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1 – 10 of 230Rofikoh Rokhim and Irma Octaviani
This paper aims to examine whether Sharia mutual fund managers are able to gain abnormal returns from what is called the Ramadhan effect.
Abstract
Purpose
This paper aims to examine whether Sharia mutual fund managers are able to gain abnormal returns from what is called the Ramadhan effect.
Design/methodology/approach
The authors use GARCH regression on daily data of domestic Sharia mutual fund performance in Indonesia and Malaysia over the period of 2007-2017.
Findings
The authors find that the Ramadhan effect is not a strong predictor of Sharia fund excess return in Indonesia and Malaysia, and they identify a positive Ramadhan abnormal return on the Malaysia Sharia Equity Fund. This result shows there is size effect on sharia fund excess return in Indonesia and value effect on Sharia Balanced Fund in both markets. It is suggested that the effect of market excess return in Indonesia is stronger than in Malaysia.
Research limitations/implications
The samples are limited to Sharia Funds over the period 2007-2017.
Practical implications
The authors suggest that size and value effect could be considered to develop the selection and timing strategies to explore the Ramadhan effect.
Originality/value
This study focuses on Indonesia and Malaysia, the two largest Islamic Stock Markets in Southeast Asia and examines specific on Sharia Mutual Fund (equity and balanced fund). It also compares differences in total performance measures between the Ramadhan period and non-Ramadhan period.
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Kokila Kalimuthu and Saleem Shaik
This paper aims to analyse the weekday effect on the Nifty Shariah indices as per the Islamic calendar. The study is intended to know about the return and volatility of these…
Abstract
Purpose
This paper aims to analyse the weekday effect on the Nifty Shariah indices as per the Islamic calendar. The study is intended to know about the return and volatility of these indices during Ramadhan and non-Ramadhan days.
Design/methodology/approach
The study focuses on analysing the Nifty Shariah indices and Sensex daily returns collected from NSE India and BSE India, respectively, during the period of 1 August 2016 to 31 July 2022. Descriptive statistics are used to analyse the data, while the Ordinary Least Square method is used to determine the impact of weekdays on the Nifty Shariah indices. Additionally, the study applies the GARCH statistical model to examine the influence of Ramadhan on the returns and volatility of the Nifty Shariah indices.
Findings
All of the Nifty Shariah indices produced positive returns during the overall sample period. According to the study, Tuesday index returns outperform other weekdays. The GARCH model indicated that the coefficient values for the Nifty 50 Shariah and Nifty 500 Shariah indices were negative. Ramadhan has a strong negative effect on volatility, according to this study.
Originality/value
The outcomes of the research are beneficial for investors aiming to exploit daily or weekly price fluctuations, rather than pursuing extended investment periods. Furthermore, fund managers can employ these findings to shape trading strategies, and academics can examine the performance of Shariah indices in the Indian context. This enables devout investors to make significant financial choices, thus advancing ethical values in society and upholding standards of both public and private morality.
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Abdullah M. Al-Awadhi, Ahmad Bash, Barrak AlGharabali, Mohammad Al-Hashel and Fouad Jamaani
This study aims to investigate the effect of seasonality caused by fasting as a religious practice on trading activity.
Abstract
Purpose
This study aims to investigate the effect of seasonality caused by fasting as a religious practice on trading activity.
Design/methodology/approach
The authors use an unbiased sample of daily trading by individuals and institutions on the Boursa Kuwait. The authors use panel data on trading activities and Tobit regression models to examine the effect of Muslims’ religious practice of fasting during the holy month of Ramadan on trading behavior.
Findings
The authors find that during the holy month of Ramadan, Muslims’ religious practice of fasting leads to a decline in the frequency of both overall stock market trading and the ratio of individual trading volume to total trading volume. The authors find a significant decrease in individual buy-side trading as a proportion of total trading volume and simultaneously a significant increase in institutional buy-side trading.
Practical implications
This study’s findings have important implications for the main players in stock markets of countries with a Muslim majority. Market-makers should be aware of the significant increase in the proportion of institutional buy-side trading volume to total trading volume to minimize the cost of trading with better-informed traders (adverse selection).
Originality/value
To the best of the authors’ knowledge, this is the first study that investigates individuals’ trading activity during Ramadan.
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Mahfooz Alam and Valeed Ahmad Ansari
This study aims to empirically compare the performance of Islamic indices vis-à-vis to their conventional counterparts in India.
Abstract
Purpose
This study aims to empirically compare the performance of Islamic indices vis-à-vis to their conventional counterparts in India.
Design/methodology/approach
The performance of the Islamic and selected conventional indices is evaluated using various risk-adjusted performance measures such as Sharpe ratio, Treynor ratio, M-square (M2) ratio, information ratio, capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four-factor model in India context. The period of study is from December 2006 to 2018.
Findings
The risk-adjusted performance measures based on the Sharpe ratio, Treynor ratio, information ratio, the M2 ratio show that the return of Islamic indices provides slightly superior performance. However, performance investigated using CAPM, Fama-French and Carhart benchmarks produce a statistically insignificant differences in return of the Islamic and conventional benchmarks.
Research limitations/implications
The Sharīʿah-compliant indices can provide a viable, ethical and alternative investment avenue for faith-based investors as it will not make them worse off in comparison to the conventional benchmarks. This also offers opportunity to conventional investors for portfolio diversification. The promotion of faith-based investment can serve as a tool for financial inclusion to attract a huge segment of Indian population in the formal financial system. The findings of the study suffer from the limitation of small sample size and empirical methods used.
