The Effect of Ramadan on the Indonesian Sharia Stock Index

As the most prominent Muslim majority country globally, Ramadan is a viral religious celebration in Indonesia. This study aims to determine the effect of the month of Ramadan on the performance of Islamic stocks in food and beverage companies. This study uses the event study method with a paired sample t-test as a test instrument. Sharia stock performance uses variable returns, abnormal returns, trading volume activity, and variability of securities returns from 2013-2020 during Shaban, Ramadan, and Syawal. This study indicates that the return variable and trading volume activity have a significant difference at the moment and after the month of Ramadan. In contrast, the other tests have no difference. Directly, during the month of Ramadan, the level of public consumption increases along with increasing needs. Indirectly, the traditions of the month of Ramadan also affect performance in the capital market. This phenomenon will affect sentiment in stock transactions based on the festive atmosphere brought by the month of Ramadan.


INTRODUCTION
Every year, before the fasting month (month of Ramadan), the price of nine essential commodities and meat usually increases quite significantly (Hidayat, 2016). The increase can have become a natural thing because of the large number of requests rather than supply. The price of food and beverages will increase in price before the fasting month until Eid al-Fitr can no longer be avoided (Yang, compares stock prices in the current and previous periods (Fauzi & Wahyudi, 2016). Trading volume activity is an indicator used to see the market reaction to the information reflected in stock trading (Audrino, Sigrist, & Ballinari, 2020). Security return variability is an analysis used to see whether, in the aggregate, it assesses informative information that results in returns. In the context of the efficient market hypothesis, no investor can outperform the market because the information is available to all investors (Malini, 2019). No investor can take advantage of the information in predicting future profits because prices are random and unpredictable (Lekhal & El Oubani, 2020). Law et al. (2020) found no difference in abnormal returns on the UK soft drink industry levy announcement. The month of Ramadan does not significantly affect stock market returns and volatility, Hassan and Kayser (2019). There is no significant difference in abnormal returns, security return variability, or trading volume activity before and after the 2019 presidential election results Nugraha and Suroto (2019). Saragih, Sadalia, and Silalahi (2019) before and after the presidential election showed that abnormal returns, trading volume activity, and security return variability were significantly different from the 2014 presidential election but not significant in the 2004, 2009 presidential elections. Winkasari et al. (2019) there is no difference in abnormal returns in the month of Ramadan compared to other months. Shah et al. (2017) there is a significant difference in return and volatility in the month of Dzulhijjah on the Islamic Global Equity Index. However, there is no significant difference in return and volatility in the month of Ramadan on the Islamic Global Equity Index. Akhter et al. (2015) there is the influence of the month of Dhul Hijjah on the stock market returns of Malaysia, Turkey, Morocco, and Egypt. Chrisnanti (2015) shows no difference between actual return, expected return, abnormal return, and security return variability before and after the merger, but there are differences in trading volume activity before and after the merger. Alrashidi et al. (2014) there is no significant difference in volatility or return. Dewi, Gumanti, and Singgih (2013) there is no significant difference in abnormal returns. The Ramadan event does not always affect the average abnormal return. Białkowski et al. (2012) there is no significant difference in return and trading volume activity in the month of Ramadan. Al-Hajieh et al. (2011) there is a significant difference in stock returns in the month of Ramadan.
Based on the background explained, this study aims to analyze using all variables, namely return, abnormal return, trading volume activity, and security return variability, by seeing whether there are differences in the period beforeat the moment, after-at the moment, and before-after the month of Ramadan can see the comparison. Then, a broader and more recent observation period to know the state of Ramadan's month's influence. The stocks studied used Islamic stocks listed on the Indonesian Sharia Stock Index (ISSI) in the food and beverage sector, which did not use the Index and the sector in the previous study.
Research related to event studies regarding the effect of Ramadan has been done, but from research that is only limited to abnormal returns and trading volume activity and stocks that are non-stock objects on the Indonesian Islamic stock index (ISSI). Therefore, this study examines abnormal returns and trading volume activity, and returns and security returns. Then the observation in the period before, at the moment, after, and before-after the month of Ramadan can compare using the latest data and more extended observations. This research contributes, first, to providing insight into the performance of developing Islamic stocks in Indonesia with a case study of the month of Ramadan. Second, it provides an overview of the performance of shares in the month of Ramadan so that it becomes a consideration in determining the allocation of funds to invest so that it is right on target. Third, in addition to the literature review for further research related to comparing Islamic stocks' performance.

