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https://oarep.usim.edu.my/jspui/handle/123456789/17589| Title: | Ramadan Effect In Indonesia Capital Market Period 2016 – 2020, What’s Next? | Authors: | Ratna Juwita Nazila Rizki Kamila Ali Masjono Muchtar |
Keywords: | Ramadan Effect; Market Anomalies; IDX Sectoral; Abnormal Return; Trading Volume Activity | Issue Date: | 2022 | Publisher: | Fakulti Ekonomi dan Muamalat, Universiti Sains Islam Malaysia | Source: | Nawai, N., Khairi, K. F., Abdul Hamid, S., Nazri, M. A., Ramli, N. A., Abd Aziz, S., Ibrahim, M. A., & Abdul Shukor, S. (Eds.). (2022). e-Proceedings of The 10th Islamic Banking, Accounting and Finance International Conference 2022 (iBAF2022) : “Future-Proofing for Business Excellence Through Islamic Banking, Accounting and Finance.” Universiti Sains Islam Malaysia. https://fem.usim.edu.my/ibaf2022-proceeding/ | Conference: | e-Proceedings of The 10th Islamic Banking, Accounting and Finance International Conference 2022 (iBAF2022) | Abstract: | The purpose of this study is to find whether the Ramadan Effect exists in Indonesia capital market or not. As a country with the largest Muslim majority population in the world, Indonesia Capital Market can behave differently during the Ramadan period. To test the effect, we use the differences in Abnormal Return (AR) and Trading Volume Activity (TVA) before and during the Ramadan period 2016-2020. The type of research is an event study with a quantitative approach. The sample consists of 9 sectoral indices i.e. CONSUMER, AGRI, MINC-IND, MINING, INFRASTRUC, TRADE, FINANCE, PROPERTY, and BASIC-IND. The method used to test the hypothesis is paired sample t-test. The results of this study indicate that there is no difference in the AR before and during Ramadan, and no difference in the TVA in 2018, while in the other years there is a difference in the average trading volume activity. We conclude that there is no Ramadan effect measured AR, but there is a Ramadan effect measured with TVA in Indonesia capital market period 2016-2020. The new implication of this study is to check the Shawwal Effect. |
Description: | e-Proceedings of The 10th Islamic Banking, Accounting and Finance International Conference 2022 (iBAF2022): “Future-Proofing for Business Excellence Through Islamic Banking, Accounting and Finance”/ Editors: Norhaziah Nawai, Khairil Faizal Khairi, Suhaila Abdul Hamid, Muhamad Azrin Nazri, Nur Ainna Ramli, Sumaiyah Abd Aziz, Mohd Adha Ibrahim, Syadiyah Abdul Shukor. 13th-14th September 2022 (Virtual Conference) Organized by: Faculty of Economics and Muamalat, Universiti Sains Islam Malaysia |
URI: | https://fem.usim.edu.my/ibaf2022-proceeding/ https://oarep.usim.edu.my/jspui/handle/123456789/17589 |
ISSN: | eISSN 2948-460X |
| Appears in Collections: | 2022 iBAF |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Ramadan Effect In Indonesia Capital Market Period 2016 – 2020, What’s Next.pdf | 580.96 kB | Adobe PDF | View/Open |
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