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The efficient markets hypothesis argues that stock prices reflect all information in the market and that it is not possible for investors to obtain abnormal returns. However, in some of the academic studies, it was determined that this hypothesis was not valid and these situations were stated as anomalies. The aim of this study is to examine whether there is a Ramadan effect, which is among the periodic anomalies in Borsa Istanbul. The research covers a 166-month period between January 2011 and May 2024. In the study, the power ratio method was used to detect the Ramadan anomaly in the Participation Index. As a result of the study, it was determined that the highest monthly average return occurred in the month of Rabi al-Ahir and the lowest monthly average return occurred in the month of Cemaziyelahir. As a result of the study, it was concluded that there was a periodic anomaly in the months of Rajab and Ramadan, which are the three months considered sacred in Islamic belief, and that there was no effect of Shaban. [ABSTRACT FROM AUTHOR]

The detection of seasonal effects is essential in economic forecasting. However, the lack of indicators produced referencing calendars other than the Gregorian system makes it hard to observe the impact of the cultural, national, and religious days that annually shift in the Gregorian calendar, on the economy. Ramadan, the ninth month of the lunar-based Hijri calendar, has an impact on many issues, namely the Ramadan effect, due to the changes in the daily practices of the fasting Muslim people. We checked the existence of the Ramadan effect on consumer prices and industrial production in Turkey by reconstructing the monthly indicators in the Hijri calendar and testing the significance of the differences between their increase rates in Ramadan and other months. We observed that the Food Price Index and prices of some goods increase, and production decrease in Ramadan, significantly more than in other months. Considering the Ramadan effect would improve the accuracy of the inflation forecasting and seasonal adjustment models.

The month of Ramadan is anticipated to influence the behavior of the stock market, where the environment in Ramadan is different from other months. During the Ramadan month, transformations in the social life of people are quite apparent and significant, and the overall economic activity tends to decelerate as the number of working hours decreases. This paper aims to explore the impact of the Ramadan month on the stock market returns, volatility, and trading volume on the Tunis Stock Exchange (TSE) between September 2009 and July 2019. To achieve these objectives, the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) technique and the ordinary least squares regression are used. The results show that the impact of the Ramadan month on the daily returns is positive and statistically significant at a 1% level. It is also found that the impact of the Ramadan month on the volatility and trading volume is negative and statistically significant. The findings can help domestic and foreign investors and regulators to better comprehend the Tunisian stock exchange and investor behavior. Moreover, this research can help investors to develop their trading strategies.

Using a dataset of 91 Islamic and 78 conventional funds from 2007 to 2016, this study analyzes the flow–return relation of Islamic and conventional funds in Malaysia. We find that the fund flow–return relation for Islamic funds is positive and stronger than that of conventional funds for positive performers. Moreover, Islamic funds still attract fund flows, while conventional funds experience capital outflow during a negative performance. Besides, this study is unique by its attempt to capture the effect of the month of Ramadan on the flow–performance relation of Islamic and conventional funds in Malaysia. Fund outflows of conventional funds increase during the month of Ramadan, though it does not affect the direction of money-flows either in or out of an Islamic fund. These findings reflect the limited choice availability and significance of religion for Muslim investors. Furthermore, to have an in-depth understanding of the smart-money effect, this study also examines the impact of relative performance on money-flows. Interestingly, the findings show that not only the top and bottom performers of Islamic funds attract larger money inflows and but also suffer larger money outflows than their conventional counterparts. Overall, this paper provides strong evidence that investors consider Islamic and conventional financial assets as different asset classes, and given religious restrictions, investors of Islamic funds act financially smarter than those of conventional funds. [ABSTRACT FROM AUTHOR]

The detection of seasonal effects is essential in economic forecasting. However, the lack of indicators produced referencing calendars other than the Gregorian system makes it hard to observe the impact of the cultural, national, and religious days that annually shift in the Gregorian calendar, on the economy. Ramadan, the ninth month of the lunar-based Hijri calendar, has an impact on many issues, namely the Ramadan effect, due to the changes in the daily practices of the fasting Muslim people. We checked the existence of the Ramadan effect on consumer prices and industrial production in Turkey by reconstructing the monthly indicators in the Hijri calendar and testing the significance of the differences between their increase rates in Ramadan and other months. We observed that the Food Price Index and prices of some goods increase, and production decrease in Ramadan, significantly more than in other months. Considering the Ramadan effect would improve the accuracy of the inflation forecasting and seasonal adjustment models. [ABSTRACT FROM AUTHOR]