LITERATUR REVIEW
The grand theory of this research uses the theory of market efficiency. A good capital market is an efficient capital market. An efficient capital market is a market where the prices of securities reflect all relevant information.
Information will be relevant if the information can make the capital market react, where the sooner the information is reflected in securities, the more efficient the capital market is. An efficient market will have security prices that are quickly evaluated in the presence of important information relating to securities. A market is efficient if no one, either individual investors or institutional investors, can obtain abnormal returns after adjusting for risks and using existing trading The Effect of Ramadan on the Indonesian Sharia Stock Index strategies. When market conditions react quickly and accurately to reach a new equilibrium price that fully reflects the available information, efficient market conditions react quickly and accurately.
The event study aims to examine an announcement's information content and test the semi-strong form market's efficiency (Antoniadis, Gkasis, & Sormas, 2015;Basdas & Oran, 2014). Testing the information content and testing the market's semi-strong form's efficiency are two different tests (Tran & Leirvik, 2019). Testing the information content is intended to see the reaction of an announcement. It tested the information content to see the market reaction to an announcement to accept it (Irmayani & Purbawangsa, 2019). Changes in the price of security indicate a market reaction. This reaction can be measured using return as the value of price changes or using abnormal returns. If there is an abnormal return, an announcement that contains information will give an abnormal return to the market (Suryanto, 2015).
One form of information market efficiency testing is the semi-strong form test. This test finds out how quickly the security price reflects the published information (Mallikarjunappa & Dsouza, 2013). The market is efficient if no investors use the information to obtain abnormal profits for an extended period (Lalwani, Sharma, & Chakraborty, 2019). When new relevant information enters the market with an asset, that information will analyze and interpret that asset's value. As a result, there is a possibility of a price shift to the new equilibrium price. This equilibrium price will remain until another new information can change the new balance price. If the returns, abnormal returns, trading volume activity, and security return variability experience differences between before-atthe-moment, at the moment after, and before-after month of Ramadan, it can be concluded that these events contain information to cause market reactions. Law et al. (2020) analyze the soft drink industry channels in the UK. The results showed no difference in abnormal returns on the announcement of retribution for the soft drink industry in England. Hassan and Kayser (2019) analyzed data on stock returns, volatility, and trading volume on the Dhaka Stock Exchange (DSE) with Ramadan's month. This study concluded that the month of Ramadan does not have a significant relationship with stock market returns and volatility. However, Ramadan has a significant negative impact on DSE daily trading volume. Ramadan may be due to decreased trading and banking hours as well as investors' religious perceptions. (2019)    H 1 : There is a difference in the average return of the period before-at the moment, after-at the moment, and before-after the month of Ramadan.

Nugraha and Suroto
H 2 : There is a difference in the average abnormal return of the period before-at the moment, after-at the moment, and before-after the month of Ramadan.
H 3 : There is a difference in average trading volume activity of the period beforeat the moment, after-at the moment, and before-after the month of Ramadan.
H 4 : There is a difference in average security return variability of the period beforeat the moment, after-at the moment, and before-after the month of Ramadan.

RESEARCH METHOD
This study uses daily historical data on food and beverage companies in the Realized return is using historical data. Realized return is the return that has occurred. is the actual stock price i on day t, is the stock price i on day t, and is the stock price i on day t-1.
Abnormal return is the difference between the actual return that occurs with the expected return. An announcement that contains information will provide an abnormal return to the market. is the abnormal return of stock i on day t, is the actual return of stock i on day t, and is the expected return of stock i on day t.

Expected returns use the Single Index Market Model (SIMM). The expected
return is the return expected by investors in the future. Where is the expected return of stock i on day t, is the expected value of stock return on market return, is the stock coefficient i, and is the market return of the market index.

The market return is the level of the profit shown in the form of a market
index. is the market return on day t, is the market index on day t, and is the market index on the previous day t.
Trading Volume Activity (TVA) is an instrument used to see the capital market's reaction to information through parameters of movement of trading volume activity in the market. is the abnormal return of stock i on day t, is the average abnormal return of stock i on day t, and N is the amount of data.

