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

Białkowski, Jędrzej; Bohl, Martin T.; Kaufmann, Philipp and Wisniewski, Tomasz P. (2013). Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey. Emerging Markets Review, 15 pp. 211–232.

DOI (Digital Object Identifier) Link: https://doi.org/10.1016/j.ememar.2013.02.003
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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.

Item Type: Journal Item
Copyright Holders: 2013 Elsevier B.V.
ISSN: 1566-0141
Keywords: mutual fund performance; Ramadan effect; calendar anomaly; investor sentiment; behavioral finance; emerging markets
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: 55382
Depositing User: Tomasz Wisniewski
Date Deposited: 12 Jun 2018 09:33
Last Modified: 07 Dec 2018 18:10
URI: http://oro.open.ac.uk/id/eprint/55382
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