860 © 2021 AESS Publications. All Rights Reserved. STOCK RETURNS DURING RELIGIOUS HOLIDAYS: THE ROLE OF CULTURE AND BELIEF Chandrarini Pramardya Utami 1 Arie Pratama 2+ 1,2 Accounting Department, Faculty of Economics and Business, Universitas Padjadjaran, Indonesia. 1 Email: chandrarini17001@mail.unpad.ac.id 2 Email: arie.pratama@fe.unpad.ac.id (+ Corresponding author) ABSTRACT Article History Received: 9 August 2021 Revised: 13 September 2021 Accepted: 6 October 2021 Published: 29 October 2021 Keywords Stock return Culture Belief Power distance Individualism Uncertainty avoidance Long-term orientation Government regulation Government favoritism Social regulation. This research investigates the effects of culture and belief on stock returns in Asia and Europe during religious holidays. Culture was proxied by power distance, individualism, uncertainty avoidance, and long-term orientation. Belief was proxied by government regulation, government favoritism, and social regulation. Seventeen stock indices were selected, and the data employed in this research are stock returns during religious holidays commemorated by each country listed in the top world indices from 2016 to 2020. A quantitative method was employed and the data analysis was done using a multiple linear regression method with panel data. This research shows that individualism, government regulation, favoritism, and social regulation positively affect stock returns during religious holidays. This implies that investors recognize stock market characteristics to facilitate investment decision-making. It is recommended that investors maximize positive stock returns found in individualistic countries and countries with high government regulation, favoritism, and social regulation. Contribution/Originality: This study contributes to the existing literature by examining the relationship between culture and belief in Asian and European countries and their effects on stock returns. This study is one of the few studies investigating international investor behavior in the stock market. 1. INTRODUCTION De Anca & Aragón (2018) state that diversity shapes identity. Identity is defined as the characteristics that distinguish one individual from another. Demographic diversity forms the identities of origin, experiential diversity forms the identities of growth, and cognitive diversity forms the identities of aspiration. The diversity of identity formation also affected the research conducted by Rossi & Gunardi (2018) on the month’s effects on the stock market in several European countries. One of the results from their study stated that Germany had a positive excess return in April, whereas Spain had a negative return in May, while Germany was only found to have a negative return in September. These differing results show that the demographic diversity that forms the identities of origin causes differences in the decisions of the individual stock market stakeholders, so differences in finding positive and negative stock returns occur. The difference in the personality and identity of each individual shows a different mindset and will result in different decisions. Research conducted by Ji, Zhang, & Guo (2008) showed that the decisions in buying and selling shares made by Canadians based on stock price movements were different from those of the Chinese. Canadians make more linear predictions and assume that current stock price movements will Asian Economic and Financial Review ISSN(e): 2222-6737 ISSN(p): 2305-2147 DOI: 10.18488/journal.aefr.2021.1111.860.872 Vol. 11, No. 11, 860-872. © 2021 AESS Publications. All Rights Reserved. URL: www.aessweb.com