Analysis of Ramadhan Effect on Fast Moving Consumer Goods (FMCG) Sector Companies in Indonesia Sharia Stock Index 2020 - 2023
DOI:
https://doi.org/10.47747/fmiic.v1i1.2176Abstract
Indonesia is a country with a majority Muslim population and is listed as the first country with the largest Muslim population in the worl. With investment levels also increasing and a Muslim-majority population, this will greatly support researchers in conducting research related to sharia shares. This research investigates the existence of an anomaly effect. Where this effect is supported by religious situations and conditions, namely the month of Ramadan, so it is called the Ramadan effect which has also been widely documented by researchers, with the FMCG (Fast Moving Consumer Good) company sector indexed by Indonesian sharia shares from 2020 to 2023 as the object of this research. The GARCH method is the model used in this research. Introduced by Bollerslev in 1986. This research was conducted quantitatively using secondary data on daily closing stock prices. The results of this research show that there is no effect of Ramadan on returns or volatility in FMCG (Fast Moving Consumer Good) sector shares listed on the Indonesian Sharia Stock Index (ISSI). There are only 3 companies that have a Ramadan effect on stock returns, including PT Martina Berto Tbk., PT Prima Cakrawala Abadi Tbk., and PT Sekar Bumi Tbk., then on volatility there are also 3 companies that have a Ramadhan effect, including PT Pantai Indah Kapuk Dua Tbk. ., PT Sekar Bumi Tbk., and PT Kimia Farma Tbk.. However, it was found in this research that in the month of Ramadan all the returns of the companies studied produced positive values with the majority of volatility being low.
References
Agung Putra Raneo, & Fida Muthiab. (2018). Penerapan Model GARCH Dalam Peramalan Volatility di Bursa Efek Indonesia. Jurnal Manajemen Dan Bisnis Sriwijaya , 16(2018).
Al-Hajieh, H., Redhead, K., & Rodgers, T. (2011). Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic Middle Eastern markets. Research in International Business and Finance, 25(3), 345–356. https://doi.org/10.1016/j.ribaf.2011.03.004
Al-Khazali, O. (2014). Revisiting fast profit investor sentiment and stock returns during Ramadan. International Review of Financial Analysis, 33, 158–170. https://doi.org/10.1016/j.irfa.2014.02.003
Antara, kantor berita indonesia. (2022). KKP catat tren permintaan ikan naik awal Ramadhan dan setelah Lebaran. https://antaranews.com/berita/2800289/kkp-catat-tren-permintaan-ikan-naik-awal-ramadhan-dan-setelah-lebaran
Anwar Halari, Christine Helliar, David M. Power, N. T. (2017). Qualitative Research in Financial Markets Article information : Islamic Calendar Anomalies : Pakistani Practitioners ’ Perspective. Qualitative Research in Financial Markets, 10(1), 71–84.
Arif, M. K. (2019). Tarbiyah Ramadhan. 158.
Basu, S. (1977). American Finance Association Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios. The Journal of Finance, 32(3), 663–682.
Beit-Hallahmi, B., London, M. A., & York, N. (1997). The psycnology-of-rerlgious behaviour, belief and.
Berto, P. M. (2021). Martha Tilaar Group Isi Bulan Ramadan dengan Kegiatan Positif. https://www.martinaberto.co.id/default.php?page=martinaberto&id=272&lang=id
Berto, P. M. (2023). History Company. https://www.martinaberto.co.id/company.php?page=history&lang=id
Białkowski, J., Bohl, M. T., Kaufmann, P., & Wisniewski, T. P. (2013). Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey. Emerging Markets Review, 15, 211–232. https://doi.org/10.1016/j.ememar.2013.02.003
Białkowski, J., Etebari, A., & Wisniewski, T. P. (2012). Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking and Finance, 36(3), 835–845. https://doi.org/10.1016/j.jbankfin.2011.09.014
Biofarma. (2023). Tentang Indofarma. https://www.biofarma.co.id/id/about-us
Bumi, S. (2023). Tentang Kami Sekar Bumi. https://sekarbumi.com/id/sejarah/
Campina. (2023). Tentang Campina. https://www.campina.co.id/page/tentang-campina
CBP, I. (2023). ICBP at glance. https://www.indofoodcbp.com/company/icbp-at-glance
Chan, M. W. L., Khanthavit, A., & Thomas, H. (1996). SEASONALITY AND CULTURAL INFLUENCES ON FOUR ASIAN STOCK MARKETS. 13(2), 1–24.
