S-Space College of Business Administration/Business School (경영대학/대학원) Dept. of Business Administration (경영학과) Theses (Master's Degree_경영학과)
Calendar Anomalies on Ramadan Season and Religion Holidays in Muslim Country. Evidence Indonesia.
무슬림 국가의 라마단 시즌과 종교 휴일의 일정 이상. 인도네시아 증거로.
- 루퍼스 아자야
- Joh, Sung Wook
- 경영대학 경영학과
- Issue Date
- 서울대학교 대학원
- 학위논문 (석사)-- 서울대학교 대학원 경영대학 경영학과, 2017. 8. Joh, Sung Wook.
- 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.