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Taking advantage of Ramadan and January in Muslim countries

Halari, Anwar; Helliar, Christine; Power, David and Tantisantiwong, Nongnuch (2018). Taking advantage of Ramadan and January in Muslim countries. The Quarterly Review of Economics and Finance (Early Access).

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Studies have shown that religious beliefs and practice play an important role in influencing share price behaviour. Evidence of a Ramadan effect has been documented in Muslim countries suggesting an increase in mean returns as well as a reduction in volatility during the ninth month of the Islamic calendar. In addition to the Ramadan effect, studies have also documented a January effect in Muslim countries. The current study investigates what happens when the Ramadan effect and the January effect occur at the same time. Controlling for the effects of financial crises and time-varying volatility in returns, the results for individual company data from four countries with sizeable Muslim populations indicate higher returns and lower volatility when these two effects overlap, except in one, arguably more Western country, Turkey.

Item Type: Journal Item
Copyright Holders: 2018 Board of Trustees of the University of Illinois
ISSN: 1062-9769
Keywords: January effects; Ramadan effects; anomalous interaction; risk-adjusted returns
Academic Unit/School: Faculty of Business and Law (FBL) > Business > Department for Accounting and Finance
Faculty of Business and Law (FBL) > Business
Faculty of Business and Law (FBL)
Item ID: 55284
Depositing User: Anwar Halari
Date Deposited: 31 May 2018 14:48
Last Modified: 22 Nov 2019 17:33
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