The Javanese Lunar Calendar’s Effect on Indonesian Stock Returns

  • Robiyanto Robiyanto Diponegoro University
  • Siti Puryandani Diponegoro University
Keywords: Indonesian Stock Returns, financial management

Abstract

It is very possible for an investor to take a decision based on superstitions and common beliefs. Actually, Indonesia has a specific calendar system called the Javanese lunar calendar. The Javanese calendar contains several special days because of their sacred characteristics such as “Kamis Wage” (Thursday Wage) and “Jum’at Kliwon” (Friday Kliwon). The day of Friday Kliwon is often considered to be the most frightening which is similar to Friday the Thirteenth in Western culture. This study tried to scrutinize the impact of those sacred days on Indonesian stock returns. By applying GARCH-M, the finding shows that the Javanese lunar calendar does not have any impact on the Indonesian stock returns, but does affect the investors’ risk aversion level. This study has proven that, in terms of risk aversion, investors’ behavior in Indonesia is influenced by superstition.

Author Biographies

Robiyanto Robiyanto, Diponegoro University

Robiyanto is a Ph.D. in Finance candidate at the Doctoral Program of Economics, Faculty of Economics and Business, Diponegoro University, Semarang, Indonesia, and he hold a master of management degree in Finance (2000) from the same university. His first degree in Management (1998) was achieved from Satya Wacana Christian University, Salatiga, Indonesia. He holds an Investment Manager Representative license and Broker Dealer Representative license from Indonesia Financial Service Authority (previously Indonesia Capital Market Supervisory Agency). Working at Samator Group in Corporate Planning Division. Active as a academic researcher. His research interest are capital market, commodity market, market efficiency, corporate governance, and portfolio management.
Author’s contact details: Doctoral Program, in Economics, Diponegoro University, Jalan Erlangga Tengah No. 17, Semarang 50241, Indonesia; e-mail: robiyanto76@gmail.com.

Siti Puryandani, Diponegoro University

Puryandani, Siti is a Ph.D. in Finance candidate at the Doctoral Program of Economics, Faculty of Economics and Business, Diponegoro University, Semarang, Indonesia. Holds a master degree in Finance (2002) from the Gadjah Mada University, Yogyakarta, Indonesia. Her first degree was achieved in Management Economics (1995) from Muhammadiyah University, Malang, Indonesia. She had spend more than 17 years as a lecturer in STIE Bank BPD Jateng, Semarang, Indonesia during her professional career. Active as an academic researcher. Her reserach interest are capital structure, corporate governance and financial management for small business. Being a mentor for around 1,000 students, she had to deal with many social aspects associated with them.
Author’s contact details: STIE Bank BPD Jateng, Jalan Pemuda No. 4A, Semarang 50132; e-mail: sitipuryandani@yahoo.com

References

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Published
2015-08-20
How to Cite
Robiyanto, R., & Puryandani, S. (2015). The Javanese Lunar Calendar’s Effect on Indonesian Stock Returns. Gadjah Mada International Journal of Business, 17(2), 125-137. Retrieved from https://jurnal.ugm.ac.id/v3/gamaijb/article/view/15505
Issue
Vol 17 No 2 (2015): May-August
Section
Articles

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