The Effect of Ramadan on Abnormal Returns, Trading Volume Activity, Volatility, and Security Return Variability of Consumer Goods Index in Indonesia in the Period 2012-2018

Ramadhan effect is one type of market anomaly, which is a seasonal anomaly that shows a difference in the average return in the month of Ramadan compared to other months of the year. The phenomenon of increasing public consumption in the month of Ramadan is suspected to be a phenomenon that causes returns in the month of Ramadan which are different from the months outside of Ramadan. The purpose of this research was to analyse whether there is significant effect of Ramadan on abnormal returns, trading volume activity, volatility, and security return variability of consumer goods index in Indonesia in the period 2012-2018.The method used in this study was the event study method. The sampling method used in this study was purposive sampling. The criteria were the consumer goods index starting from the period of 2012 to 2018. Samples were filtered using the purposive sampling method with the observation period of three months each year, namely before and after Ramadan. The results of this research which are based on the Mann-Whitney U test that has been carried out in this research on the variables of abnormal returns, trading volume activity, volatility, and security return variability before and after Ramadan give the conclusions that there is no effect of Ramadan on abnormal returns, trading volume activity, volatility, and security return variability before and after Ramadan on consumer goods index in Indonesia in the 2012-2018 period. This is evidenced by the abnormal returns, trading volume activity, volatility, and security return variability results that are not significant with Asymp. Sig. (2-tailed) values that are greater than α or 0.05