Do Mutual Fund Managers Exploit the Ramadan Anomaly? Evidence from Turkey

Białkowski, Jędrzej; Bohl, Martin T.; Kaufmann, Philipp; Wisniewski, Tomasz Piotr

doi:10.2139/ssrn.1975330

Cited by 25 publications

(50 citation statements)

References 65 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…26 Herding outside Ramadan is consistently significant in some markets (Egypt; Malaysia; Pakistan) and less so in others (Indonesia; 24 The effect of Ramadan over investors' behavior has been rather scantly investigated to date. A study relevant to this issue is the one by Białkowski et al (2013) which links mutual funds' performance in Turkey with the Ramadan-effect. 25 Our study is based on aggregate market data (i.e.…”

Section: Discussion -Contributionsmentioning

confidence: 99%

Investor Mood, Herding and the Ramadan Effect

Gavriilidis,

Kallinterakis,

Tsalavoutas

2015

SSRN Journal

View full text Add to dashboard Cite

In view of evidence linking herding and social mood, we examine whether the positive mood documented during Ramadan translates into higher herding compared to non-Ramadan days.Drawing on a sample of seven majority Muslim countries, we report significant herding during Ramadan in most of our sample markets. Additionally, we show that herding appears significantly stronger within rather than outside Ramadan for most tests whereby its significance is manifested on both Ramadan-and non-Ramadan-days. Overall, herding significance within/outside Ramadan exhibits some variation in its levels across markets in relation to variables reflective of market states, both domestically (market returns; market volume) and internationally (US market returns; US investors' sentiment; global financial crisis) market states.

show abstract

Section: Discussion -Contributionsmentioning

confidence: 99%

Investor Mood, Herding and the Ramadan Effect

Gavriilidis,

Kallinterakis,

Tsalavoutas

2015

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…Clingingsmith, Khwaja and Kremer (2009) show that identification with the global Muslim community may also strengthen following participation in the Hajj, but we lack individual Hajj participation data to test this conjecture in this context. Following Frieder and Subrahmanyam (2004), Bialkowski, Etebari and Wisniewski (2010) show that equity returns in 14 Muslim markets are substantially higher during Ramadan, while volatility is markedly lower (see also Bialkowski, Bohl, Kaufmann and Wisniewski (2013)). These findings can possibly be attributed to the sentiment of Islamic investors and their trades during this period.…”

Section: E Borrower Bank or Loan Characteristics? Or Religion?mentioning

confidence: 95%

Of Religion and Redemption: Evidence from Default on Islamic Loans

2012

View full text Add to dashboard Cite

We compare default rates on conventional and Islamic loans using a comprehensive monthly dataset from Pakistan that follows more than 150,000 loans over the period 2006:04 to 2008:12. We find robust evidence that the default rate on Islamic loans is less than half the default rate on conventional loans. Islamic loans are less likely to default during Ramadan and in big cities if the share of votes to religious-political parties increases, suggesting that religion -either through individual piousness or network effects -may play a role in determining loan default.

show abstract

“…Gökçen and Yalçın (2015) argue that these results strongly support the need for low-cost index funds in emerging market countries that are reforming their pension schemes. Białkowski et al (2013) examine whether mutual fund managers investing in Turkish stocks are able to benefit from the Ramadan effect. Accounting for a potential asymmetry in the conditional volatility of stock index returns, they also test whether the Ramadan effect has strengthened or declined over time.…”

Section: Institutional Traders' Behaviormentioning

confidence: 99%

Investor response to public news, sentiment and institutional trading in emerging markets: A review

Brzeszczyński

Gajdka

Kutan

2015

International Review of Economics & Finance

View full text Add to dashboard Cite

This paper reviews the literature on investor reaction and sentiment with respect to public information arrival in emerging markets and discusses the implications of the findings for the validity of theoretical models emphasizing public information arrival as the main mover of asset prices. We cover three types of public information news: monetary policy announcements, the International Monetary Fund (IMF) related news and other public and political news. In addition, we review the literature on sentiment and institutional trading in emerging markets. We summarize general findings and suggest some directions for further research.

show abstract

Do Mutual Fund Managers Exploit the Ramadan Anomaly? Evidence from Turkey

Cited by 25 publications

References 65 publications

Investor Mood, Herding and the Ramadan Effect

Investor Mood, Herding and the Ramadan Effect

Of Religion and Redemption: Evidence from Default on Islamic Loans

Investor response to public news, sentiment and institutional trading in emerging markets: A review

Contact Info

Product

Resources

About