Javanese lunar calendar effect (Primbon) on abnormal return

Abstract

The purpose of this study is to examine Javanese lunar calendar (Primbon) effect to abnormal return on Indonesian Stock Market. Type of this study is conclusive descriptive using intraday trading data. The research observed and tested cultural phenomena called Primbon as a calendar effect on abnormal return. Studies of cultural event, Ramadhan effect. This research examined other issues which is a belief of traditional calendar called Primbon among Javanese in Indonesia. This study uses event study methodology to observe abnormal return of stocks recommended by Primbon that grouping into defensive stock called "rahayu" and aggressive stock called big luck (rezeki besar) on certain time in a day. Abnormal return from groups of stock recommended by Primbon only presented on Monday aggressive stocks group from 09.00 to 11.00. Thus it can be concluded that the recommendations of Primbon only partially affect the abnormal return on the Indonesia Stock Exchange.

The Phenomenon of the Month of Sela in the Indonesian Capital Market

“…The results of this research also discovered that the month of Sela might shape investor behavior due to cultural influences (Al-Ississ, 2015;Wasiuzzaman & Al-Musehel, 2017;Zhan, 2019). If there is a change in investor behavior, many investors tend to take various actions to gain profits on the capital market (Hermin & Mahadwartha, 2018;Liu, 2013;Robiyanto & Puryandani, 2015), which can cause a difference in returns in the months of Sela, Sawal, and Besar.…”

“…The uniqueness of this research is that it examines the phenomenon of the month of Sela in the Javanese calendar. Previous research has found that there was no effect of the Javanese calendar (Robiyanto & Puryandani, 2015), but there were also those who discovered a partial effect of the Javanese calendar on returns in Indonesia (Hermin & Mahadwartha, 2018). However, the previous research was based on the days in the Javanese calendar, which are referred to as "pasaran", and not based on the months, so further research on the effects of the Javanese calendar, which is based on the months, is quite crucial.…”

“…Market inefficiency can also be caused by the existing behavior in the capital market (Riza et al, 2018;Robiyanto & Puryandani, 2015) such as irrational actions of investors in the market (Aggarwal & Mohanty, 2018;Burton & Shah, 2013;Hermin & Mahadwartha, 2018). Behavior and performance of an individual can also be influenced by culture (Al-Ississ, 2015;Zhan, 2019) because culture is a belief or value that influence an individual's life, behavior, and decision making (Al-Ississ, 2015;Wasiuzzaman & Al-Musehel, 2017;Zhan, 2019).…”

“…However, many investors tend to take various actions to gain profit, regardless of whether the action is rational or not (Robiyanto & Puryandani, 2015) such as acting based on superstition (Robiyanto & Puryandani, 2015). Cultural considerations and superstitions influence the process of behavior shaping in financial markets (Hermin & Mahadwartha, 2018;Liu, 2013;Robiyanto & Puryandani, 2015). For example, research on Friday 13 showed that the return on that day was lower (Robiyanto & Puryandani, 2015) because people in countries influenced by Judeo-Christian beliefs consider Friday 13 an unlucky day (Robiyanto & Puryandani, 2015).…”