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Article
Publication date: 15 June 2022

Dania Al- Najjar, Hamzeh F. Assous, Hazem Al-Najjar and Nadia Al-Rousan

This study aims to investigate the Ramadan effect anomaly on the stock markets’ indices and estimate the movement of these indices in the light of the phenomenon.

Abstract

Purpose

This study aims to investigate the Ramadan effect anomaly on the stock markets’ indices and estimate the movement of these indices in the light of the phenomenon.

Design/methodology/approach

Stock market indices are used as financial indicators to show the Ramadan effect. To validate this effect, eight Arab countries, which comprises Jordan, Saudi Arabia, Oman, Qatar, United Arab Emirates, Bahrain, Kuwait and Egypt, are adopted. A linear regression with R2, error, F-value and p-value is considered to analyze and understand the effect of Ramadan on the aforementioned Arab countries.

Findings

Results found that Ramadan has a strong effect on estimating and predicting the performance of stock market indices in all studied Arab countries, except Kuwait. Results found that the majority of the Ramadan effect occurred after the second 10 days of Ramadan, where the direction of stock indices is opposite of Ramadan variables in all aforementioned cases.

Originality/value

This study is considered as an enrichment of the existing literature review with regard to the Ramadan effect. The study presents a new methodology that can be followed to improve the predictions of stock market indices by using a weight least square method with linear regression. This study presents the most affected periods of time that could decrease or increase the stock prices. Finally, the study proves the capability of the weight least square method in building a predictive model that takes the date into consideration in predicting stock market indices.

Details

Journal of Islamic Marketing, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1759-0833

Keywords

Article
Publication date: 27 May 2022

Carmen Lopez-Martin

This paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.

Abstract

Purpose

This paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.

Design/methodology/approach

The closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.

Findings

Although no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.

Originality/value

First, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.

Details

Review of Behavioral Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1940-5979

Keywords

Article
Publication date: 8 July 2019

Dharani Munusamy

Muslim’s hope that the holy month of Ramadan will create something more valuable for them. Through fasting and good actions, they can get rewarded twice than they normally…

Abstract

Purpose

Muslim’s hope that the holy month of Ramadan will create something more valuable for them. Through fasting and good actions, they can get rewarded twice than they normally can achieve. With this motivation, the purpose of this paper is to investigate the holy month of Ramadan effect on the returns and volatility of the Shariah index in India.

Design/methodology/approach

Using the ordinary least square methods, this paper examines the impact of Ramadan effect on the returns of the Shariah index in India. This paper further investigates the impact of the holy month of Ramadan effect on the volatility of the Shariah index by applying GARCH-modified models. This paper categorizes the Ramadan days into three parts, namely God’s Mercy, God’s Forgiveness and Emancipation from hellfire to examine the relationship between the Ramadan effect and the returns and volatility of the Shariah index in India.

Findings

The results show that the returns during the month of Ramadan as a whole are statistically significant. The results further motivate that its last ten days have high influences than other days over the period. Finally, the study examines the Ramadan effect on volatility by applying GARCH modified models and finds an evidence of Ramadan effect during the first ten days of Ramadan month.

Originality/value

The positive impact of Ramadan increases on the days associated with higher worship intensity. The study provides an important information to the ethical investors to invest in the Shariah stocks during Ramadan days. This information is very useful for the investors to get an abnormal return during the Ramadan days.

Details

Journal of Islamic Accounting and Business Research, vol. 10 no. 4
Type: Research Article
ISSN: 1759-0817

Keywords

Article
Publication date: 7 August 2018

Dharani Munusamy

The purpose of this paper is to examine the behavior of the stock market returns in the different days of the week and different months of the year in accordance with the…

Abstract

Purpose

The purpose of this paper is to examine the behavior of the stock market returns in the different days of the week and different months of the year in accordance with the Islamic calendar. Further, the study estimates the risk-adjusted returns to test the performance of the indices during the Ramadan and non-Ramadan days. Finally, the study investigates the impact of Ramadan on the returns and the volatility of the stock market indices in India.

Design/methodology/approach

Initially, the study applies the Ordinary Least Square method to test the day-of-the-week and the month-of-the-year effect of the common and Shariah indices. Next, the study employs the risk-adjusted measurement to examine the underperformance and over-performance of the indices for both the periods. Finally, the study estimates the GARCH (1,1) and GJR-GARCH (1,1) models to observe the impact of Ramadan on the returns and the volatility of the Shariah indices in India.

Findings

The study finds that an average return of the indices during the Ramadan days are higher than non-Ramadan days. Further, the average returns of the Shariah indices are significantly higher on Wednesday than other days of the week. In addition, the highest and significant mean returns and mean risk-adjusted returns of the indices during the Ramadan days are observed. Finally, the study finds an evidence of the Ramadan effect on the returns and volatility of the indices in India.