Chitose. (2023). Tentang Chitose Internasional. https://www.chitose-indonesia.com/tentang-kami/
corporate finance institute. (2015). What are Fast-Moving Consumer Goods (FMCG)? https://corporatefinanceinstitute.com/resources/valuation/fast-moving-consumer-goods-fmcg/
Darya-Varya. (2023). Tentang Darya-Varya Laboratoria. Darya-Varya. https://www.darya-varia.com/en/about/overview
Economics, F. (1983). Received University,. Journal of Financial Economics, 12, 129–156.
Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987. https://doi.org/10.2307/1912773
Farma, K. (2023). Sejarah Kimia Farma. https://www.kimiafarma.co.id/id/sejarah-kimia-farma
Fazal, H. (1998). A Seasonality in the Pakistani Equity Market: The Ramadhan Effect. Pakistan Development Review, 7(1), 77–81.
Filbeck, G., Ricciardi, V., Evensky, H. R., Fan, S. Z., Holzhauer, H. M., & Spieler, A. (2017). Behavioral finance: A panel discussion. Journal of Behavioral and Experimental Finance, 15, 52–58. https://doi.org/10.1016/j.jbef.2017.07.008
Finanace, I. (2023). PT Prima Cakrawala Abadi Tbk. https://www.idnfinancials.com/id/pcar/pt-prima-cakrawala-abadi-tbk
Financial, I. (2023). PT Asia Mina Sejahtera Tbk. https://www.idnfinancials.com/id/agar/pt-asia-sejahtera-mina-tbk
Food, D. (2023). Company Profile PT Diamond Food Indonesia. https://www.diamondfoodindonesia.com/company-profile
French, K. R. (1980). Reruans and the Weekend EffectE. In Journal of Financial Economics (Vol. 8, pp. 55–69).
Garudafood. (2023). Filosofi Garudafood. https://garudafood.com/filosofi
Gavriilidis, K., Kallinterakis, V., & Tsalavoutas, I. (2016). Investor mood, herding and the Ramadan effect. Journal of Economic Behavior and Organization, 132, 23–38. https://doi.org/10.1016/j.jebo.2015.09.018
Generalized autoregressive conditional heteroskedasticity -- Tim Bollerslev -- Journal of Econometrics, #3, 31, pages 307-327, 1986 apr -- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0304-4076) -- 10.1016_0304-4076.pdf. (n.d.).
Halari, A., Tantisantiwong, N., Power, D. M., & Helliar, C. (2015). Islamic calendar anomalies: Evidence from Pakistani firm-level data. Quarterly Review of Economics and Finance, 58, 64–73. https://doi.org/10.1016/j.qref.2015.02.004
Herdjiono, I., & Damanik, L. A. (2016). Pengaruh Financial Attitude,Financial Knowledge, Parental Income Terhadap Financial Management Behavior. Jurnal Manajemen Teori Dan Terapan| Journal of Theory and Applied Management, 9(3), 226–241. https://doi.org/10.20473/jmtt.v9i3.3077
IDX. (2023). Indeks Saham Syariah. https://www.idx.co.id/id/idx-syariah/indeks-saham-syariah
Indofood. (2023). Indofood at a glance. https://www.indofood.com/company/indofood-at-a-glance
Indonesia, C. (2021). Saham Farmasi Sempat Bangkit. https://www.cnbcindonesia.com/mymoney/20210421135323-72-239607/teka-teki-terkuak-ini-alasan-saham-farmasi-sempat-bangkit
Integra. (2023). Company Profile Integra Group. https://www.integragroup-indonesia.com/about-us/#company-profile
Interfood, W. (2023). Tentang Wahana Interfood Tbk. https://www.wahana-interfood.com/id/beranda
