A Comparative Examination of Calendar Anomalies between Islamic and Conventional Stock Markets in Indonesia

Abstract

This study empirically explores the differences between the Islamic and conventional stock returns of Indonesia during the period from December 1, 2009 to January 30, 2016. It also attempts to empirically investigate the effects of calendar anomalies of weekend effects, January effects, and Ramadan effects on both Islamic and conventional stock markets of Indonesia. The independent sample t-tests was used to the differences between the Islamic and conventional stock returns, while the multiple regression analysis was adopted to examine the effects of calendar anomalies on the stock returns of both markets, Islamic and conventional. The study found that there was no difference between Islamic and conventional stock returns, indicating higher level of integration between the stocks. Unlike the January effect that has significantly influenced both Islamic and conventional stock returns; the study documented no weekend and Ramadan effects on both Islamic and conventional stocks in Indonesia. These findings implied that the investors still could gain abnormal returns by diversifying their investment into both Islamic and conventional stock market during certain months in Indonesia.