ABSTRACT
The purpose of this research is to determine the effect of Chinese astrology to the Indonesian capital market. This research uses variables from Chinese astrology such as yin yang, Wu Xing, and Chinese zodiac to investigate their effects on the returns of the Jakarta Composite Index, specifically on the returns of Chinese Indonesians-owned companies listed on the Indonesia Stock Exchange. In addition to that, foreign exchange and earnings per share are also used to represent macroeconomic and accounting variables, respectively. Research samples consist of the values of the Jakarta Composite Index from 1984 to 2015 and those of the stocks of 70 companies from 2003 to 2015 which were selected based on a set of criteria. Our hypotheses were tested using the multiple linear regression method. Results show that Chinese astrology variables have no significant effect, but foreign exchange has a negative significant effect on the returns of the Jakarta Composite Index. However, earnings per share has a positive significant effect on the returns of the Chinese Indonesians-owned companies listed on the Indonesia Stock Exchange.
