An analysis of Ramadan effect by GJR-GARCH model: case of Borsa Istanbul

Abstract

Although there are a lot of studies testing the calendar effect in BIST, there are limited numbers of studies testing the Ramadan effect. In this study, the period of 05 August 1997–24 October 2014 is tested by the GJR-GARCH(1,1) model on the basis of BIST 30, 100, all, second national, sectors and sub-sectors. In some of the models, the dummy variable of Ramadan did not have significant coefficients. In the models that provide significant value of the dummy variable of Ramadan, coefficients of this variable are negative. This shows that, in the Ramadan, return rates of the second national index, chemistry, and manifacturing, textile, trust companies sectors are affected negatively. Any significant result could not be found whether Ramadan has effect upon other sector indices. Findings are in the direction that even if the month of Ramadan generally doesn’t increase the average return, it makes a positive impact on the market by reducing the volatility of returns.

Nonlinear Alleviation of Edge Effects in the Context of Minimizing Prediction Errors

“…The study will use results from earlier studies, as well as some interesting methods used so far in other tests, for example (Akbalik & Tunay, 2016;Hadaś-Dyduch, 2014a, 2015b.…”

Ramadan effect in the cryptocurrency markets

“…Table 1 presents a detailed review of recently published articles in relation to Ramadan effect market anomalies on traditional markets. Although Gavriilidis et al (2020) examine whether mutual fund managers investing in Turkish stocks are able to benefit from the Ramadan effect, finding that risk-adjusted performance of domestic institutional funds (hybrid funds and foreign Turkish equity funds) is substantially higher during Ramadan, the most used assets to check Ramadan effect are stock market indices of different Muslim countries around the world (Andrikopoulos et al, 2020;Akbalik and Tunay, 2016;Shah et al, 2017). Al-Hajieh et al (2011) suggest that Ramadan generates a positive mood and there may be an increased tendency to invest; this positive mood could cause investors to be less discriminating and less analytical in relation to their stock market investments.…”

“…(2020) examine whether mutual fund managers investing in Turkish stocks are able to benefit from the Ramadan effect, finding that risk-adjusted performance of domestic institutional funds (hybrid funds and foreign Turkish equity funds) is substantially higher during Ramadan, the most used assets to check Ramadan effect are stock market indices of different Muslim countries around the world (Andrikopoulos et al. , 2020; Akbalik and Tunay, 2016; Shah et al. , 2017).…”

“…Frieder and Subrahmanyam (2019) analysed the effect of St. Patrick's Day and Jewish High Holy Days of Rosh Hashanah and Yom Kippur on S&P 500 from 1946 to 2000; the authors found the average returns surrounding all these days are greater than market's overall mean return. Cadsby and Ratner (1992) studied Christmas and Good Friday effects , but the most analysed religious effect is related to Holy month of Ramadan (Akbalik and Tunay, 2016; Jaziri and Abdelhedi, 2018; Munusamy, 2018 among others) .…”

Seasonal patterns in oil prices and their implications for investors

“…Over the recent decades, quite a lot of attention has been paid to various calendar anomalies affecting the financial markets, such as the Halloween effect (Bouman and Jacobsen, 2002;Witte, 2010), the Turnof-the-month effect (Ariel, 1987;Liu, 2013), the Holiday effect (Lakonishok and Smidt, 1988;Ariel, 1990); Ramadan effect (Akbalik & Tunay, 2016) or the Month-of-the-year effect (Choudry, 2001;Giovanis, 2009). However, a surprisingly low attention has been paid to the seasonal patterns that appear on the oil market.…”