Ramadan Effect on the Returns of the Jakarta Islamic Index (JII) and the FTSE Bursa Malaysia Hijrah Syariah Index (FBMHS)

Abstract

This research aims to analyze a market anomaly known as the Ramadhan Effect in the Jakarta Islamic Index (JII) and the FTSE Bursa Malaysia Hijrah Shariah Index (FBMHS). The study utilizes secondary data, specifically daily time series data derived from closing prices. The research sample consists of the Jakarta Islamic Index (JII) and the FTSE Bursa Malaysia Hijrah Syariah (FBMHS), covering the period from January 2017 to December 2019. The GARCH (Generalized Autoregressive Conditional Heteroskedasticity) method is employed for analysis. The research findings indicate that there is no evidence of the Ramadhan Effect in the return equations of the Jakarta Islamic Index (JII) and the FTSE Bursa Malaysia Hijrah Syariah (FBMHS). The absence of the Ramadhan Effect's influence on returns is attributed to the stable behavior of both the Jakarta Islamic Index (JII) and the FTSE Bursa Malaysia Hijrah Syariah (FBMHS) during the month of Ramadhan as well as other months