Calendar Anomalies on Ramadan Season and Religion Holidays in Muslim Country. Evidence Indonesia.

Abstract

The existence of seasonality in stock market returns has led researchers to study about specific calendar anomaly such as Ramadan season in Islam country. Ramadan is the holy month for Islam religion when Muslim (Islam people) fast for 30 days as spiritual training and discipline. Even though Indonesia is the biggest Islam country by population, Ramadan is only one of many big religion events where moving calendar anomalies might also exist on those events. This study examines whether the moving calendar anomalies exist not only on Ramadan season but also other religion holidays which affect stocks market return and volatility. The result shows that most of religion holidays have positive significant change in mean return while Ramadan seasons return is not significant. There are also changes of volatility on some religion events. Moreover, this study also examines whether foreign investor related factors affect the stock market return and volatility on religion holidays. The result finds that the transaction value of foreign investors negatively affects stock market returns and volatility, while foreign investors trading pattern positively affect stock market returns and volatility.