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Ramadan Effect: Evidence from Borsa Istanbul

Year 2017, Volume: 39 Issue: 1, 239 - 256, 19.07.2017
https://doi.org/10.14780/muiibd.329932

Abstract

This study analyzes the effect of Ramadan on the market index (Borsa Istanbul-BIST 100) and 23 BIST

Sectoral Indices in Borsa Istanbul over the period between January 1997 and December 2015. According

to the analysis, the average returns of tourism, service, transportation, electricity, and chemical industries

are higher than the market index during the Ramadan period. Moreover, according to regression analysis

results, Ramadan has a statistically positive effect on 5 sectors (BIST Transportation, BIST Non-Material

Mineral Products, BIST Investment Trust, BIST Electricity, and BIST Chemicals). Also, this study divides

the Ramadan days into 3 periods, where the first period comprises the first 10 days of Ramadan, second

period covers the next 10 days, and the final period involves the last 10 days. The first ten days of Ramadan,

for the most of indices, has both positive and statistically significant returns.

References

  • ALATIYAT M. A, “Ramadan Effect on UAE Stock Market, https://www.researchgate.net/publication/263090131_Ramadan_Effect_On_UAE_Stock_Market_-_ Banks_Sector, Accessed on (10 June 2016).
  • AL- BUKHARI, S., http://sunnah.com/bukhari, Accessed (11 July 2016).
  • AL-ISSISS, M., “The Holy Day Effect”, Journal of Behavioral and Experimental Finance, 2015, pp. 60-80.
  • AL-HAJIEH, H., Redhead, K., and Rodgers, T., “Investor Sentiment and Calendar Anomaly Effects: A Case Study of the Impact of Ramadan on Islamic Middle Eastern Markets” Research in International Business and Finance, 2011, pp. 345-356
  • ALRASHIDI, F., Ahmed, M., and Beneid, F., “The Calendar Impact and Trading Behaviour: An Empirical Evidence from Around the Globe”, International Business & Economics Research Journal, 2014, pp. 1025-1032.
  • BIAŁKOWSKI, J., Bohl, M. T., Kaufmann, P., and Wisniewski, T. P., “Do Mutual Fund Managers Exploit the Ramadan Anomaly? Evidence from Turkey”, Emerging Markets Review, 2013, pp. 211-232.
  • BIAŁKOWSKI, J., Etebari, A., and Wisniewski, T. P., “Fast Profits: Investor Sentiment and Stock Returns during Ramadan”, Journal of Banking and Finance, 2012, pp. 835-845.
  • FRIEDER, L., and Subrahmanyam, “Nonsecular Regularities in Return and Volume”, Financial Analysts Journal, 2004, pp. 29-34.
  • HALLAMI, B. B., Argyle, M., The Psychology of Religious Behavior, Belief & Experience, Routledge, London, pp. 188.
  • HUSAIN, F., “A Seasonality in the Pakistani Equity Market: The Ramadhan Effect”, The Pakistan Development Review, Spring 1998, pp. 77-81.
  • IQBAL, M. S., Kouser, R., and Azeem, M., Conventional and Islamic Anomalies in Karachi Stock Exchange, http://connection.ebscohost.com/c/articles/95569682/conventional- islamic-anomalies-karachi-stockexchange. Accessed (15 June 2016).
  • KÜÇÜKSILLE, E., and Özmutaf, N. M., “Is There Ramadan Effect in Turkish Stock Market?”, Uluslararası Alanya İşletme Fakültesi Dergisi, 2015, pp. 105-110.
  • ODABASI, Y., and Argan, M., “Aspects of Underlying Ramadan Consumption Patterns in Turkey”, Journal of International Consumer Marketing, pp. 203-218.
  • OGUZSOY, C. B., and Güven, S., “Holy Days Effect on Istanbul Stock Exchange” Journal of Emerging Market Finance, 2004, pp. 63-75.
  • RAMEZANI, A., Pouraghajan, A., and Mardani H., “Studying Impact of Ramadan on Stock Exchange Index: Case of Iran”, World of Sciences Journal, 2013, pp. 46-54.
  • SANDIKCI, O., and Omeraki, S., “Globalization and Rituals: Does Ramadan Turn into Christmas? ”, Advances in Consumer Research, 2007, pp. 610- 615.
  • SAYYED, F. J., Abraham, A., and Al-Hajji, M., “Seasonality in stock return and volatility: The Ramadan Effect”, Research in International Business and Finance, 2005, pp. 374-383.
  • SHAH, R., and Ahmed, N., “The Ramadan Effect on Stock Market”, European Academic Research, 2014, pp. 4712 4720.
  • WEBER, M., The Protestant Ethic and Spirit of Capitalism, Trans: Stephen Kalberg, London: Fitzroy Dearborn, 2001.
Year 2017, Volume: 39 Issue: 1, 239 - 256, 19.07.2017
https://doi.org/10.14780/muiibd.329932

