Di Bursa Efek Indonesia (BEI) Tahun 2017-2018. Wacana Equiliberium (Jurnal Pemikiran Penelitian Ekonomi), 7(2), 31–37. https://doi.org/10.31102/equilibrium.7.2.31-37

Audrino, F., Sigrist, F., & Ballinari, D. (2020). The Impact of Sentiment and Attention Measures on Stock Market Volatility. International Journal of Forecasting, 36(2), 334–357. https://doi.org/10.1016/j.ijforecast.2019.05.010

Basdas, U., & Oran, A. (2014). Event studies in Turkey. Borsa Istanbul Review, 14(3), 167–188. https://doi.org/10.1016/j.bir.2014.03.003

Białkowski, J., Etebari, A., & Wisniewski, T. P. (2012). Fast Profits: Investor Sentiment and Stock Returns During Ramadan. Journal of Banking and Finance, 36(3), 835–845. https://doi.org/10.1016/j.jbankfin.2011.09.014

Bose, U., MacDonald, R., & Tsoukas, S. (2019). Policy Initiatives and Firms’ Access to External Finance: Evidence from a Panel of Emerging Asian Economies. Journal of Corporate Finance, 59, 162–184. https://doi.org/10.1016/j.jcorpfin.2016.09.008

Chrisnanti, F. (2015). Perbedaan Nilai Actual Return, Expected Return, Abnormal Return, Trading Volume Activity dan Security Return Variability Sebelum Dan Sesudah Merjer Pada Perusahaan Yang Terdaftar. Jurnal Bisnis Dan Akuntansi, 17(1), 1–9.

Dewi, F. M. S., Gumanti, T. A., & Singgih, M. (2013). Konsistensi Efek Ramadhan dalam waktu dan Periode yang Berbeda pada Saham LQ45. Jurnal Manajemen Dan Usahawan Indonesia, 43(4), 300–315.

Engkus, E. (2018). Implementasi Undang-Undang Perdagangan Dan Implikasinya Dalam Pengendalian Harga Kebutuhan Pokok Masyarakat. Litigasi, 18(1), 1–40. https://doi.org/10.23969/litigasi.v18i1.284

Faih, A., & Nafiah, R. (2019). Analisis Efek Ramadhan pada Perusahaan Jakarta Islamic Index (JII) Periode 2014-2018. Jurnal Ekonomi Dan Bisnis Islam, 5(1), 37–47.

Fauzi, R., & Wahyudi, I. (2016). The Effect of Firm and Stock Characteristics on Stock Returns: Stock Market Crash analysis. The Journal of Finance and Data Science, 2(2), 112–124. https://doi.org/10.1016/j.jfds.2016.07.001

Grundy, B. D., & Verwijmeren, P. (2020). The External Financing of Investment. Journal of Corporate Finance, 65, 1–47. https://doi.org/10.1016/j.jcorpfin.2020.101745

Hassan, M. H., & Kayser, M. S. (2019). Ramadan Effect on Stock Market Return and Trade Volume: Evidence from Dhaka Stock Exchange (DSE). Cogent Economics and Finance, 7(1), 1–10. https://doi.org/10.1080/23322039.2019.1605105

Hidayat, A. (2016). Budaya Konsumen Bulan Ramadhan Bagi Masyarakat Modern Di Indonesia. Ibda, 14(2), 265–276. https://doi.org/10.24090/ibda.v14i2.2016pp.265-276

Irmayani, N. W. D., & Purbawangsa, I. B. A. (2019). the Impact of Events Around Opening of Asian Games 2018 on Market Reactions of Good Industry Consumer Sectors in Indonesia Stock Exchange. Russian Journal of Agricultural and Socio-Economic Sciences, 86(2), 148–154. https://doi.org/10.18551/rjoas.2019-02.17

Lalwani, V., Sharma, U., & Chakraborty, M. (2019). Investor Reaction to Extreme Price Shocks in Stock Markets: A Cross Country Examination. IIMB Management Review, 31(3), 258–267. https://doi.org/10.1016/j.iimb.2019.03.004

Lam, K. C. K., Sami, H., & Zhou, H. (2012). The Role of Cross-listing, Foreign Ownership and State Ownership in Dividend Policy in an Emerging Market. China Journal of Accounting Research, 5(3), 199–216. https://doi.org/10.1016/j.cjar.2012.06.001

Law, C., Cornelsen, L., Adams, J., Penney, T., Rutter, H., White, M., & Smith, R. (2020). An Analysis of the Stock Market Reaction to the Announcements of the UK Soft Drinks Industry Levy. Economics and Human Biology, 38, 1–11. https://doi.org/10.1016/j.ehb.2019.100834

Lekhal, M., & El Oubani, A. (2020). Does the Adaptive Market Hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market. Heliyon, 6(7), 1–12. https://doi.org/10.1016/j.heliyon.2020.e04429

Li, X., Shen, D., & Cincotti, S. (2017). The Relationship between Firm-Specific Return Variation and Price Informativeness: Some Cross-Sectional Evidence. Journal of Management Science and Engineering, 2(1), 55–68. https://doi.org/10.3724/sp.j.1383.201003

Malini, H. (2019). Efficient Market Hypothesis and Market Anomalies of LQ 45 Index in Indonesia Stock Exchange. Sriwijaya International Journal of Dynamic Economics and Business, 3(2), 107. https://doi.org/10.29259/sijdeb.v3i2.107-121

Mallikarjunappa, T., & Dsouza, J. J. (2013). A Study of Semi-Strong Form of Market Efficiency of Indian Stock Market. Amity Global Business Review, 8, 60–69.

