Lazuardy, Muhammad Taufan, - (2021) Pengaruh Ramadhan Effect Terhadap Return Indeks Sektoral Saham Syariah Indonesia Periode 2011-2020. Skripsi thesis, UNIVERSITAS AIRLANGGA.

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Abstract

This study aims to analyze the effect of the month of Ramadan on the return of the sectoral index of Islamic stocks in Indonesia for the period 2011-2020. The research method used in this research is quantitative and then it will be processed using multiple linear regression analysis (OLS). This study uses a purposive sampling technique. Based on criteria sampling the selected, 46 stocks were further classified into three of the nine sectors. The three sectors are infrastructure, utilities, and transportation (INFR); trade, services and investment (PERD); and the consumer goods industry (KONS). The result of this study is that the Ramadan effect has a positive and insignificant relationship with the return of the sectoral index of Islamic stocks, namely the consumer goods industry (KONS) and infrastructure, utilities, and transportation (INFR). The Ramadan effect has an insignificant negative relationship to return on trade, services, and investment (PERD). This is caused by the composition of investors in the Indonesian capital market which is dominated by foreign investors while the participation of individual investors is low. In addition, the Asian crisis that coincided with the month of Ramadan was allegedly the cause of the lack of effect of the month of Ramadan on returns in the Indonesian capital market. The results of this study are expected to be a source of information for investors to determine the right time to invest in order to get a high return. Regulators are expected to be able to consider policies regarding share ownership in Indonesia. Then for academics it can be a literature study and literature review, especially regarding seasonal anomalies in the Islamic capital market in Indonesia.

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