Holiday Effect in The Indonesian Stock Market
Nugroho Sasikirono, Harlina Meidiaswati
Available Online July 2017.
- https://doi.org/10.2991/icoi-17.2017.23How to use a DOI?
- Market ffficiency, market anomaly, holiday effect.
- This study aims to assess whether there is any holiday effect in the Indonesian stock market, especially on Eid al-Fitr, Eid al-Adha, Christmas, Easter and Chinese Lunar New Year. Selection of the holiday events is done by considering the number of adherents of the three dominant religion in Indonesia that reached 97.04% of Indonesia's population, while the Chinese Lunar New Year is celebrated by the ethnic Chinese population of different religious backgrounds. Analyses were performed by regressing dummy of holiday to stock market returns in period 2005 - 2015. The results showed that post holiday average market returns 4 times higher than the average return of the other trading days. There are a post-holiday effect with diverse influences. Christmas, Easter and Eid al-Adha show the positive influence, Eid al-Fitr show negative effects, whereas the Chinese Lunar New Year showed no effect. Although the holiday effect occurred in the Indonesian stock market, this anomaly was yet to fully explain the tendency of higher market return after the holidays.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Nugroho Sasikirono AU - Harlina Meidiaswati PY - 2017/07 DA - 2017/07 TI - Holiday Effect in The Indonesian Stock Market BT - 2017 International Conference on Organizational Innovation (ICOI 2017) PB - Atlantis Press SP - 138 EP - 141 SN - 1951-6851 UR - https://doi.org/10.2991/icoi-17.2017.23 DO - https://doi.org/10.2991/icoi-17.2017.23 ID - Sasikirono2017/07 ER -