GIDA İLE İLGİLİ HİSSE SENETLERİNDE RAMAZAN ETKİSİ: SEÇİLMİŞ İSLAMİ SERMAYE PİYASALARINDA BİR OLAY ÇALIŞMASI ANALİZİ

Year 2025, Volume: 20 Issue: 2, 87 - 95

Murat Işıker , Issam Jallad , Akeel Lary

https://doi.org/10.54860/beyder.1762057

Abstract

Bu çalışma, Müslümanların çoğunlukta yaşadığı seçilmiş ülkelerde gıda sektöründe faaliyet gösteren hisse senetlerinin Ramazan ayı öncesinde ve sırasında ana hisse senedi endeksine kıyasla anormal getiriler sağlayıp sağlamadığını araştırmayı amaçlamaktadır. Ramazan ayı öncesinde ve sırasında, sosyal yardım faaliyetleri ve aile ziyaretleri gibi nedenlerle gıda ile ilgili ürünlere olan talepte artış gözlemlenmektedir. Çalışmada olay çalışması yöntemi kullanılmıştır. Analizde, 2004–2024 dönemini kapsayan yirmi bir yıllık veri seti kullanılmış ve 191 gıda sektörü hissesi üzerinden 2,346 olay incelenmiştir. Bulgular, ülkelere göre farklılık göstermekte olup, Ramazan ayı boyunca analiz edilen ülkelerin çoğunda negatif yönlü anormal getiriler gözlemlenmiştir.

Keywords

Ramazan Etkisi , Mevsimsellik Etkisi , İslami Finans , Olay Çalışması Yöntemi

RAMADAN EFFECT ON FOOD-RELATED STOCKS: AN EVENT STUDY ON SELECTED ISLAMIC STOCK MARKETS

Abstract

This study analyzes whether food-related stocks outperform the benchmark index around the holy month of Ramadan in selected Islamic stock exchange markets. Ramadan is an important month in Muslim-majority countries, often characterized by increased consumption of food-related products due to charity, social aid activities, and family gatherings. An event study methodology is employed to calculate return anomalies around Ramadan for food-related stocks in Egypt, Indonesia, Pakistan, Saudi Arabia, and Türkiye. The dataset covers twenty-one years, from 2004 to 2024, and includes 2,346 events from 191 publicly listed food-related firms. The findings suggest mixed results across countries, with abnormal negative returns observed in most markets during the Ramadan period.

Keywords

Ramadan effect , Seasonality effect , Islamic Finance , Event study analysis

References

• Abro, A. A., Mustafa, A. R. U., Ali, M., & Nayyar, Y. (2021). Does Ramzan effect the returns and volatility? Evidence from GCC share market. Journal of Asian Finance Economics and Business, 8(7), 11–19. https://doi.org/10.13106/jafeb.2021.vol8.no7.0011
• Al-Khazali, O. (2014). Revisiting fast profit investor sentiment and stock returns during Ramadan. International Review of Financial Analysis, 33, 158–170. https://doi.org/10.1016/j.irfa.2014.02.003
• Anwar, N. Y. (2012). Analysis of calendar effects: Day-of-the-week effects in Indonesia, Singapore, and Malaysia stock markets. African Journal of Business Management, 6(11). https://doi.org/10.5897/ajbm10.1038
• Barakat, I., Chamlal, H., Jamal, S. E., Elayachi, M., & Belahsen, R. (2020). Food expenditure and food consumption before and during Ramadan in Moroccan households. Journal of Nutrition and Metabolism, 2020, 1–7. https://doi.org/10.1155/2020/8849832
• Cheema, M. A., & Fianto, B. A. (2024). Investor sentiment and stock market anomalies: Evidence from Islamic countries. Pacific-Basin Finance Journal, 88, 102557. https://doi.org/10.1016/j.pacfin.2024.102557
• Hassan, Md. H., & Kayser, Md. S. (2019). Ramadan effect on stock market return and trade volume: Evidence from Dhaka Stock Exchange (DSE). Cogent Economics & Finance, 7(1). https://doi.org/10.1080/23322039.2019.1605105
• Işıker, M. (2024). Food-related stock performance prior to Ramadan: An event study on Turkish stock market. Paper presented at the 17th International Conference on Knowledge, Economy & Management, Tashkent, Uzbekistan.
• Isiker, M., Ugurlu, U., & Tas, O. (2021). Investigation of the calendar effect: Second-order stochastic dominance approach. In T. Škrinjarić, M. Čižmešija, & B. Christiansen (Eds.), Recent applications of financial risk modelling and portfolio management (pp. 47–67). IGI Global Scientific Publishing. https://doi.org/10.4018/978-1-7998-5083-0.ch003
• Jassal, T., & Dhiman, B. (2016). Analysis of stock market calendar anomalies in hospitality industry. I J a B E R, 14(4), 2533–2553.
• Mitchell, M. C., Raf, M. I. M., Severe, S., & Kappen, J. A. (2014). Conventional vs. Islamic finance: The impact of Ramadan upon Sharia-compliant markets. Redalyc.org. https://www.redalyc.org/articulo.oa?id=692375791008
• Nasir, M. A., Rossi, M., & Khan, K. (2016). The calendar anomalies on performance and volatility of stock market: The effects of Ramadan on Karachi Stock Exchange. Global Business and Economics Review, 19(1), 54. https://doi.org/10.1504/gber.2017.10000917
• Pantzalis, C., & Ucar, E. (2014). Religious holidays, investor distraction, and earnings announcement effects. Journal of Banking & Finance, 47, 102–117. https://doi.org/10.1016/j.jbankfin.2014.05.020
• Pribadi, F., & Abilawa, A. (2022). Analysis of the Eid Al-Fitr holiday anomaly on abnormal return and trading volume activity: Case study of Jakarta Islamic Index during 2017–2020. Journal of Accounting and Investment, 23(1), 114–127. https://doi.org/10.18196/jai.v23i1.12894
• Shahid, M. N., & Mehmood, Z. (2015). Calendar anomalies in stock market: A case of KSE 100 index. International Journal of African and Asian Studies, 7, 16–23. https://iiste.org/Journals/index.php/JAAS/article/view/19572
• Sonjaya, A. R., & Wahyudi, I. (2016). The Ramadan effect: Illusion or reality? Arab Economic and Business Journal, 11(1), 55–71. https://doi.org/10.1016/j.aebj.2016.03.001
• Tan, Ö. F., & Özlem, Ş. (2018). Ramadan effect on stock markets. Journal of Research in Business, 1(3), 77–98. https://doi.org/10.23892/jrb.2018.23
• Van Der Gugten, T. (2010, August 12). Stock market calendar anomalies and macroeconomic news announcements. http://hdl.handle.net/2105/7758