This study analyzes the effect of market anomalies, namely Ramadhan Effect on several subsectors such as food and beverage, telecommunications, automotive and components, financial instiution, tobacco manufacturer, retail and trade, and textle and garment on Indonesia Stock Exchange (IDX). Independent variable of this study is daily return and abnormal return as the dependent variable. The analysis used an event study that consist of three models for estimation: market model, constant mean model, and market adjusted model. This study used significance test on cumulative abnormal return (CAR) and regression. The result of this study reveal that there is no Ramadhan Effect on Indonesia Stock Exchange (IDX). The result of this study provide recommendations for investors to buy, sell, and hold the stock during Ramadhan on several subsectors.
|Journal||SSRG International Journal of Economics and Management Studies ( IJEMS )|
|Publication status||Published - Apr 2020|