Does Ramadhan affect abnormal return?

This study aimed to test the stock performance during the month of Ramadhan and other Hijriah months in 1432-1438 H. A comparative study with a quantitative approach to the selected sample data of 16 issuers who are members of the SRI-KEHATI index were used. This study employed a paired sample t-test. The analysis indicated that there are differences in stock abnormal returns each month, but this does not prove that the Ramadhan month effect anomaly always occurs. Interestingly, this study proves that, when Ramadhan month arrives, it is suspected that investor behavior tends to avoid risk, since existing beliefs and rumors influence investor behavior in Indonesia.