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Ramadan Effect: A Structural Time-Series Test

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  • Abdullah Al-Awadhi
  • Ahmad Bash
  • Fouad Jamaani

Abstract

This study investigates whether religious belief creates stock market return seasonality, focusing on the Muslim holy month ¡°Ramadan". We use long-term data from 12 stock markets in countries with a high Muslim majority. Using a structural time-series model that takes into account a ¡°trend component" and a stochastic ¡°seasonal component¡±, we find no significant evidence of Ramadan return seasonality for the 12 stock markets over the long-term. This result suggests that there is no trend component for Ramadan effect and that Ramadan returns seasonality vanish in the long-term.

Suggested Citation

  • Abdullah Al-Awadhi & Ahmad Bash & Fouad Jamaani, 2021. "Ramadan Effect: A Structural Time-Series Test," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(1), pages 260-269, January.
    • Handle: RePEc:jfr:ijfr11:v:12:y:2021:i:1:p:260-269
    DOI: 10.5430/ijfr.v12n1p260
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    References listed on IDEAS

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