Superstitious behavior and stock returns: The case of Javanese traditional calendar
Keywords:cultural belief, Indonesian capital market, Jakarta Composite Index (JCI), Javanese traditional calendar, superstition
Some Indonesian people who are still attached to traditional rituals, often mark several days on their Javanese calendar as sacred days. This study aims to investigate the inﬂuence of the sacred days between daily cycles in Georgian calendar with pasaran cycle in Javanese calendar toward Jakarta Composite Index (JCI) returns in a period of January 2009eJune 2016. The data was analyzed using Generalized Autoregressive Conditional Hetero- scedasticity in Mean (GARCH-M). This study found some sacred days i.e. Kliwon Friday and Wage Thursday resulted in a lower return than the normal day, while Wage Thursday had a signiﬁcant effect on the return of the Jakarta Composite Index (JCI). These ﬁndings indi- cated that investment decisions made by investors were still inﬂuenced by superstition, which leads to behavior biases.
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This is an open access article under the CC BY-NC-ND license http://creativecommons.org/licenses/by-nc-nd/4.0/