Javanese Lunar Calendar Effect (Primbon) on Abnormal Return

Sidarta Hermin & Putu Anom Mahadwartha

University of Surabaya, Surabaya, Indonesia

Reviewed By
MUHAMMAD REZA PAHLEVI
OLVY ANDRIYANTI
RIZKY WAHYUNINGSI
INTERNATIONAL CLASS OF DARMAJAYA
 Review and Critical Journal
Javanese Lunar Calendar Effect (Primbon) on Abnormal Return
1. Background
Humans will sometimes think irrationally in making investment decisions made. Zhang
et al. (2016) found anomalous effects of days of the week in 25 countries: there were
anomalies on Monday on the stock market in Argentina, Poland, Italy, and the Lions;
there were anomalies on Wednesday in the stock markets in Mexico, Indonesia,
Germany, Switzer-land, Australia, Japan, and New Zealand; there was an anomaly on
Thursday on the stock market in the Czech Republic and the Philippines; there were
anomalies on Friday on the stock market in Brazil, Chile, Russia, Turkey, India,
Malaysia, Spain, and Hong Kong. Malini & Jais (2014) found that there was a January
anomaly effect on Islamic stocks in Malaysia, the December effect on sharia stocks in
Indonesia, and the February effect was stronger than the January effect on sharia stocks
in Malaysia. Based on research by Jaisinghani (2016) found that there is a strong
positive support for the September effect on the stock market in India. Haggard and
Witte (2010) found significant results from the effects of Halloween in America in the
period 1954-2008. Research conducted by Oprean & Tanasescu (2014) found that stock
trading conducted in the market is influenced by irrational investor behavior in Rome
and Brazil. In the Rome market, investors are pessimistic influencing trading volume
while Brazil is optimistic that investors are influencing market activity in the largest
measure. Another study of capital market anomalies in the calendar in Islam. Seyyed et
al. (2005) in his research on the Effects of Ramadan also found a significant decrease in
volatility, implying changes in price risk that was predictable in advance. Akrami et al.
(2012) found a significant relationship between Ramadan and abnormal stock returns on
the Tehran Stock Exchange. Robiyanto & Puryandani (2015) which states that cultural
considerations and superstitions can influence the process of shaping behavior in
financial markets as an expression of social psychology. Another study that found
seasonal anomalies on the stock market was the lunar calendar of securities. Wu (2013)
found a significant relationship between cultural holidays such as Chinese New Year
and abnormal returns on Asian stock markets, and cultural influences that explain the
effects of holidays on Asian stock markets. Boubaker, et al. (2015) shows that
overreaction occurs at certain events such as cultural and non-economic events. Brown
et al. (2002) found the influence of cultural factors on investor behavior in the Hong
Kong and Taiwan stock markets. According to Robiyanto & Puryandani (2015), there is
an indigenous culture in Indonesia that is similar to Oriental culture. The Javanese lunar
calendar system bears a close resemblance to the Chinese lunar calendar, for example,
the Javanese regard Wage Thursday (Wage Thursday) and Kliwon Friday (Friday
Kliwon) as very special days compared to others based on their sacred characteristics.
This study will examine the effects of primbon with a different approach, namely the
intraday trading approach where on certain days there are times when there are periods
of large sustenance, small sustenance, and safe (rahayu) (Al-Buary 1984). Big fortune
illustrates large income so that aggressive shares are used during big fortune because
they represent opportunities for big profits where big profit opportunities also mean big
risks. While a small fortune means an opportunity to get a small fortune so it is expected
that at the time of a small fortune the defensive and aggressive stocks experience
negative abnormal returns. This study uses a dating method according to Al-Buary
(1984).

