Derry, Westryananda and Hasnawati, Sri and muslimin, muslimin (2021) Ramadan Effect and Volatility Risk by Garch Model: Evidence in Indonesia Stock Market. JURNAL BISNIS MANAJEMEN, 17 (2). ISSN ISSN 1411-9366, e-ISSN 2747-0032
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Abstract
This study aims to analyze the effect of the Ramadan effect and volatility risk on the Indonesian stock market using the GARCH model. The population in this study are companies listed on the LQ45 index on the Indonesia Stock Exchange during 2019. There are 42 companies used as samples in this study. The research sample was taken using purposive sampling method. This study uses the GARCH model as an analytical tool. The results of this study indicate that there is no Ramadan effect on the LQ45 index, but the volatility in the month of Ramadan affects the volatility in the LQ45 index.
| Item Type: | Article |
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| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Fakultas Ekonomi dan Bisnis (FEB) > Prodi Manajemen |
| Depositing User: | Dr Sri Hasnawati |
| Date Deposited: | 04 Jun 2021 07:13 |
| Last Modified: | 04 Jun 2021 07:13 |
| URI: | http://repository.lppm.unila.ac.id/id/eprint/32021 |
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