Jabar, D. (2022). Misteri Sembako Naik Setiap Ramadan. https://opendata.jabarprov.go.id/id/infografik/misteri-sembako-naik-setiap-ramadan
Kahfi. (2017). Selama Ramadan, MBTO Incar Penjualan Naik 15%. https://market.bisnis.com/read/20170530/192/658120/selama-ramadan-mbto-incar-penjualan-naik-15
Kalbe. (2023). Tentang Kalbe Farma. https://www.kalbe.co.id/en/about
Karmakar, M. (2005). Modeling conditional volatility of the indian stock markets. Vikalpa, 30(3), 21–37. https://doi.org/10.1177/0256090920050303
Keim, D. B. (1983). Size-related anomalies and stock return seasonality. Further empirical evidence. Journal of Financial Economics, 12(1), 13–32. https://doi.org/10.1016/0304-405X(83)90025-9
KEMENDIKBUDRISTEK, I. J. (2023). Mudik, Budaya Indonesia Khas Lebaran. https://itjen.kemdikbud.go.id/web/mudik-budaya-indonesia-khas-lebaran/
Kemenperin. (2021). APA ITU FMCG? INI JENIS PRODUK DAN CONTOH PERUSAHAANNYA DI INDONESIA. https://cdcbpsdmi.kemenperin.go.id/article/detail/apa-itu-fmcg-ini-jenis-produk-dan-contoh-perusahaannya-di-indonesia
Kementerian Perindustrian. (2022). Naik 54%, Investasi Sektor Manufaktur Lampaui Rp 365 Triliun. Selasa, 25 Oktober 2022. https://kemenperin.go.id/artikel/23641/Naik-54,-Investasi-Sektor-Manufaktur-Lampaui-Rp-365-Triliun
Kent, H. (2010). Behavioral Finance: Investors, Corporations, and Markets.
Kozhan, R. (2010). Financial Econometrics With Eviews.
Kunkel, R. A., Compton, W. S., & Beyer, S. (2003). The turn-of-the-month effect still lives: The international evidence. International Review of Financial Analysis, 12(2), 207–221. https://doi.org/10.1016/S1057-5219(03)00007-3
Lai, Y. W., & Windawati, A. (2017). Risk, return, and liquidity during Ramadan: Evidence from Indonesian and Malaysian stock markets. Research in International Business and Finance, 42(October 2016), 233–241. https://doi.org/10.1016/j.ribaf.2017.04.054
Lakonishok, J., & Smidt, S. (1988). Are Seasonal Anomalies Real? A Ninety-Year Perspective. Review of Financial Studies, 1(4), 403–425. https://doi.org/10.1093/rfs/1.4.403
Laut, S. (2023). Sejarah Sekar Laut. https://www.sekarlaut.com/about.php?aID=4
Lim, C. M., & Sek, S. K. (2013). Comparing the Performances of GARCH-type Models in Capturing the Stock Market Volatility in Malaysia. Procedia Economics and Finance, 5(13), 478–487. https://doi.org/10.1016/s2212-5671(13)00056-7
Makmur, L. (2023). Sejarah Perusahaan Langgeng Makmur Industri. https://www.langgengmakmur.com/corporate/id/perusahaan/perusahaan/gambaran-umum/sejarah
Makridakis S, Wheelwright SC, H. R. (1997). 1 / the Forecasting Perspective. Forecasting Methods and Applications, 1–632.
Mandom. (2023). Company In Brief. https://www.mandom.co.id/company-in-brief
Mayora. (2023). Sekilas tentang perusahaan PT Mayora Indah Tbk. https://www.mayoraindah.co.id/content/Riwayat-Singkat-Perusahaan-33
Merck. (2023). Tentang MERCK. https://www.merck.com/company-overview/history/
Montier, J. (2008). James Montier - Behavioural Finance Insights into Irrational Minds and Markets (pp 32-33).pdf.
