It is very possible for an investor to take a decision based on
superstitions and common beliefs. Actually, Indonesia has a specific
calendar system called the Javanese lunar calendar. The Javanese
calendar contains several special days because of their sacred
characteristics such as “Kamis Wage” (Thursday Wage) and “Jum’at Kliwon”
(Friday Kliwon). The day of Friday Kliwon is often considered to be the
most frightening which is similar to Friday the Thirteenth in Western
culture. This study tried to scrutinize the impact of those sacred days
on Indonesian stock returns. By applying GARCH-M, the finding shows that
the Javanese lunar calendar does not have any impact on the Indonesian
stock returns, but does affect the investors’ risk aversion level. This
study has proven that, in terms of risk aversion, investors’ behavior in
Indonesia is influenced by superstition.