Originality/value

The study observes evidence that the Ramadan effect influences the Shariah indices, but not the common indices in the stock market of the non-Muslim countries. It indicates that the Ramadan creates the positive mood and emotions in the investors buying and selling activities. The study suggests that investors can buy the shares before Ramadan period and sell them during the Ramadan days to get an abnormal return in the emerging markets.

Details

International Journal of Social Economics, vol. 45 no. 11
Type: Research Article
ISSN: 0306-8293

Keywords

Article
Publication date: 8 July 2019

Nasif Ozkan

This study aims to investigate the Hijri calendar effect in Borsa Istanbul (BIST) precious metal market and foreign exchange market (Dollar and Euro market) of Turkey.

Abstract

Purpose

This study aims to investigate the Hijri calendar effect in Borsa Istanbul (BIST) precious metal market and foreign exchange market (Dollar and Euro market) of Turkey.

Design/methodology/approach

The data of BIST gold market index and foreign exchange market are used for the period of 4 March 2003-30 September 2016 (1 Muharram 1424 – 28 Dhu al-Hijja 1437) in the study. These data are analyzed by using the dummy variable regression model and Kruskal–Wallis (KW) test.

Findings

The results of the regression models and KW test indicate that there is a Ramadan effect in the gold market and after-Ramadan effect in the Euro market. On the other hand, the Hijri month effect does not exist in the Dollar market.

Originality/value

This is the first paper that investigates the Hijri calendar effect in gold and foreign exchange markets of Turkey other than the stock market.

Details

Journal of Islamic Accounting and Business Research, vol. 10 no. 4
Type: Research Article
ISSN: 1759-0817

Keywords

Article
Publication date: 15 January 2018

Shaista Wasiuzzaman and Noura Abdullah Al-Musehel

The purpose of this paper is to focus on the influence of mood/emotions and religious experience on Islamic stock markets during the Ramadan month.

1089

Abstract

Purpose

The purpose of this paper is to focus on the influence of mood/emotions and religious experience on Islamic stock markets during the Ramadan month.

Design/methodology/approach

This study uses stock returns data of two countries – Saudi Arabia and Iran – from January 2008 to September 2014 and the ARMA-GARCH models to study impact of the Ramadan month on the return and volatility of the stock market in these two countries.

Findings

The results of this study show some differences in the impact of the Ramadan month on the return and volatility of the stock market in these two countries. While the Ramadan month has a significant positive influence on the mean returns and the volatility of the Saudi market, its influence on the Iranian market is found to be insignificant. Further analysis on the last ten days of the Ramadan month provides a similar result for the Saudi market. However, for the Iranian market, volatility is significantly negatively affected during these last ten days.

Originality/value

Most prior studies have found significant changes in returns during the Ramadan month but a deeper understanding of this stock market anomaly is needed. The results point toward the influence of mood/emotions and religious experience in explaining the existence of the Ramadan anomaly.

Details

International Journal of Emerging Markets, vol. 13 no. 1
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 6 February 2018

Marwa Jaziri and Mouna Abdelhedi

The purpose of this paper is to investigate whether the Islamic religious occasions can, through their impact on investor sentiment, affect returns in six Arab financial markets.

Abstract

Purpose

The purpose of this paper is to investigate whether the Islamic religious occasions can, through their impact on investor sentiment, affect returns in six Arab financial markets.

Design/methodology/approach

In this paper, the authors test the effect of the occasions of Hajj pilgrimage, Ramadan, Eid-al-Fitr, Mawlid and Ashura during the period of 2001-2016 on Saudi Arabia, Dubai, Kuwait, Egypt, Qatar and Bahrain financial markets. Three measures of investor sentiment are used: trading volume, high minus low and psychological line index.

Findings

Higher effect of investor sentiment on returns is detected after Hajj pilgrimage than that before Hajj pilgrimage in all studied financial markets. The positive emotions during Ramadan contribute significantly to the increase in returns in Arab financial markets. Results indicate that most of studied financial markets exhibit a significant effect of investor sentiment on returns during the first 10 days and the second 10 days of Ramadan. Empirical results indicate that Eid-al-Fitr affects the relation between investor sentiment and returns in Saudi Arabia, Kuwait, Qatar and Dubai financial markets. Relationship between investor sentiment and returns is not is not significantly affected by the Mawlid occasion, except in the Dubai and Kuwait financial markets.