RESULTS AND DISCUSSION
The descriptive statistics results explain the value of the Average Return  Average Abnormal Return (AAR) in the period before the minimum value -0.000152, the maximum value was 0.000117, the mean was -0.00001, and the standard deviation was 0.000092. Average Abnormal Return (AAR) at the moment the period when the minimum value was -0.000107, the maximum value was 0.000112, the mean was -0.00002, and the standard deviation was 0.000085.
Average Abnormal Return (AAR) for the period after obtaining a minimum The normality test shows that all tested variables are generally by the sig (2 tailed) value of more than 5 per cent ( Table 2).

Analysis of Return
The results obtained based on the Paired T-Test showed no significant difference in Average Return (ARi) in the before-at the moment (0.447> 0.05) and the before-after period (0.8> 0.05). These results are in line with the research of Setiasri and Rinofah (2017), and Rusmayanti, Yusniar, and Juniar (2016), which states that the Composite Stock Price Index (IHSG) is the basis for calculating relatively stable returns. There is no difference in returns during the month of Ramadan with the months outside of Ramadan. Białkowski et al. (2012) stated that there is no influence of the month of Ramadan on the Indonesian stock market due to the Asian crisis, which coincides with the month of Ramadan. Therefore there is no effect of Ramadan on returns. However, the ARi at the moment-after period shows a significant difference (0.043 <0.05). This result is in line with (Hidayat, 2016), which states that before the month of Ramadan, the prices of nine staple foods and meat have increased significantly. This increase can be said to have become a natural thing because of many requests rather than supply.

Analysis of Abnormal Return
The results obtained based on the Paired T-Test showed no significant difference in Average Abnormal Return (AAR) in the before-at the moment (0.884> 0.05), at the moment-after (0.456> 0.05), and before-after (0.434> 0.05). These results are in line with research by Dewi et al. (2013), which states that the events of Ramadan at different times and periods have different information content so that sometimes they affect. However, sometimes they also do not affect changes in stock prices in the capital market. Besides, each time and period has different characteristics that affect a study's results even though it examines the same event so that the market reacts differently to an event. Agustin and Mawardi (2015) state that there is no effect on abnormal returns because investors' behaviour in making decisions considers rationality and objective data, and rational action.

Analysis of Trading Volume Activity
The results obtained based on the Paired T-Test showed no significant difference in Average Trading Volume Activity (ATVA) in the before-at the moment (0.132> 0.05) and before-after period (0.102> 0.05). These results are in line with Siska and Arigawati (2020) (Rusmayanti et al., 2016).
Faih and Nafiah (2019) stated that investors predict that companies will experience an increase in the value of their stock prices, while those that are usually in demand by issuers tend to decrease compared to stocks from companies engaged in fashion retailers such as department stores, food raw materials, and telecommunications. These results indicate that trading volume activity does not always affect abnormal returns. Even though the trading volume activity has experienced significant changes, it does not mean that abnormal returns also experience significant changes.

Analysis of Security Return Variability
The results obtained based on the Paired T-Test showed that there was no significant difference in Average Security Return Variability (ASRV) in the beforeat the moment (0.379> 0.05), at the moment-after (0.955> 0.05), and before-after (0.476> 0.05). This result aligns with Saragih et al. (2019) state that the condition is due to information uncertainty or asymmetrical information dissemination.
This uncertainty results in not all investors having sufficient information to make decisions that will benefit investors due to an event. Investors also do not have the information to make investment decisions that are not supported by the proper distribution of information.

CONCLUSION
The Paired T-Test results showed that the period before-at the moment of Events that can be used as information by investors come from internal and external conditions of the company. This information is to analyze and interpret the value of the assets concerned. Investors must know the market reaction to information to reach an equilibrium price. If the market reacts quickly and accurately to reach a new equilibrium price, it fully reflects the information available. Investors should not only refer to share prices based on anomalous phenomena. Investors should remain objective by using careful analysis, be it technical analysis or fundamental analysis, as a basis for making investment decisions in order to obtain maximum capital gains.