Nugraha, A., & Suroto. (2019). The Effect of The Results In Presidential Election 2019 Toward Abnormal Return, Security Variability and Trading Volume Activity. International Conference on Business, Economics and Governance, 23(3), 197–209. Retrieved from cholar.google.es/scholar?hl=es&as_sdt=0%2C5&q=Funcionalidad+Familiar+en+Alumnos+de+1°+y+2°+grado+de+secundaria+de+la+institución+educativa+parroquial+“Pequeña+Belén”+en+la+comunidad+de+Peralvillo%2C+ubicada+en+el+distrito+de+Chancay+-+periodo+2018&btnG=

Rusmayanti, A., Yusniar, M. W., & Juniar, A. (2016). Pengaruh Bulan Ramadhan terhadap Return Pasar Saham di Bursa Efek Indonesia (1425H-1434H). Jurnal Wawasan Manajemen, 4(1), 1–10. Retrieved from http://jwm.ulm.ac.id/id/index.php/jwm/article/view/73/73 %0A

Saragih, E. M., Sadalia, I., & Silalahi, A. S. (2019). The Impact of Presidential Election on Abnormal Return, Trading Volume Activity, Security Return Variability in Banking Industries Listed on the Indonesia Stock Exchange. International Journal of Research & Review, 6(5), 246–261. Retrieved from www.ijrrjournal.com

Setiasri, R., & Rinofah, R. (2017). Pengaruh Ramadhan Terhadap Return Dan Volume Perdagangan Saham Pada Jakarta Islamic Index (JII). Manajemen Dewantara, 1(1), 101. https://doi.org/10.26460/md.v1i1.51

Shah, N., Qureshi, M. N., & Aslam, Y. (2017). An Empirical Investigation of Islamic Calendar Effect in Global Islamic Equity Indices. International Journal of Economics and Finance, 9(6), 57. https://doi.org/10.5539/ijef.v9n6p57

Siska, E., & Arigawati, D. (2020). Reaksi Ramadhan Effect terhadap Saham Perusahaan Makanan dan Minuman di Indonesia. Journal of Applied Business and Economics (JABE), 6(4), 330–340. Retrieved from https://www.google.com/url?q=https%3A%2F%2Fjournal.lppmunindra.ac.id%2Findex.php%2FJABE%2Farticle%2Fdownload%2F4675%2F3283&sa=D&sntz=1&usg=AFQjCNFlM2seSIXlQlG5zSR11Kiiqmvyqw

Sonjaya, A. R., & Wahyudi, I. (2016). The Ramadan Effect: Illusion or Reality? Arab Economic and Business Journal, 11(1), 55–71. https://doi.org/10.1016/j.aebj.2016.03.001

Suryanto. (2015). Analysis of Abnormal Return Before and After the Announcement of Investment Grade Indonesia. International Journal of Business and Management Review, 3(1), 11–23. Retrieved from www.eajournals.org

Tran, V. Le, & Leirvik, T. (2019). A Simple but Powerful Measure of Market Efficiency. Finance Research Letters, 29, 141–151. https://doi.org/10.1016/j.frl.2019.03.004

Tuyon, J., & Ahmad, Z. (2016). Behavioural Finance Perspectives on Malaysian Stock Market Efficiency. Borsa Istanbul Review, 16(1), 43–61. https://doi.org/10.1016/j.bir.2016.01.001

Wahyudi, I., & Sani, G. A. (2014). Interdependence Between Islamic Capital Market and Money Market: Evidence from Indonesia. Borsa Istanbul Review, 14(1), 32–47. https://doi.org/10.1016/j.bir.2013.11.001

Winkasari, J. Q., Soesetio, Y., & Ningsih, L. R. (2019). Analisis Abnormal Return Saham Bulan Ramadhan. Akuntanbel, 16(1), 69–80.

Yang, X. (2016). The Festival of fast-breaking Eid al-Fitr in the Great Mosque of Lhasa. Some observations. Études Mongoles Et Sibériennes, Centrasiatiques Et Tibétaines, 47, 1–27. https://doi.org/10.4000/emscat.2867

Full Text: PDF

DOI: 10.21043/equilibrium.v9i1.9071