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A Seasonality in the Pakistani Equity Market: The Ramadhan Effect

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  • Husain, Fazal

Abstract

This paper attempts to explore a seasonal pattern, the Ramadhan effect, in the Pakistani equity market. Ramadhan, the holy month of fasting, is expected to affect the behavior of stock market in Pakistan where the environment in Ramadhan is different from other months as people devote more time to perform rituals and the general economic activity slows down. The effects of Ramadhan on mean return and stock returns volatility are examined by including a dummy variable in regressions and GARCH models respectively. The analysis indicates a significant decline in stock returns volatility in this month although the mean return indicates no significant change.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 5032.

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Date of creation: 1998
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Publication status: Published in The Pakistan Development Review 1.37(1998): pp. 77-81
Handle: RePEc:pra:mprapa:5032

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Keywords: Stock Prices; Pakistan; Ramadhan; Seasonality; Equity Market;

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References

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  1. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(1), pages 161-174, March.
  2. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 55-69, March.
  3. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 54(4), pages 579-96, October.
  4. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 12(4), pages 469-481, December.
  5. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 12(1), pages 13-32, June.
  6. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 16(1), pages 99-117, May.
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Cited by:
  1. Oded Galor & Omer Moav, 2005. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," 2005 Meeting Papers, Society for Economic Dynamics 24, Society for Economic Dynamics.
  2. Matthew C. Mitchell & Muhamad Iqbal Mohd Rafi & Sean Severe & Jeffrey A. Kappen, 2014. "Conventional Vs. Islamic Finance: The Impact Of Ramadan Upon Sharia-Compliant Markets," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 5(1).
  3. Salman Syed Ali & Khalid Mustafa, 2001. "Testing Semi-strong Form Efficiency of Stock Market," The Pakistan Development Review, Pakistan Institute of Development Economics, Pakistan Institute of Development Economics, vol. 40(4), pages 651-674.
  4. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," Working Paper, Federal Reserve Bank of Atlanta 2005-02, Federal Reserve Bank of Atlanta.
  5. Attiya Y. Javid, 2007. "Stock Market Reaction to Catastrophic Shock: Evidence from Listed Pakistani Firms," PIDE-Working Papers, Pakistan Institute of Development Economics 2007:37, Pakistan Institute of Development Economics.
  6. Seyyed, Fazal J. & Abraham, Abraham & Al-Hajji, Mohsen, 2005. "Seasonality in stock returns and volatility: The Ramadan effect," Research in International Business and Finance, Elsevier, Elsevier, vol. 19(3), pages 374-383, September.

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