Analysis of Ramadan Effect on Indonesian Islamic Stock Market: Jakarta Islamic Index (JII) (2016-2020)
Asian Journal of Economics, Business and Accounting,
Page 470-480
DOI:
10.9734/ajeba/2022/v22i23887
Abstract
This study aims to determine the effect of Ramadan on the Indonesian Islamic stock market: Jakarta Islamic Index (JII) (2016-2020) which by looking at the difference in return and trading volume activity between Ramadan and non-Ramadan months, this study also aims to determine the difference between the beginning, middle and end of Ramadan. The sample in this study were thirty companies listed on the Jakarta Islamic Index (JII) during Sha'ban, Ramadan and Shawwal from 2016-2020. The data used in this study is secondary data, and the data analysis technique used is the one-way ANOVA test and the Kruskall-Wallis test.
The results of this study indicate that Ramadan does not have a positive effect on the Indonesian Islamic stock market: Jakarta Islamic Index (JII), which is indicated by no significant difference in returns and trading volume activity between Ramadan and non-Ramadan. Furthermore, there is no significant difference in return and trading volume activity at the beginning, middle and end of Ramadan.
Keywords:
- Ramadan
- one-way anova
- Kruskall-Wallis
- return
- trading volume activity
- behavioural finance
How to Cite
Sejati, H., Lihan, I., & Hendrawaty, E. (2022). Analysis of Ramadan Effect on Indonesian Islamic Stock Market: Jakarta Islamic Index (JII) (2016-2020). Asian Journal of Economics, Business and Accounting, 22(23), 470-480. https://doi.org/10.9734/ajeba/2022/v22i23887
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Hong H, Kubik JD, Stein JC. Social interaction and stock‐market participation. The Journal of Finance; 2004.
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Avalable:https://books.google.com/books?hl=en&lr=&id=WGjURGt3OIIC&oi=fnd&pg=PR1&dq=a+conceptual+guide+to+statistics+using+spss&ots=0YWUe_hIbS&sig=jKIRYzeSA-7P_mniLnqWAT1PaXU
Al-Hajieh H. 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. 2011;25(3):345–356.
DOI:https://doi.org/10.1016/j.ribaf.2011.03.004
Białkowski J. Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking and Finance. 2012;36(3):835–845.
DOI:https://doi.org/10.1016/j.jbankfin.2011.09.014
Avalable:https://databoks.katadata.co.id/datapublish/2022/04/01/survei-pengeluaran-konsumen-indonesia-melonjak-hingga-lebih-dari-50-saat-ramadan
David MM, MacLean AW, Knowles JB. Rapid eye movement latency and mood following a delay of bedtime in healthy subjects: do the effects mimic changes in depressive illness? Acta Psychiatrica; 1991.
DOI:https://doi.org/10.1111/j.1600-0447.1991.tb01418.x
Totterdell P, Reynolds S, Parkinson B, Briner RB. Associations of sleep with everyday mood, minor symptoms and social interaction experience. Sleep; 1994.
Avalable:https://academic.oup.com/sleep/article-abstract/17/5/466/2749563
Avalable:https://www.emerald.com/insight/content/doi/10.1108/03074350710715854/full/html
Hoepner AGF, Rammal HG, Rezec M. Islamic mutual funds’ financial performance and international investment style: evidence from 20 countries. The European Journal of; 2011.
Avalable:https://www.tandfonline.com/doi/abs/10.1080/1351847X.2010.538521
Avalable:https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/saham-syariah/Pages/Statistik-Saham-Syariah---Januari-2021.aspx
Elliott JW, Echols ME. Market segementation, speculative behavior, and the term structure of interest rates. The Review of Economics and Statistics; 1976.
Avalable:https://www.jstor.org/stable/1936007
Al-Khazali O. The impact of religious practice on stock returns and volatility. International Review of Financial Analysis. 2017;52:172–189.
DOI:https://doi.org/10.1016/j.irfa.2017.04.009
Munusamy D. Does Ramadan influence the returns and volatility? Evidence from Shariah index in India. Journal of Islamic Accounting and Business Research. 2019;10(4):565–579.
DOI:https://doi.org/10.1108/JIABR-03-2016-0025
Lai Y. Risk, return, and liquidity during Ramadan: Evidence from Indonesian and Malaysian stock markets. Research in International Business and Finance. 2017;42:233–241.
DOI:https://doi.org/10.1016/j.ribaf.2017.04.054
Yousaf I. Herding behavior in Ramadan and financial crises: the case of the Pakistani stock market. Financial Innovation. 2018;4(1).
DOI:https://doi.org/10.1186/s40854-018-0098-9
Hassan M. Ramadan effect on stock market return and trade volume: Evidence from Dhaka Stock Exchange (DSE). Cogent Economics and Finance. 2019;7(1).
DOI:https://doi.org/10.1080/23322039.2019.1605105
Gavriilidis K, Kallinterakis V, Tsalavoutas I. Investor mood, herding and the Ramadan effect. Journal of Economic Behavior ….; 2016.
Avalable:https://www.sciencedirect.com/science/article/pii/S0167268115002619
Sonjaya AR, Wahyudi I. The Ramadan effect: illusion or reality? In Arab Economic and Business Journal. Elsevier; 2016.
Avalable:https://www.sciencedirect.com/science/article/pii/S2214462515300785
Avalable:https://id.investing.com/indices/idx-islamic-historical-data
Hijazi AS. The impact of Ramadan month on market stock returns anomalies: An empirical investigation of Palestine Exchange (PEX). Investment Management and Financial Innovations. 2020;17(1):253–265.
