ABSTRACT

This study intends to analyze the effect of Ramadan in Indonesia capital market Sector Indices in main consumption. Researchers want to test whether the behavior in real sector imposes change performance Index on the sector. In addition, the researchers also wanted to test the volatility of sectoral stock indices. Technical analysis uses regression test with ARCH-GARCH and the month of Ramadan is treated as a dummy variable. Research results showed the absence of effect on the sector's consumption index of Ramadan in Indonesia. Return the market sector consumption is affected in torpor 1.3, and 4. During the period of research also shows showed a high volatility on the consumption sector

Keywords : Ramadhan Effect, Consumers good index, ARCH, GARCH, stock volatility