Ramadan Effect: Evidence from Borsa Istanbul

Year 2017, Volume: 39 Issue: 1, 239 - 256, 19.07.2017

Ömer Faruk Tan

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.

Keywords

Ramadan Effect, Borsa Istanbul, Borsa Istanbul Sectoral Indices

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