| Summary: | 碩士 === 國立勤益科技大學 === 工業工程與管理系 === 106 === This study examines the day-of-the-week effect for the Jakarta Islam Index (JII) and Jakarta Composite Index (JCI) during the Ramadan and non-Ramadan. The study period is from July 3, 2000 to July 31, 2017. For robustness tests, the full period is divided into four sub-periods: the Internet Bubble period, after the Internet Bubble and before the 2008 financial crisis period, the financial crisis period and after the financial crisis period. The results are briefly stated as follows. Firstly, the result of the full period for two indexes shows that the day-of-the-week effect does not exist during Ramadan but that exists during non-Ramadan. Secondly, the evidence of Ramadan for JII is that the day-of-the-week effect does not exist during the four sub-periods except after the 2008 financial crisis period, and that for JCI is that the effect is also not present during the four sub-periods except after the Internet Bubble and before the financial crisis period. Finally, the findings of non-Ramadan for two indices demonstrate that the day-of-the-week effect exists during the four sub-periods except the financial crisis period. Overall, a typical weekly effect is generally observed during non-Ramadan and the effect seems not to be found during Ramadan for the Indonesia stock indices.
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