DOI:https://doi.org/10.21511/imfi.17(1).2020.22
Wasiuzzaman S. Mood, religious experience and the Ramadan effect. International Journal of Emerging Markets. 2018;13(1):290–307.
DOI:https://doi.org/10.1108/IJoEM-01-2017-0001
Akbalik M. An analysis of ramadan effect by gjr-garch model: Case of Borsa Istanbul. Oeconomia Copernicana. 2016;7(4):593–612.
DOI:https://doi.org/10.12775/OeC.2016.033
Sewell M. Behavioural finance. In University of Cambridge. academia.edu; 2010.
Avalable:https://www.academia.edu/download/30766417/behavioural-finances.pdf
Kapoor S, Prosad JM. Behavioural finance: A review. Procedia Computer Science; 2017. Avalable:https://www.sciencedirect.com/science/article/pii/S1877050917325693
Cao M. Stock market returns: A note on temperature anomaly. Journal of Banking and Finance. 2005;29(6):1559–1573.
DOI:https://doi.org/10.1016/j.jbankfin.2004.06.028
Forgas J. Mood effects on person-perception judgments. Journal of Personality and Social Psychology. 1987;53(1):53–60.
DOI:https://doi.org/10.1037/0022-3514.53.1.53
Li Q. The effect of news and public mood on stock movements. Information Sciences. 2014; 278:826–840.
DOI:https://doi.org/10.1016/j.ins.2014.03.096
Shahzad SJH. Can economic policy uncertainty and investors sentiment predict commodities returns and volatility? Resources Policy. 2017;53:208–218.
DOI:https://doi.org/10.1016/j.resourpol.2017.06.010
Beit-Hallahmi B, Argyle M. The psychology of religious belief, behaviour and experience. London: Routledge; 1997.
Brown S, Taylor K. Social interaction and stock market participation: Evidence from British panel data; 2010. eprints.whiterose.ac.uk.
Available:https://eprints.whiterose.ac.uk/10776/
Duflo E, Saez E. Participation and investment decisions in a retirement plan: The influence of colleagues’ choices. Journal of Public Economics; 2002.
Avalable:https://www.sciencedirect.com/science/article/pii/S0047272701000986
Hilary G, Hui KW. Does religion matter in corporate decision making in America? Journal of Financial Economics; 2009.
Avalable:https://www.sciencedirect.com/science/article/pii/S0304405X0900083X
Hong H, Kubik JD, Stein JC. Social interaction and stock‐market participation. The Journal of Finance; 2004.
Avalable:https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.2004.00629.x
Hong H, Kacperczyk M. The price of sin: The effects of social norms on markets. Journal of Financial Economics; 2009.
Avalable:https://www.sciencedirect.com/science/article/pii/S0304405X09000634
Chaouachi O. Impact of the religious festivity on the tunis stock exchange. Investment Management and Financial Innovations. 2021;18(2):12–19.
DOI:https://doi.org/10.21511/imfi.18(2).2021.02
Seyyed F. Seasonality in stock returns and volatility: The Ramadan effect. Research in International Business and Finance. 2005;19(3):374–383.
DOI:https://doi.org/10.1016/j.ribaf.2004.12.010
Goss-Sampson M. Statistical analysis in JASP: A guide for students; 2019. gala.gre.ac.uk.
Avalable:http://gala.gre.ac.uk/id/eprint/25585/
Navarro D. Learning statistics with R: A tutorial for psychology students and other beginners: Version 0.5. files.osf.io.; 2013.
Avalable:https://files.osf.io/v1/resources/q3vgh/providers/osfstorage/5e4d583eb8c2e5015c4c4f4e?action=download&direct&version=1
Scheff SW. Fundamental statistical principles for the neurobiologist: a survival guide. books.google.com; 2016.
Avalable:https://books.google.com/books?hl=en&lr=&id=mZR4CgAAQBAJ&oi=fnd&pg=PP1&dq=fundamental+statistical+principles+for+the+neurobiologist&ots=VI791eKEg8&sig=qZ6y01IN0-aGD4e569gKpOGWsFA
Berkman ET, Reise SP. A conceptual guide to statistics using SPSS. books.google.com; 2011.
Avalable:https://books.google.com/books?hl=en&lr=&id=WGjURGt3OIIC&oi=fnd&pg=PR1&dq=a+conceptual+guide+to+statistics+using+spss&ots=0YWUe_hIbS&sig=jKIRYzeSA-7P_mniLnqWAT1PaXU
Al-Hajieh H. 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. 2011;25(3):345–356.
DOI:https://doi.org/10.1016/j.ribaf.2011.03.004
Białkowski J. Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking and Finance. 2012;36(3):835–845.
DOI:https://doi.org/10.1016/j.jbankfin.2011.09.014
Avalable:https://databoks.katadata.co.id/datapublish/2022/04/01/survei-pengeluaran-konsumen-indonesia-melonjak-hingga-lebih-dari-50-saat-ramadan
David MM, MacLean AW, Knowles JB. Rapid eye movement latency and mood following a delay of bedtime in healthy subjects: do the effects mimic changes in depressive illness? Acta Psychiatrica; 1991.
DOI:https://doi.org/10.1111/j.1600-0447.1991.tb01418.x
Totterdell P, Reynolds S, Parkinson B, Briner RB. Associations of sleep with everyday mood, minor symptoms and social interaction experience. Sleep; 1994.
Avalable:https://academic.oup.com/sleep/article-abstract/17/5/466/2749563
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