Holiday Effect in The Indonesian Stock Market

DOI

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.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Nugroho Sasikirono
AU  - Harlina Meidiaswati
PY  - 2017/07
DA  - 2017/07
TI  - Holiday Effect in The Indonesian Stock Market
BT  - Proceedings of the 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  - 10.2991/icoi-17.2017.23
ID  - Sasikirono2017/07
ER  -