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Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey

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  • Białkowski, Jędrzej
  • Bohl, Martin T.
  • Kaufmann, Philipp
  • Wisniewski, Tomasz P.

Abstract

Recent literature shows that the holy month of Ramadan exerts a positive influence on investor sentiment in predominantly Muslim countries. This anomaly has been found to be particularly pronounced in Turkey. We therefore examine whether mutual fund managers investing in Turkish stocks are able to benefit from the Ramadan effect. We find that risk-adjusted performance of domestic institutional funds, hybrid funds and foreign Turkish equity funds is substantially higher during Ramadan compared to the rest of the year. By contrast, domestic index funds fail to deliver higher abnormal returns as they are adversely affected by increased money inflows during Ramadan.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:ememar:v:15:y:2013:i:c:p:211-232
    DOI: 10.1016/j.ememar.2013.02.003
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    More about this item

    Keywords

    Mutual fund performance; Ramadan effect; Calendar anomaly; Investor sentiment; Behavioral finance; Emerging markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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