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An Analysis Of Ramadan Effect By Gjr-Garch Model: Case Of Borsa Istanbul

Author

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  • Murat Akbalik

    (Marmara University, Turkey)

  • K. Batu Tunay

    (Marmara University, Turkey)

Abstract

Although there are a lot of studies testing the calendar effect in BIST, there are limited numbers of studies testing the Ramadan effect. In this study, the period of 05 August 1997–24 October 2014 is tested by the GJR-GARCH(1,1) model on the basis of BIST 30, 100, all, second national, sectors and sub-sectors. In some of the models, the dummy variable of Ramadan did not have significant coefficients. In the models that provide significant value of the dummy variable of Ramadan, coefficients of this variable are negative. This shows that, in the Ramadan, return rates of the second national index, chemistry, and manifacturing, textile, trust companies sectors are affected negatively. Any significant result could not be found whether Ramadan has effect upon other sector indices. Findings are in the direction that even if the month of Ramadan generally doesn’t increase the average return, it makes a positive impact on the market by reducing the volatility of returns.

Suggested Citation

  • Murat Akbalik & K. Batu Tunay, 2016. "An Analysis Of Ramadan Effect By Gjr-Garch Model: Case Of Borsa Istanbul," Oeconomia Copernicana, Institute of Economic Research, vol. 7(4), pages 593-612, December.
    • Handle: RePEc:pes:ieroec:v:7:y:2016:i:4:p:593-612
    DOI: 10.12775/OeC.2016.033
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    stock returns; anomalies; Ramadan effect; GJR-GARCH;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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