Originality/value
This study contributes to the literature on the comparative performance of Islamic and conventional indices in general and emerging markets, in particular, using most recent data and covering a relatively long span of time. To the best of the knowledge, this is the first comprehensive study examining the performance of Islamic indices, using multiple Islamic indices and various risk-adjusted measures in the Indian context.
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Allah Karam Salehi and Elham Soleimanizadeh
The abnormality of the month-of-the-year and Ramadan effects has extensively existed in the stock and other markets. The commercial strategy pattern and the computation of such…
Abstract
Purpose
The abnormality of the month-of-the-year and Ramadan effects has extensively existed in the stock and other markets. The commercial strategy pattern and the computation of such predictable patterns in the market allow investors to make money. By using anomalies such as the month-of-the-year and the Ramadan effects on earnings management (EM), it is possible to achieve such a goal. This study aims to investigate the month-of-the-year effect and the Ramadan effect on the relationship between accrual earnings management and real earnings management (AEM and REM, respectively) and liquidity in the Iranian capital market.
Design/methodology/approach
This empirical analysis comprises a panel data set of 80 listed firms (400 observations) on the Tehran Stock Exchange from 2016 to 2020.
Findings
The findings exhibit that when AEM and REM increase, information asymmetry also increases. The simultaneous increase of these variables leads to a decrease in stock liquidity. Furthermore, the results indicate that the month-of-the-year and Ramadan effects intensify the negative relationship between AEM and REM with stock liquidity. Therefore, EM is affected by the investor’s behavior in specific months.
Practical implications
Anomalies caused by the Ramadan effect and the month-of-the-year effect on reducing liquidity in the Iranian stock market were confirmed. Investors can use these anomalies to identify predictable patterns, exchange securities according to those patterns and earn abnormal returns.
Originality/value
To the best of the authors’ knowledge, this is the first study that empirically examined the simultaneous effect of Gregorian and Islamic calendar anomalies on the relationship between EM and liquidity, and while helping managers and other readers, it can be the basis for future research.
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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 festivals…
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’.
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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.
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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 between 2004…
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.
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Amine Ben Amar, Stéphane Goutte, Amir Hasnaoui, Amine Marouane and Héla Mzoughi
This study aims to investigate the dependence structure and volatility spillovers among two strategic commodities (crude oil and gold) and a set of Islamic and conventional…
Abstract
Purpose
This study aims to investigate the dependence structure and volatility spillovers among two strategic commodities (crude oil and gold) and a set of Islamic and conventional regional stock market indices, while examining the Ramadan effect
Design/methodology/approach
The empirical strategy consists of two complementary measures of dependence and connectedness. This study first uses copulas to examine the dependency between the markets considered, then spillovers compute the magnitude of the connectedness among them.
Findings
The copulas analysis shows that Frank’s copula appears to better capture the relationship between most asset returns and highlights the almost absence of extreme dependence and, therefore, the existence of diversification opportunities. Moreover, the connectedness analysis suggests that gold is a net volatility receiver and provides, thereby, greater diversification benefits compared to crude oil. In addition, the high levels of time-varying connectedness support strong integration among the financial markets studied, specifically during the COVID-19 crisis period. Furthermore, the connectedness among the markets studied increases during the Ramdan subperiods, supporting shift contagion among financial markets considered during this religious holiday.
Practical implications
The results provide investors with a better understanding of the nature as well as the magnitude of the interdependences between commodity markets and a set of Islamic and conventional regional stock markets. Indeed, it is of paramount importance for investors to clearly understand how Islamic and conventional markets are segmented or integrated during stress and stress-free periods, as well as the effect of the month of Ramadan on the interdependence among markets, to better assess risks, diversify portfolios and implement more effective hedging strategies.
Originality/value
While a considerable body of literature examines financial contagion and volatility transmission between financial markets, there is still much to be said regarding connectedness among commodity and stock markets, particularly when it comes to studying the effects of religious holidays on the interaction between conventional and Islamic assets. This paper fills in this gap by focusing on the dependence structure as well as the connectedness between Islamic stock indices, conventional stock indices, gold and crude oil for six different regions, while examining the Ramadan effect.
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Anwar Halari, Christine Helliar, David M. Power and Nongnuch Tantisantiwong
Studies on Islamic calendar anomalies in financial markets tend to apply quantitative analysis to historic share prices. Surprisingly, there is a lack of research investigating…
Abstract
Purpose
Studies on Islamic calendar anomalies in financial markets tend to apply quantitative analysis to historic share prices. Surprisingly, there is a lack of research investigating whether the participants of such markets are aware of these anomalies and whether these anomalies affect their investment practice. Or is it a case that these practitioners are completely unaware of the anomalies present in these markets and are missing out on profitable opportunities? The purpose of this paper is to analyse the views of influential participants within the Pakistani Stock Market.
Design/methodology/approach
The study documents the findings for 19 face-to-face semi-structured interviews conducted with brokers, regulators and high-net-worth individual investors in Karachi.
Findings
The paper’s major findings indicate that the participants believed that anomalies were present in the stock market and market participants were actively attempting to exploit these anomalies for abnormal gains. Interviewees suggested that predictable patterns can be identified in certain Islamic months (Muharram, Safar, Ramadan and Zil Hajj). The most common pattern highlighted by the interviews related to the month of Ramadan. Furthermore, interviewees mentioned the influence of the “Memon” community in the Pakistani Stock Market. Respondents also suggested that investor sentiment played an important role in influencing the stock market prices and trading patterns.
Originality/value
Because all the prior studies investigating Islamic calendar anomalies in Muslim-majority countries adopted quantitative method using secondary data, the current investigation is of particular value, as it focuses on the qualitative analyses and reports the views of market participants. This allows to fully explore the topic under investigation and to draw robust conclusions.
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