Originality/value

The Islamic occasions of the Hajj pilgrimage, Ramadan and Eid-al-Fitr affect significantly the relation between investor sentiment and returns.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 11 no. 2
Type: Research Article
ISSN: 1753-8394

Keywords

Article
Publication date: 25 July 2019

Harit Satt, Sarah Nechbaoui, M. Kabir Hassan and Selma Izadi

This paper aims to document the impact of Ramadan on the optimism of analysts’ recommendations taking as a sample the countries of the MENA region during the period…

Abstract

Purpose

This paper aims to document the impact of Ramadan on the optimism of analysts’ recommendations taking as a sample the countries of the MENA region during the period between 2004 and 2015. The choice of these countries can be explained by the fact that their population is predominantly of a Muslim faith (The Future of World Religions: Population Growth Projections, 2010-2050, 2015).

Design/methodology/approach

The authors used univariate and multivariate regression models to highlight the existence of the Ramadan effect on the optimism of analysts. They have found that pre-holiday optimism is significantly lower than post-holiday optimism.

Findings

This paper also documented the effect of analysts’ experience and information uncertainty on the analysts’ optimism level that allowed us to infer that low experience enhances optimism, while environment with low information uncertainty tends to decrease the level of optimism.

Originality/value

Previous research on this topic has investigated the effect of months of the year, turns of the month and days-of-the-week on the behavior of stock exchanges. Another strand of the literature also analyzed the effect of holidays on the latter. However, this is the first attempt to investigate this effect on analysts’ recommendations optimism when the holiday period is related to Islam.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 12 no. 5
Type: Research Article
ISSN: 1753-8394

Keywords

Article
Publication date: 4 November 2021

Md. Bokhtiar Hasan, M. Kabir Hassan, Md. Mamunur Rashid, Md. Sumon Ali and Md. Naiem Hossain

In this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid…

Abstract

Purpose

In this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid festivals–effects in both the conventional and Islamic stock indices of Bangladesh. Also, the authors examine whether these anomalies differ between the two indices.

Design/methodology/approach

The authors select the Dhaka Stock Exchange (DSE) Broad Index (DSEX) and the DSEX Shariah Index (DSES) of the DSE as representatives of the conventional and Islamic stock indices respectively. To carry out the investigation, the authors employ the generalized autoregressive conditional heteroskedasticity (GARCH) typed models from January 25, 2011, to March 25, 2020.

Findings

The study’s results indicate the presence of all these calendar anomalies in either conventional or Islamic indices or both, except for the Ramadan effect. Some significant differences in the anomalies between the two indices (excluding the Ramadan effect) are detected in both return and volatility, with the differences being somewhat more pronounced in volatility. The existence of these calendar anomalies argues against the efficient market hypothesis of the stock markets of Bangladesh.

Practical implications

The study’s results can benefit investors and portfolio managers to comprehend different market anomalies and make investment strategies to beat the market for abnormal gains. Foreign investors can also be benefited from cross-border diversifications with DSE.

Originality/value

To the authors’ knowledge, first the calendar anomalies in the context of both conventional and Islamic stock indices for comparison purposes are evaluated, which is the novel contribution of this study. Unlike previous studies, the authors have explored seven calendar anomalies in the Bangladesh stock market's context with different indices and data sets. Importantly, no study in Bangladesh has analyzed calendar anomalies as comprehensively as the authors’.

Details

Managerial Finance, vol. 48 no. 2
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 2 September 2021

Irfan Ali, Waheed Akhter and Naukhaiz Chaudhry

The Islamic Holy days are among the most celebrated spiritual traditions in the world and are observed by more than 1.5 billion Muslims. This study aims to investigate the…

Abstract

Purpose

The Islamic Holy days are among the most celebrated spiritual traditions in the world and are observed by more than 1.5 billion Muslims. This study aims to investigate the effect of these events on the regular returns of stock exchanges in selected Muslim countries.

Design/methodology/approach

This study examines data from eight Asian and African stock exchanges from 2001 to 2019. Isolating the effect of Gregorian calendar anomalies, it aims to evaluate the effect of Islamic Holy days on stock returns by running a pooled random effect panel regression on all the stock exchanges examined.

Findings

The results reveal the positive impact of Eid-ul-Fitr on Asian markets, the negative impact of Eid Milad-un-Nabi on the African stock market’s returns and the positive effect of the Holy month of Ramadan on both markets. Some Gregorian calendar anomalies also were found in these markets.

Practical implications

The research has significant implications for marketing professionals to recognize business opportunities and investors to efficiently manage their stock portfolio during Islamic events of Eid-ul-Fitr, Eid Milad-un-Nabi and Ramadan in relevant Muslim countries.

Originality/value

Given the research gap between Gregorian and Islamic calendar anomalies, this paper contributes by combining the effect of Islamic Holy days on the returns of selected Muslim-dominated financial markets.

Details

Journal of Islamic Marketing, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1759-0833

Keywords

1 – 10 of 862