The Impact of Ramadhan Effect On Abnormal Return

International Journal of Economics and Management Studies

© 2020 by SSRG - IJEMS Journal

Volume 7 Issue 4

Year of Publication : 2020

Authors : Agung Pratama, Chandra Wijaya

10.14445/23939125/IJEMS-V7I4P126

How to Cite?

Agung Pratama, Chandra Wijaya, "The Impact of Ramadhan Effect On Abnormal Return," SSRG International Journal of Economics and Management Studies, vol. 7,  no. 4, pp. 210-218, 2020. Crossref, https://doi.org/10.14445/23939125/IJEMS-V7I4P126

Abstract:

This study analyzes the effect of market anomalies, namely the Ramadhan Effect, on several subsectors such as food and beverage, telecommunications, automotive and components, financial institutions, tobacco manufacturers, retail and trade, and textile and garment in Indonesia Stock Exchange (IDX). The Independent variable of this study is daily return and abnormal return as the dependent variable. The analysis used an event study that consisted of three models for estimation: market model, constant mean model, and market-adjusted model. This study used a significance test on cumulative abnormal return (CAR) and regression. The result of this study reveals that there is no Ramadhan Effect on Indonesia Stock Exchange (IDX). The result of this study provides recommendations for investors to buy, sell, and hold the stock during Ramadhan on several subsectors.

Keywords:

Abnormal Return, Anomaly, Cumulative Abnormal Return, Event Study, Ramadhan Effect.

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