Superstitious behavior and stock returns: The case of Javanese traditional calendar

Abstract

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 2009–June 2016. The data was analyzed using Generalized Autoregressive Conditional Heteroscedasticity 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 indicated that investment decisions made by investors were still influenced by superstition, which leads to behavior biases.