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A Seasonality in the Pakistani Equity Market: The Ramadhan Effect

Author

Listed:
  • Fazal Husain

    (Pakistan Institute of Development Economics, Islamabad.)

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 behaviour of stock market in Pakistan where the environment in Ramadhan is different from other months as people devote more time to perform religious 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.

Suggested Citation

  • Fazal Husain, 1998. "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 37(1), pages 77-81.
  • Handle: RePEc:pid:journl:v:37:y:1998:i:1:p:77-81
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    File URL: http://www.pide.org.pk/pdf/PDR/1998/Volume1/77-81.pdf
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    References listed on IDEAS

    as
    1. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    2. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
    3. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    4. Harris, Lawrence, 1986. "A transaction data study of weekly and intradaily patterns in stock returns," Journal of Financial Economics, Elsevier, vol. 16(1), pages 99-117, May.
    5. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    6. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December.
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    1. repec:eee:riibaf:v:42:y:2017:i:c:p:233-241 is not listed on IDEAS
    2. Halari, Anwar & Tantisantiwong, Nongnuch & Power, David. M. & Helliar, Christine, 2015. "Islamic calendar anomalies: Evidence from Pakistani firm-level data," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 64-73.
    3. Abbes, Mouna Boujelbène & Abdelhédi-Zouch, Mouna, 2015. "Does hajj pilgrimage affect the Islamic investor sentiment?," Research in International Business and Finance, Elsevier, vol. 35(C), pages 138-152.
    4. 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.
    5. repec:ddj:fserec:y:2017:p:95-112 is not listed on IDEAS
    6. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
    7. Salman Syed Ali & Khalid Mustafa, 2001. "Testing Semi-strong Form Efficiency of Stock Market," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 40(4), pages 651-674.
    8. 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, vol. 19(3), pages 374-383, September.
    9. repec:pal:assmgt:v:18:y:2017:i:3:d:10.1057_s41260-016-0028-1 is not listed on IDEAS
    10. repec:pje:journl:article27sumi is not listed on IDEAS
    11. Attiya Y. Javid, 2007. "Stock Market Reaction to Catastrophic Shock: Evidence from Listed Pakistani Firms," PIDE-Working Papers 2007:37, Pakistan Institute of Development Economics.
    12. repec:eee:bracre:v:50:y:2018:i:4:p:402-424 is not listed on IDEAS
    13. repec:bec:imsber:v:9:y:2017:i:3:p:104-122 is not listed on IDEAS
    14. 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).
    15. Galor, Oded & Moav, Omer & Vollrath, Dietrich, 2003. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," CEPR Discussion Papers 3817, C.E.P.R. Discussion Papers.
    16. Hasbullah, Faruq & Masih, Mansur, 2016. "Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets," MPRA Paper 72149, University Library of Munich, Germany.
    17. repec:eee:quaeco:v:67:y:2018:i:c:p:273-281 is not listed on IDEAS

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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