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Calendar Anomalies on Ramadan Season and Religion Holidays in Muslim Country. Evidence Indonesia. : 무슬림 국가의 라마단 시즌과 종교 휴일의 일정 이상. 인도네시아 증거로.
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Joh, Sung Wook | - |
dc.contributor.author | 루퍼스 아자야 | - |
dc.date.accessioned | 2017-10-31T07:28:10Z | - |
dc.date.available | 2017-10-31T07:28:10Z | - |
dc.date.issued | 2017-08 | - |
dc.identifier.other | 000000146227 | - |
dc.identifier.uri | https://hdl.handle.net/10371/137278 | - |
dc.description | 학위논문 (석사)-- 서울대학교 대학원 경영대학 경영학과, 2017. 8. Joh, Sung Wook. | - |
dc.description.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. | - |
dc.description.tableofcontents | 1. Introduction 1
2. Literature Review 6 3. Overview of Indonesia Stock Market 8 4. Data 8 5. Result 11 5.1 Stock Return of Religion Holiday 11 5.2 Volatility of Ramadan Season and other Religion Holidays 14 5.3 Foreign Investors Trading Affect Stock Returns 17 5.4 Foreign Investors Trading Affect Stock Volatility 23 6. Limitation of Research 27 7. Conclusion 28 References 30 Abstract in Korean 32 | - |
dc.format | application/pdf | - |
dc.format.extent | 1224541 bytes | - |
dc.format.medium | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | 서울대학교 대학원 | - |
dc.subject | calendar anomalies | - |
dc.subject | ramadan effect | - |
dc.subject.ddc | 658 | - |
dc.title | Calendar Anomalies on Ramadan Season and Religion Holidays in Muslim Country. Evidence Indonesia. | - |
dc.title.alternative | 무슬림 국가의 라마단 시즌과 종교 휴일의 일정 이상. 인도네시아 증거로. | - |
dc.type | Thesis | - |
dc.contributor.AlternativeAuthor | Harjandi Rufus Azarya | - |
dc.description.degree | Master | - |
dc.contributor.affiliation | 경영대학 경영학과 | - |
dc.date.awarded | 2017-08 | - |
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