Abstract
This study is aimed at examining whether the prevalent condition happening in Indonesia and Malaysia during Ramadan months has an impact on Sharia stock exchanges in both countries. In other words, this study is addressed to prove whether there is a Ramadan anomaly / Effect of Ramadan on the Sharia capital markets in Indonesia and Malaysia. The study was conducted in the Indonesian Stock Exchange by the unit of analysis, using the market return of The Indonesian Sharia Stock Index (ISSI) and in the Malaysian Stock Exchange using FTSE Bursa Malaysia Emas Shariah Emas Index (FBMS). The periods of the study started from 1435 H to 1437 H. The analytical equipment which was used is one way ANOVA to examine differences between return of Ramadan and that of outside Ramadan. Meanwhile, to test the different market return in the month of Ramadan in the Indonesian and Malaysian Sharia capital markets, Mann-Whitney U test was occupied. In conclusion, there is no return difference in Ramadan and that in outside Ramadan in the Sharia capital markets in both Indonesia and Malaysia. This proves that there is no Ramadan anomaly in the Sharia stock exchange. Similarly, a test to compare the Sharia stock market return in the Indonesian Stock Exchange and Malaysian Stock Exchange also shows no significant differences, although the return market in the Indonesian Sharia stock market is higher during the study period.

Keywords: Effect of Ramadan, Return, ISSI, FBMS