The Impact of Ramadan month on market stock returns anomalies: an empirical investigation of Palestine Exchange (PEX)

This study begins with the assumption that the existence of abnormal circumstances will force investors to take measures to protect their investments in the capital market. Recently, the stock index in the Indonesian market has been declining and continued to fall until the end of April 2020 due to the impact of the Covid-19 pandemic. In terms of efficient market theory, prospect theory and signaling theory, this study aims to analyze the relationship between risk and return in the Indonesian capital market during the Covid-19 pandemic as a manifestation of investor behavior. To test hypotheses, the correlation test, the independent sample t-test and the Cohen test for 629 public firms with 52,836 observable data are used. The findings show that for financial sectors and non-financial sectors, the fourth period differs from previous periods when the relationship between systematic risk and stock returns is positive, although only non-financial sectors have a significant effect. The results show that efficient market theory, prospect theory and signaling theory are consistent with the phenomena around the Covid-19 pandemic in Indonesia. In addition, Cohen’s test results suggest that government policies in the face of the pandemic are successful in stimulating the market.

Signaling theory assumes that it is necessary to signal investors to how they perceive company’s prospects. One of them is dividend announcements. The announcement of dividends is predicted to be a signal for investors in the investment decision making process. This study aims to determine and analyze the effect of dividend announcements, both increases and decreases in dividends, on stock returns. This study is intended to find empirical evidence about market reactions based on signaling theory in Indonesia Stock Exchange on the period 2017. The analysis of this study uses the event study method and hypothesis testing carried out using different test paired sample t-test. The results of this study prove that the market reacts to the announcement of dividends. The market reaction is indicated by the value of abnormal returns, namely abnormal returns in the positive direction when the announcement of dividend increased and abnormal returns in the negative direction when the announcement of dividend decreased. The value of abnormal returns in a positive direction reflects the company’s performance in good condition, and vice versa. This result indicates that dividend announcements are a signal and contain information relevant to investors in the investment decision making process.

This study focuses on the relationship between financial ratios and the technology and telecommunication stock returns listed on the Istanbul Stock Exchange. Since technology and telecommunication sector has become an important part of the Turkish economy and is attractive for investors and shareholders, the results play a critical role for all stakeholders. This academic work aims to determine, through the application of panel data analysis, using both the Parks-Kmenta estimator and the Two-way Mixed Effects Model, whether the Price-to-Sales, Earnings per Share (EPS), Debt-to-Equity, and EBITDA Margin financial ratios affect the returns of technology and telecommunication stock returns listed on the Istanbul Stock Exchange. According to empirical findings, Earnings per Share (EPS), EBITDA Margin, and Price-to-Sales ratios have statistically significant effects on technology and telecommunication companies’ stock returns. Higher EPS and EBITDA Margin ratios generate higher returns for the next quarters, and lower Price-to-Sales ratios lead to higher returns for the following periods. Furthermore, the results obtained using the Two-way Mixed Effects Model show that the Debt-to-Equity ratio is negatively related to stock returns.