Proceedings of the 2017 International Conference on Organizational Innovation (ICOI 2017)

Holiday Effect in The Indonesian Stock Market

Authors
Nugroho Sasikirono, Harlina Meidiaswati
Corresponding Author
Nugroho Sasikirono
Available Online July 2017.
DOI
https://doi.org/10.2991/icoi-17.2017.23How to use a DOI?
Keywords
Market ffficiency, market anomaly, holiday effect.
Abstract
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.

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Proceedings
2017 International Conference on Organizational Innovation (ICOI 2017)
Part of series
Advances in Intelligent Systems Research
Publication Date
July 2017
ISBN
978-94-6252-359-3
ISSN
1951-6851
DOI
https://doi.org/10.2991/icoi-17.2017.23How to use a DOI?
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  -