齋戒月期間股票市場的報酬率、波動度與流動性：印尼與馬來西亞的實證研究

Returns, Volatility and Liquidity during Ramadan: Evidence from Indonesia and Malaysia Stock Markets

卡施微(Atif Windawati)

指導教授 ： 賴雅雯

國立虎尾科技大學/管理學院/財務金融系碩士班/碩士(2016年)

摘要

股票市場的宗教效應早已在文獻中有記載。齋戒月是全球最負盛名的宗教事件之一，全球的穆斯林在齋戒月期間傾向專注信奉活動而不是包括股市交易的其他活動。本論文研究齋戒月期間股票市場的報酬率、波動性、與流動性。將不對稱GARCH模型應用於印尼與馬來西亞的綜合股價指數與伊斯蘭股價指數，本研究發現有顯著的齋戒月效應。首先，雖然報酬率並沒有顯著的差別，但是這兩個國家在齋戒月期間股市波動顯著增加;而在特別的齋戒月第27天，除了印尼綜合指數外，所有的股價波動性都顯著的降低。再者，在齋戒月期間股市的流動性也顯著增加。本研究的發現支持齋戒月影響投資人行為。

關鍵字

齋戒月效應 ； 報酬率 ； 波動性 ； 流動性 ； 印尼股票市場 ； 馬來西亞股票市場

並列摘要

Religious effect in stock markets has been well documented. Ramadan is one of the most celebrated religious events in the world. All Muslim (Islamic people) in the world tend to concern on their worship rather than other activities including trading activity during Ramadan. This paper investigates the stock returns, volatility and liquidity during Ramadan. Using asymmetric GARCH model and the data of the composite and Islamic indexes of Indonesia and Malaysia stock markets which are the two largest Muslim countries in Southeast Asia, this study documents some evidence of significant Ramadan effect in both stock markets. The findings show that the stock returns of both stock markets are not significantly affected by Ramadan. On the other hand, this study reports significantly higher volatility for both stock markets during Ramadan. Surprisingly, during Ramadan 27th this study documents lower volatility for all stock indexes except for Indonesia composite index which shows insignificant result. Furthermore, there is higher significant change in liquidity for all stock indexes during Ramadan. This finding is consistent with the notion that Ramadan affects investor behavior.

並列關鍵字

Ramadan effect ； returns ； volatility ； liquidity ； religion effect ； Indonesia stock market ； Malaysia stock market

參考文獻

[24] Shah, S. M. A. U. R. and Ahmed, S. N. (2014), The Ramadan Effect on Stock Market. European Academic Research 1, 4172-4120.

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