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Fast profits: Investor sentiment and stock returns during Ramadan

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  • Białkowski, Jędrzej
  • Etebari, Ahmad
  • Wisniewski, Tomasz Piotr

Abstract

Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious traditions in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989–2007. The results show that stock returns during Ramadan are significantly higher and less volatile than during the rest of the year. No discernible declines in market liquidity are recorded. We find these results consistent with a notion that Ramadan positively affects investor psychology, as it promotes feelings of solidarity and social identity among Muslims world-wide, leading to optimistic beliefs that extend to investment decisions.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 36 (2012)
Issue (Month): 3 ()
Pages: 835-845

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Handle: RePEc:eee:jbfina:v:36:y:2012:i:3:p:835-845

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Web page: http://www.elsevier.com/locate/jbf

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Keywords: Ramadan effect; Behavioral finance; Market efficiency; Religion;

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Cited by:
  1. Białkowski, Jędrzej & Bohl, Martin T. & Kaufmann, Philipp & Wisniewski, Tomasz P., 2013. "Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey," Emerging Markets Review, Elsevier, vol. 15(C), pages 211-232.
  2. Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won, 2014. "Investor sentiment and return predictability of disagreement," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 166-178.

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