The method of Winters (1960) is one of the most well-known forecasting methodologies in practice. The main reason behind its popularity is that it is easy to implement and can give quite effective and efficient results for practice purposes. However, this method is not capable of capturing a pattern being emerged due to the simultaneous effects of two different asynchronous calendars, such as Gregorian and Hijri. We adapt this method in a way that it can deal with such patterns, and study its performance using a real dataset collected from a brewery factory in Turkey. With the same data set, we also provide a comparative performance analysis between our model and several forecasting models such as Winter's (Winters 1960), TBAT (De Livera et al. 2011), ETS (Hyndman et al. 2002), and ARIMA (Hyndman and Khandakar 2008). The results we obtained reveal that better forecasts can be achieved using the new method when two asynchronous calendars exert their effects on the time-series. [ABSTRACT FROM AUTHOR]

In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS regression with robust standard errors. January is the first month of the Gregorian calendar, while Ramadan is the 9th and the most sacred month of the lunar calendar, used in Muslim countries. The results obtained show the existence of Monday effect in BRVM and Namibia, Friday effect in Kenya and Namibia, January effect in Botswana and Zambia, December effect in Botswana, BRVM and Egypt and Ramadan effect in Tunisia.

In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS regression with robust standard errors. January is the first month of the Gregorian calendar, while Ramadan is the 9th and the most sacred month of the lunar calendar, used in Muslim countries. The results obtained show the existence of Monday effect in BRVM and Namibia, Friday effect in Kenya and Namibia, January effect in Botswana and Zambia, December effect in Botswana, BRVM and Egypt and Ramadan effect in Tunisia. [ABSTRACT FROM AUTHOR]

Abstract This study examines herding behavior in the Pakistani Stock Market under different market conditions, focusing on the Ramadan effect and Crisis period by using data from 2004 to 2014. Two regression models of Christie and Huang (Financ Analysts J 51:31–37, 1995) and Chang et al., (J Bank Finance 24:1651–1679, 2000) are used for herding estimations. Results based on daily stock data reveal that there is an absence of herding behavior during rising (up) and falling (down) market as well as during high and low volatility in market. While herding behavior is detected during low trading volume days. Yearly analysis shows that herding existed during 2005, 2006 and 2007, while it is not evident during rest of the period. However, herding behavior is not detected during Ramadan. Furthermore, during financial crisis of 2007–08, Pakistani Stock Market exhibits herding behavior due to higher uncertainty and information asymmetry.

A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well studied and evident in financial literature that stock markets around the world have predictable patterns, e.g. calendar effect, behavioural effect, and Religious festival effect. By analysing market return and trading volume data of Dhaka Stock Exchange (DSE) over the period of 1 January 2002 to 30 August 2018, this study attempts to investigate the association of Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH (p,q) model on the market return of DSE, this study concludes that Ramadan month has no significant relationship with stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE. This is might be the outcome of decreased trading and banking hour and religious perception of investors.

A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well studied and evident in financial literature that stock markets around the world have predictable patterns, e.g. calendar effect, behavioural effect, and Religious festival effect. By analysing market return and trading volume data of Dhaka Stock Exchange (DSE) over the period of 1 January 2002 to 30 August 2018, this study attempts to investigate the association of Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH (p,q) model on the market return of DSE, this study concludes that Ramadan month has no significant relationship with stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE. This is might be the outcome of decreased trading and banking hour and religious perception of investors. [ABSTRACT FROM AUTHOR]

Empirical tests of the efficient market hypothesis (EMH) have been repeated by many researchers with varying results, with several supporting it and others finding no clear evidence for it. One of the results that weakens the EMH is the study of such anomalies as the Ramadan effect. Anomaly studies are also denied by recent studies that demonstrated proof of the weakening and even disappearance of anomalous effects. This research tests the persistence of the Ramadan effect in the stock returns in 10 Muslim-majority countries. We have found that the Ramadan effect is present, but it is not persistent. This finding is consistent with the finding from the test of efficient market form, which indicated that the markets of all 10 Muslim-majority countries are not efficient. When economic crisis is considered as an influencing factor, the Ramadan effect is still not persistently present.

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Indonesia and Malaysia are common in religion; however, the two countries have different developments in their equity markets. This study investigates the risk, return, and liquidity during Ramadan for the Indonesia and Malaysia stock markets. We find that the volatility is higher around Ramadan for the Indonesia stock market, while displays dynamic patterns in different phases around the month of Ramadan for Malaysia. Despite the changing risk during Ramadan, the risk-adjusted return remains unchanged. Furthermore, this study finds that the liquidity in most stock index markets of the two countries is higher around Ramadan. These findings support the notion that Ramadan affects investors’ risk-taking attitude and facilitates the trade in stocks. [ABSTRACT FROM AUTHOR]

