ABSTRACT

Capital markets always face a dynamic and uncertain situation. The uncertainty occurs because the actors in the capital market are easy to enter or exit the market. Investors expect a high return despite facing a higher level of risk than placing their funds in the money market. This causes a fluctuation in stock prices or known as volatility. The high volatility signifies the high risk of investment in the capital market. Volatility in the Indonesia stock market in Ramadan is estimated to have different rates compared to other months. It is based on the different behavior or traditions of Indonesian people in the month of Ramadan. In addition to running Ramadhan religious activities, the community behavior also tends to be more consumptive, especially when it is ahead of Idul Fitri holiday because it is usually also followed by mudik, a hometown returning tradition. This study aims to find out whether Ramadhan affects the movement of Sharia Stock Index i.e. the Jakarta Islamic Index (JII) and analyzes the difference of volatility and risk level of some of the stocks which includes to JII group, that is between those vulnerable to the effect of Ramadan and those who are not. The study period was from January 2011 to July 2017. Daily time series data were obtained from the website www.google.finance.com or www.yahoo.finance.com as well as some other information from the company's fina#ncial statements. The data analysis was conducted using ARCH-GARCH model because this model is more appropriate for time series data which on average have some problems in correlation and inconstant variance. The test was done with Eviews.9

Keywords: Share Movement, Share Volatility, Sharia Share, Ramadhan Month, ARCH/GARCH