Abstract

References

  • ALATIYAT M. A, “Ramadan Effect on UAE Stock Market, https://www.researchgate.net/publication/263090131_Ramadan_Effect_On_UAE_Stock_Market_-_ Banks_Sector, Accessed on (10 June 2016).
  • AL- BUKHARI, S., http://sunnah.com/bukhari, Accessed (11 July 2016).
  • AL-ISSISS, M., “The Holy Day Effect”, Journal of Behavioral and Experimental Finance, 2015, pp. 60-80.
  • AL-HAJIEH, H., Redhead, K., and Rodgers, T., “Investor Sentiment and Calendar Anomaly Effects: A Case Study of the Impact of Ramadan on Islamic Middle Eastern Markets” Research in International Business and Finance, 2011, pp. 345-356
  • ALRASHIDI, F., Ahmed, M., and Beneid, F., “The Calendar Impact and Trading Behaviour: An Empirical Evidence from Around the Globe”, International Business & Economics Research Journal, 2014, pp. 1025-1032.
  • BIAŁKOWSKI, J., Bohl, M. T., Kaufmann, P., and Wisniewski, T. P., “Do Mutual Fund Managers Exploit the Ramadan Anomaly? Evidence from Turkey”, Emerging Markets Review, 2013, pp. 211-232.
  • BIAŁKOWSKI, J., Etebari, A., and Wisniewski, T. P., “Fast Profits: Investor Sentiment and Stock Returns during Ramadan”, Journal of Banking and Finance, 2012, pp. 835-845.
  • FRIEDER, L., and Subrahmanyam, “Nonsecular Regularities in Return and Volume”, Financial Analysts Journal, 2004, pp. 29-34.
  • HALLAMI, B. B., Argyle, M., The Psychology of Religious Behavior, Belief & Experience, Routledge, London, pp. 188.
  • HUSAIN, F., “A Seasonality in the Pakistani Equity Market: The Ramadhan Effect”, The Pakistan Development Review, Spring 1998, pp. 77-81.
  • IQBAL, M. S., Kouser, R., and Azeem, M., Conventional and Islamic Anomalies in Karachi Stock Exchange, http://connection.ebscohost.com/c/articles/95569682/conventional- islamic-anomalies-karachi-stockexchange. Accessed (15 June 2016).
  • KÜÇÜKSILLE, E., and Özmutaf, N. M., “Is There Ramadan Effect in Turkish Stock Market?”, Uluslararası Alanya İşletme Fakültesi Dergisi, 2015, pp. 105-110.
  • ODABASI, Y., and Argan, M., “Aspects of Underlying Ramadan Consumption Patterns in Turkey”, Journal of International Consumer Marketing, pp. 203-218.
  • OGUZSOY, C. B., and Güven, S., “Holy Days Effect on Istanbul Stock Exchange” Journal of Emerging Market Finance, 2004, pp. 63-75.
  • RAMEZANI, A., Pouraghajan, A., and Mardani H., “Studying Impact of Ramadan on Stock Exchange Index: Case of Iran”, World of Sciences Journal, 2013, pp. 46-54.
  • SANDIKCI, O., and Omeraki, S., “Globalization and Rituals: Does Ramadan Turn into Christmas? ”, Advances in Consumer Research, 2007, pp. 610- 615.
  • SAYYED, F. J., Abraham, A., and Al-Hajji, M., “Seasonality in stock return and volatility: The Ramadan Effect”, Research in International Business and Finance, 2005, pp. 374-383.
  • SHAH, R., and Ahmed, N., “The Ramadan Effect on Stock Market”, European Academic Research, 2014, pp. 4712 4720.
  • WEBER, M., The Protestant Ethic and Spirit of Capitalism, Trans: Stephen Kalberg, London: Fitzroy Dearborn, 2001.
There are 19 citations in total.

Details

Subjects Economics
Journal Section Makaleler
Authors

Ömer Faruk Tan

Publication Date July 19, 2017
Submission Date July 20, 2017
Published in Issue Year 2017 Volume: 39 Issue: 1

Cite

APA Tan, Ö. F. (2017). Ramadan Effect: Evidence from Borsa Istanbul. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 39(1), 239-256. https://doi.org/10.14780/muiibd.329932
AMA Tan ÖF. Ramadan Effect: Evidence from Borsa Istanbul. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. July 2017;39(1):239-256. doi:10.14780/muiibd.329932
Chicago Tan, Ömer Faruk. “Ramadan Effect: Evidence from Borsa Istanbul”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 39, no. 1 (July 2017): 239-56. https://doi.org/10.14780/muiibd.329932.
EndNote Tan ÖF (July 1, 2017) Ramadan Effect: Evidence from Borsa Istanbul. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 39 1 239–256.
IEEE Ö. F. Tan, “Ramadan Effect: Evidence from Borsa Istanbul”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 39, no. 1, pp. 239–256, 2017, doi: 10.14780/muiibd.329932.
ISNAD Tan, Ömer Faruk. “Ramadan Effect: Evidence from Borsa Istanbul”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 39/1 (July 2017), 239-256. https://doi.org/10.14780/muiibd.329932.
JAMA Tan ÖF. Ramadan Effect: Evidence from Borsa Istanbul. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2017;39:239–256.
MLA Tan, Ömer Faruk. “Ramadan Effect: Evidence from Borsa Istanbul”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, vol. 39, no. 1, 2017, pp. 239-56, doi:10.14780/muiibd.329932.
Vancouver Tan ÖF. Ramadan Effect: Evidence from Borsa Istanbul. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2017;39(1):239-56.

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