Muncul, S. (2023). Sekilas tentang Sido Muncul. https://www.sidomuncul.co.id/id/sido_at_glance.html
Munusamy, D. (2018). Islamic calendar and stock market behaviour in India. International Journal of Social Economics, 45(11), 1550–1566. https://doi.org/10.1108/IJSE-09-2017-0404
Munusamy, D. (2019). Does Ramadan influence the returns and volatility? Evidence from Shariah index in India. Journal of Islamic Accounting and Business Research, 10(4), 565–579. https://doi.org/10.1108/JIABR-03-2016-0025
Mutlu, Ü., & Özer, G. (2022). The moderator effect of financial literacy on the relationship between locus of control and financial behavior. Kybernetes, 51(3), 1114–1126. https://doi.org/10.1108/K-01-2021-0062
PANI. (2023). History Company PT Pantai Indah Kapuk Dua. https://www.pantaiindahkapukdua.com/historycompany.html
Pantzalis, C., & Ucar, E. (2014). Religious holidays, investor distraction, and earnings announcement effects. Journal of Banking and Finance, 47(1), 102–117. https://doi.org/10.1016/j.jbankfin.2014.05.020
Phapros. (2023). Sekilas Phapros. https://www.phapros.co.id/sejarah-phapros
Pompian, M. M. (2006). Behavioral finance and wealth management: How to build investment strategies that account for investor biases. In Behavioral Finance and Wealth Management: How to Build Investment Strategies That Account for Investor Biases. https://doi.org/10.1002/9781119202400
Prochiz. (2023). Tentang Kami Mulia Boga Raya. https://www.prochiz.com/id/tentang/
Ritter, J. R. (2003). Behavioral finance. Pacific Basin Finance Journal, 11(4), 429–437. https://doi.org/10.1016/S0927-538X(03)00048-9
Rokhim, R., & Octaviani, I. (2020). Is there a Ramadhan effect on Sharia mutual funds? Evidence from Indonesia and Malaysia. International Journal of Islamic and Middle Eastern Finance and Management, 13(1), 135–146. https://doi.org/10.1108/IMEFM-04-2019-0147
Roll, R. (1984). THE JOURNAL OF FINANCE * VOL. XXXIX, NO. 4 * SEPTEMBER 1984 A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. XXXIX(4), 1127–1139.
Rosen, H. S., & Wu, S. (2004). Portfolio choice and health status. Journal of Financial Economics, 72(3), 457–484. https://doi.org/10.1016/S0304-405X(03)00178-8
Roti, S. (2023). sekilas perusahaan sari roti. https://www.sariroti.com/id/tentang-sari-roti/sekilas-perusahaan
Schwert, G. W. (2003). Chapter 15 Anomalies and market efficiency. In Handbook of the Economics of Finance (Vol. 1, Issue SUPPL. PART B, pp. 939–974). https://doi.org/10.1016/S1574-0102(03)01024-0
Seyyed, F. J., Abraham, A., & Al-Hajji, M. (2005). Seasonality in stock returns and volatility: The Ramadan effect. Research in International Business and Finance, 19(3), 374–383. https://doi.org/10.1016/j.ribaf.2004.12.010
Sonjaya, A. R., & Wahyudi, I. (2016). The Ramadan effect: Illusion or reality? Arab Economic and Business Journal, 11(1), 55–71. https://doi.org/10.1016/j.aebj.2016.03.001
Sugiyono, D. (2013). Metode Penelitian Kuantitatif, Kualitatif, dan Tindakan.
Tang, N., & Baker, A. (2016). Self-esteem, financial knowledge and financial behavior. Journal of Economic Psychology, 54, 164–176. https://doi.org/10.1016/j.joep.2016.04.005
Top, S. (2023). Tentang Siantar TOP. https://siantartop.co.id/about-us/
TopiKoki. (2023). PT Buyung Poetra Sembada Tbk. https://topikoki.com/tentang-kami/
Ultrajaya. (2023). Ultrajaya At A Glance. https://www.ultrajaya.co.id/ultrajaya-at-a-glance/
unilever. (2023). Tentang Unilever Indonesia. https://www.unilever.co.id/our-company/tentang-unilever-indonesia/
Wilmar. (2023). Tentang Wilmar Cahaya Indonesia. https://www.wilmarcahayaindonesia.com/about
Winarno, W. W. (2017). Analisis Ekonometrika dan Statistika Dengan EViews (Edisi 5). Analisis Ekonometrika Dan Statistika Dengan EViews (Edisi 5), 102(1), 53–71. https://www.belbuk.com/analisis-ekonometrika-dan-statistika-dengan-eviews-edisi-4-p-10178.html
Wira, P. A. (2023). OUR PROFILE PT AKASHA WIRA INTERNATIONAL TBK. https://akashainternational.com/our-profile/
World Population Review. (2023). MUSLIM POPULATION BY COUNTRY 2023. https://worldpopulationreview.com/country-rankings/muslim-population-by-country
Yuniati, N. R. . (2014). Ramadan Anomaly Effect Pada Jakarta Islamic Index. Majalah Ekonomi, XIX(1), 60–72.
