The Impact of Turn-Of-The-Year Effect and Month of Ramadan Effect on Abnormal Return During The Covid-19 Pandemic Era: A Comparison of Two Event Studies of Calendar Anomalies in The Indonesian Stock Market

Abstract

This research is an event study that investigates calendar anomalies that occurred during the pandemic era. There are two objectives in this research, namely 1) to find out whether there is a calendar anomaly in the Indonesian capital market during the covid-19 pandemic era, and 2) to find out the significant difference between calendar anomalies that occur at the turn of the year (Turn-of-The-Year Effect) and calendar anomalies that occur before the month of Ramadan (Month of Ramadan Effect). By examining the calendar anomalies, this research proves the extent to which behavioral finance theory applies during a pandemic. The independent T-test is used to test the difference between abnormal returns at the turn of the year (Turn-of-The-Year Effect) and abnormal returns before Ramadan (Month of Ramadan Effect). The results show there is significant difference between average abnormal return of the turn of the year effect and month of Ramadan effect wherein average abnormal return of month of Ramadan is significantly higher than abnormal return of turn of the year.