Anggi Puspa Pradhini, Fadlul Imansyah


This research aims to analyze trend of stock volatility during Ramadhan, both on the composite
index (IHSG) and sectoral price index. This research employs data ranging from 2008 – 2018
accessed from Eikon – Centre of Economic and Business Data Faculty of Economics and
Business Universitas Indonesia. In order to analyze whether or not price volatility might differ
between Ramadhan and other periods, this research employs Non-Parametric Mann Whitney
Test, where the result shows that there is not significant difference of stock price volatility
between Ramadhan and other periods, as shown by p-values above error level by 5%. During
Ramadhan, the increase in stock price is not as high as those in other periods, even at the
same time, trade during Ramadhan tends to be more dynamic (higher variance). In order to
analyze trend of stock price during Ramadhan, this research employs ARCH GARCH Model,
where healthcare sector is the only that experience significant increase in stock price during
Ramadhan along 2008 – 2018. The ARCH coefficient is 0.996, while the GARCH coefficient
is 0.128. If analyzed deeper, IHSG return during Ramadhan is not significantly different from
other months along 2008 – 2018, even lower. During Ramadhan, the average growth of IHSG
return is -0.04%, while during other periods, the average growth is 0.07%. Nevertheless, the
result appears to be different when analyzed using sectoral industry return. According to data
processing of the research, it is found that healthcare sector is the only one that is increasing
during Ramadhan. Along 2008 – 2018, the increase in return of healthcare sector is 3.21%,
while in other periods, it is only increasing by 0.41%. The increase in return of healthcare
sector has been mainly driven by the increase in positive expectation of investor due to higher
sales performance of firms in healthcare industry. The main sales increase focuses on nutrition
product and prescription medication. Therefore, this finding can be a strategic consideration for
investor to gain more return upon their portfolio investment.

Keywords: Pasar Modal, IHSG, Saham Sektoral, ARCH GARCH
JEL Classifications : G1 G110 C580 G120

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