Jurnal
Investor Attention and the Religious Sentiment: Empirical Evidence from Ramadan Return on the Indonesia Stock Exchange
Management Analysis Journal · Vol. 13 No. 3 (2024) · hlm. 355–364
- ISSN
- 2502-1451, 2252-6552
- Terbit
- 2024-09-30
- Penerbit
- Universitas Negeri Semarang
- Bahasa
- eng
Abstrak
This study explores the influence of investor attention and religious sentiment—specifically during the holy month of Ramadan—on stock returns in the Indonesian capital market. Using the Market Attention Index (MAI), derived from Google Search Volume data, we examine how elevated public focus corresponds with return anomalies across 100 stocks from both syariah-compliant (ISSI) and conventional (LQ45) indices during the 2020–2023 Ramadan periods. Regression analysis reveals a statistically significant and positive relationship between MAI and intraday stock returns, underscoring the role of behavioral attention in asset pricing. Furthermore, dummy variables for specific Ramadan days—the 10th and 25th—also show positive return effects, supporting the notion that heightened religiosity and mood uplift during spiritually significant days influence investor sentiment. These findings align with behavioral finance theories and enrich prior research on the “Ramadan Effect” and “Holy Day Effect.” The results offer practical implications for trading strategies and policy design in Muslim-majority markets. By integrating digital behavior metrics and religious calendar events, this study contributes a novel framework for understanding asset price fluctuations during culturally sensitive periods in emerging markets.
Kata kunci
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30 penulis · 67 tautan kepenulisan bersama · 3 lintas organisasi
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- State University of Semarang
- Universitas Pandanaran
- Organisasi berbeda
- Organisasi sama
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Tampilkan sebagai tabel
| Rekan penulis | Organisasi | Artikel bersama |
|---|---|---|
| Erisa Aprilia Wicaksari | State University of Semarang | 3 |
| Festi Zulfaturrohmah | State University of Semarang | 2 |
| Julius Pungky Wasono Widagdo | State University of Semarang | 2 |
| Dheasey Amboningtyas | Universitas Pandanaran | 2 |
| Andhi Wijayanto | State University of Semarang | 2 |
| Syam Widia | State University of Semarang | 2 |
| Muhammad Anri Dwi Winanto | State University of Semarang | 1 |
| Endah Prapti Lestari | State University of Semarang | 1 |
| Nanang Dwi Praatmana | State University of Semarang | 1 |
| Kartika Dwi Chandra Sari | State University of Semarang | 1 |
| Athoillah | State University of Semarang | 1 |
| Dorojatun Prihandono | State University of Semarang | 1 |
| Muhammad Ihlashul Amal | State University of Semarang | 1 |
| Siti Ridloah | State University of Semarang | 1 |
| Altista Pradita Prismanti | State University of Semarang | 1 |
| Vini Wiratno Putri | State University of Semarang | 1 |
| Made Virma Permana | State University of Semarang | 1 |
| Hanina Humaira | State University of Semarang | 1 |
| Fryza Naufal Laksmana | State University of Semarang | 1 |
| Rini Setyo Witiastuti | State University of Semarang | 1 |
| Nabila Rifa Hanifah | State University of Semarang | 1 |
| Ervina Ratna Ningsih | State University of Semarang | 1 |
| Annisa Marliawati | State University of Semarang | 1 |
| Andi Septian Najib | State University of Semarang | 1 |
| Okti Witasari | State University of Semarang | 1 |
| Rizal Abdul Jabbar Sadewo | State University of Semarang | 1 |
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