Does religiosity impact the trading of securities in financial markets? We separate two channels that could affect investor behavior, disentangling a religiosity effect from a well-being effect. Our original identification strategy compares the stock market reaction to sukuk and bond issuance during the holy month of Ramadan, allowing for a differentiated stock market reaction to the religious component of a trade. Using the event study methodology, we measure abnormal returns for a sample of 2140 issuances by 133 issuers in Malaysia over the period 2000–2013. While we find evidence for both channels, sukuk issuance during Ramadan is valued more positively than bond issuance by stock market investors. Further, the positive reaction to sukuk issuance during Ramadan only rewards firms which issue sukuk exclusively. Our findings support the view that religiosity influences the behavior of investors, suggesting that this factor should be taken into account in the analysis of financial markets. [ABSTRACT FROM AUTHOR]

Copyright of Abant İzzet Baysal Üniversitesi Journal of Social Sciences / Sosyal Bilimler Enstitüsü Dergisi is the property of Journal of Abant Social Sciences and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

We examine patterns of comovement in stock returns around the Dow Jones Islamic Market World Index (DJIMWI) quarterly revision events. Our analysis is based on a sample of 8250 companies from eighteen countries during the period May 1999–June 2012. We find that a stock’s comovement with the DJIMWI increases when it joins and decreases when it leaves the index. We also find that the comovement of newly added (deleted) stocks with the existing DJIMWI constituents increases (declines) during periods of high trading activity and during the month of Ramadan. Further tests reveal that changes in the fundamentals have no impact on the comovements of added and deleted stocks. Overall, our results indicate that stock returns respond to the emotional state of investors around information-free events. [ABSTRACT FROM AUTHOR]

Although there are a lot of studies testing the calendar effect in BIST, there are limited numbers of studies testing the Ramadan effect. In this study, the period of 05 August 1997-24 October 2014 is tested by the GJR-GARCH(1,1) model on the basis of BIST 30, 100, all, second national, sectors and sub-sectors. In some of the models, the dummy variable of Ramadan did not have significant coefficients. In the models that provide significant value of the dummy variable of Ramadan, coefficients of this variable are negative. This shows that, in the Ramadan, return rates of the second national index, chemistry, and manifacturing, textile, trust companies sectors are affected negatively. Any significant result could not be found whether Ramadan has effect upon other sector indices. Findings are in the direction that even if the month of Ramadan generally doesn't increase the average return, it makes a positive impact on the market by reducing the volatility of returns. [ABSTRACT FROM AUTHOR]

The purpose of this research is to examine the existence of seasonality in the stock market return, its volatility and trading amount associated with moving calendar events such as the holy month of Ramadan using a GARCH specification and data for the Tehran Stock Exchange (TSE) from April 1998 to June 2010. The result shows a statistically significant increase in returns and a systematic pattern of decline in volatility during Ramadan, implying a predictable variation in the market price of risk. An examination of trading data shows that this anomaly appears to be inconsistent with a decline in trading activity during Ramadan. Evidence of systematic decline in volatility during Ramadan has significant implications for pricing of securities and asset allocation decisions by investors in Islamic countries.

Abstract: Recent literature shows that the holy month of Ramadan exerts a positive influence on investor sentiment in predominantly Muslim countries. This anomaly has been found to be particularly pronounced in Turkey. We therefore examine whether mutual fund managers investing in Turkish stocks are able to benefit from the Ramadan effect. We find that risk-adjusted performance of domestic institutional funds, hybrid funds and foreign Turkish equity funds is substantially higher during Ramadan compared to the rest of the year. By contrast, domestic index funds fail to deliver higher abnormal returns as they are adversely affected by increased money inflows during Ramadan. [Copyright &y& Elsevier]

Abstract: Calendar anomalies in stock returns are well documented. Less obvious is the existence of seasonality in return volatility associated with moving calendar events such as the Muslim holy month of Ramadan. Using a GARCH specification and data for the Saudi Arabian stock market – now the largest stock market in the Muslim world – this paper documents a systematic pattern of decline in volatility during Ramadan, implying a predictable variation in the market price of risk. An examination of trading data shows that this anomaly appears to be consistent with a decline in trading activity during Ramadan. Evidence of systematic decline in volatility during Ramadan has significant implications for pricing of securities especially option-like products and asset allocation decisions by investors in the Islamic countries. [Copyright &y& Elsevier]

We examine the presence of the Ramadan effect in feedback trading drawing on a sample of eleven majority Muslim markets for the period of 29/6/2001 to 1/8/2016. Feedback trading is significant in several of these markets, appearing stronger outside, rather than within, Ramadan. These results hold for the full sample period, including before and after the global financial crisis raising the possibility that Ramadan's widely documented lower volatility is related to the reduced presence of feedback trading during that month. We attribute our findings to Ramadan's traditionally documented low volumes rendering feedback trading less feasible during that month. [ABSTRACT FROM AUTHOR]