2. Resume
Humans will sometimes think irrationally in making investment decisions made. an
anomaly day effect is a form of a phenomenon that occurs in the market which will give
an influence on the stock price in the market. This study will examine the effects of
primbon with a different approach, namely the intraday trading approach where on
certain days there are times when there are periods of large sustenance, small
sustenance, and safe (rahayu) (Al-Buary 1984). Big fortune illustrates large income so
that aggressive shares are used during big fortune because they represent opportunities
for big profits where big profit opportunities also mean big risks. While a small fortune
means an opportunity to get a small fortune so it is expected that at the time of a small
fortune the defensive and aggressive stocks experience negative abnormal returns. This
study uses a dating method according to Al-Buary (1984). Below are instructions on the
right or suitable time to look for fortune:
a. Sunday, extraordinary sustenance from morning till noon, while from noon to
night is perfected.
b. Monday, good fortune from noon to afternoon (ASAR) and morning to
afternoon sustenance.
c. On Tuesday, extraordinary sustenance from morning to asar, while rahayu
from noon to asar arrived.
d. Wednesday, small fortune from morning to afternoon, rahayu when asar, and
extraordinary sustenance from sunset.
e. Thursday, a great fortune at noon, rahayu in the morning. A little fortune
when the sun is in the middle and rahayu like the sun is foreign to asar.
f. Friday, a small fortune from morning to evening, Rahayu from the sun is
leaning west to enter asar time.
g. On Saturday, extraordinary fortune when the sun is leaning to the west, while
from morning until noon is a small fortune.
This study uses an abnormal return variable which is the difference between the actual
return and expected return following the calculation of primbon time. This study uses
secondary data obtained from the yahoo finance website in the form of historical data.
The stock sector used is the LQ45 Index sector for the period of February 2017 - July
2017. The shares are then grouped into aggressive shares containing shares with β> 1
and defensive stocks containing shares with β <1. There are 20 shares in the aggressive
group or β> 1 and 25 Defensive or β <1.

3. Methodology
This journal uses a one-sample parametric statistical t-test to test whether there is an
abnormal return during the event window, and an independent sample test to test the
difference in abnormal returns between the two sample groups. Parametric statistics is a
statistical test tool that has a function for Comparative Analysis which aims to
determine and compare the conditions of two or more groups. The t-test sample test is
one of the statistical tests that aims to find out whether the variable regression model X
(Primomal Anomaly) has a significant effect on the variable Y (Stock Price Index
LQ45) with a value of > 0.05 significant and <0.05 insignificant.

4. Result
This study only addresses hypotheses 1 and 10. H1: This study proves that there is a
negative abnormal return on aggressive stocks between 09.00-11.00 on Monday. This
shows that Primbon's prediction of predicting abnormal returns on aggressive stocks
between 09.00-11.00 on Monday is proven. This also proves that the stock market in
aggressive stocks between 09.00-11.00 on Monday is inefficient in a weak form. Then
the next hypothesis is H10: On Thursday the negative abnormal return returns on
defensive stocks between 14:00 and 15:00. It can be concluded that there is an influence
of Primbon anomaly which causes abnormal return on defensive share between 14:00
and 15:00 on Thursday. Paired sample t-tests were carried out on two stock groups that
had significant results on one-sample t-test. The results of this test show a significance
level of 10% significance, which means that there is a significant influence between
primbon anomalies and aggressive and defensive stocks. The significant difference
between the average abnormal return on aggressive stocks on Monday between the
hours of 09:00 to 11:00 and Thursday for defensive stocks between the hours of 14:00
to 15:00. Abundant abnormal average returns on Monday between hours 09.00-11.00 is
-0.45% and Thursday for defensive stocks between 14.00-15.00 is -0.16%.
5. Discussion (Criticism / Appreciation / Recommendation)
This study aims to prove the influence of Primbon empirically on abnormal returns on
the LQ45 index of the Indonesia Stock Exchange using intraday data. Based on
Monday's tests, only for aggressive stocks between 09.00-11.00 and Thursday for
defensive stocks between 14.00 and 15.00 which results can be accepted following
Primbon's recommendations. Therefore, it can be concluded that the LQ45 index of the
Indonesian stock market is not fully influenced by Primbon as a consideration in its
investment decisions. This research suggests investors in the Indonesian stock market
who have lower risk preferences to buy defensive shares (beta less than 1) because
stocks have lower risk while investors with high risk can buy shares owned by
aggressive companies because they have a risk that is higher but with higher income
expectations too.

6. Suggestions
After the researchers read this journal, the researchers have some advice in deciding the
decision to buy or sell the stock activities.
1) The investor must be knowing the technical and fundamental analysis related to
the emiten who has chosen by the investor itself.
2) Investors should be knowing about the quality and performance of the emiten
selected as their investment fields and be sensitive and aware of the latest issues
relating to the emiten who has chosen by the investor itself.
3) Investors must realize that anomalous primbon does not always affect the
fluctuations in share prices in the capital market, there are still many other
factors that influence the fluctuations in share prices in the capital market.
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