Ramadan Effect: Evidence from Borsa Istanbul
Öz
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.
Anahtar Kelimeler
Kaynakça
- 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.
Ayrıntılar
Birincil Dil
Türkçe
Konular
Ekonomi
Bölüm
Araştırma Makalesi
Yazarlar
Yayımlanma Tarihi
19 Temmuz 2017
Gönderilme Tarihi
20 Temmuz 2017
Kabul Tarihi
-
Yayımlandığı Sayı
Yıl 2017 Cilt: 39 Sayı: 1
