Investor Mood, Herding and the Ramadan Effect

Gavriilidis, Konstantinos; Kallinterakis, Vasileios; Tsalavoutas, Ioannis

doi:10.2139/ssrn.2568699

Cited by 21 publications

(28 citation statements)

References 23 publications

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“…Interestingly, some findings support the claim that Islamic mutual funds perform better than socially responsible investments (Abdelsalam et al, 2014a(Abdelsalam et al, ,b, 2015. Overall results of these studies are in line with the theory of social norms which suggests that investors follow behavioural norms, belief/action of other communities, with special emphasis on religious beliefs (Akerlof, 1980;Gavriilidis et al, 2016). Overall results of these studies are in line with the theory of social norms which suggests that investors follow behavioural norms, belief/action of other communities, with special emphasis on religious beliefs (Akerlof, 1980;Gavriilidis et al, 2016).…”

Section: Performance Of Islamic Mutual Fundssupporting

confidence: 71%

“…Nonetheless, it is not known with certainty whether the comparison between socially responsible investment and Islamic mutual funds will yield any differences in the findings. However, other literature attributes this result to the Ramadan effect, the consequence of which is abnormally high returns on Islamic mutual funds during Ramadan compared with the remaining periods of the year (Seyyed et al, 2005;Białkowski et al, 2012Białkowski et al, , 2013Al-Khazali, 2014;Mitchell et al, 2014;Gavriilidis et al, 2016). However, other literature attributes this result to the Ramadan effect, the consequence of which is abnormally high returns on Islamic mutual funds during Ramadan compared with the remaining periods of the year (Seyyed et al, 2005;Białkowski et al, 2012Białkowski et al, , 2013Al-Khazali, 2014;Mitchell et al, 2014;Gavriilidis et al, 2016).…”

Section: Performance Of Islamic Mutual Fundsmentioning

confidence: 99%

See 1 more Smart Citation

A Review of Islamic Investment Literature

Hassan

Aliyu

Paltrinieri

et al. 2018

J of App Econs and Policy

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This paper reviews the empirical literature on the contemporary issues of Islamic investments and highlights the future research directions. The growing literature during the last several years and the penetration of Islamic investments beyond the Muslim majority countries motivate us to review the empirical studies in the area. We therefore focus our literature review on mutual funds, sukuk and equity investments, analysing 81 articles from the most important journals dealing with the topic. The mixed findings in this area help the understanding of professionals not familiar with Islamic investment to identify the trends of the literature for important decisions. Our results have also important financial implications for asset managers willing to include Islamic financial instruments into a well-diversified portfolio.

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Section: Performance Of Islamic Mutual Fundssupporting

confidence: 71%

Section: Performance Of Islamic Mutual Fundsmentioning

confidence: 99%

A Review of Islamic Investment Literature

Hassan

Aliyu

Paltrinieri

et al. 2018

J of App Econs and Policy

View full text Add to dashboard Cite

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“…Gleason et al (2004) explored herding in the US market by employing data on nine sector S&P 500 Exchange Traded Funds listed on the American Stock Exchange. Gębka and Wohar (2013) in an international level revealed scarce evidence of irrational behavior for specific sectors, whereas Gavriilidis et al (2016) found significant herding behavior that is stronger during Ramadan in most of the seven Muslim countries of their sample. More recently, Balcilar et al (2014) for a sample of Gulf Arab stock markets documented significant evidence of herding.…”

Section: Brief Literature Reviewmentioning

confidence: 89%

Time-varying herding behavior within the Eurozone stock markets during crisis periods

Stavroyiannis

Babalos

2019

RBF

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Purpose Motivated by the ongoing debate on the existence and magnitude of herding in financial markets, the purpose of this paper is to examine Eurozone stock markets for herding behavior. In the context of the present study, the authors seek for herding behavior of stock markets as a whole as opposed to previous studies that examine herding on stock level. Design/methodology/approach To this end, the authors employ data on benchmark stock market indices for a long sample starting from 2000 through 2016. The testing procedure entails the standard Capital Asset Pricing Model-based procedure along with an advanced econometric method allowing the coefficients of the model to vary over time. Findings Results provide evidence in favor of negative herding behavior (anti-herding) for the Eurozone as a whole with noteworthy transitions. Further analysis reveals that stock markets of the periphery exhibit scarce evidence of herding, whereas continental countries are mainly characterized by negative herding behavior. Originality/value The present study’s main contribution is twofold. First, herding is examined not in sector or stock level as previous studies but at market level. Second, the testing methodology entails a pure time-varying regression model with stochastic volatility proposed by Nakajima (2011) that has not been previously employed in stock market herding. The results entail significant implications for investors seeking for diversification across Eurozone stock markets.

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“…It can lead to maximization of sentiment for the decisions of investment. Gavriilidis et al (2016) examined US investors' sentiment. The herding is significant and higher during Ramadan in most markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies

Akash

Mehmood

Hamid

2019

GSSR

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This study is aimed to explore the Islamic calendar anomaly or lunar effect over the period of eleven years commencing from Zilhajj 1429 (January 2007) to Muharram 1440 (September 2018) on daily historical returns. This study has identified the essence of weak-form Efficient Market Hypothesis Fama (1965) in Pakistan, Turkey, Malaysia, Bangladesh, Iran, Egypt, Saudi Arabia, and Dubai. Moreover market return behavior and seasonal effects are identified by using the dummy regression model. It is identified that anomalous behavior is reality in long run aptitude in all Islamic economies and the average behavior is reflecting that markets have been inspired by the seasonal effects. Overall the market behavior reflects weak form of efficiency except Iran and Bangladesh. It is identified that the Gregorian Calander is static but the lunar calendar is dynamic and go across all the weathers. Weathers and temperatures may affect perception and psychology of investor.

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Investor Mood, Herding and the Ramadan Effect

Cited by 21 publications

References 23 publications

A Review of Islamic Investment Literature

A Review of Islamic Investment Literature

Time-varying herding behavior within the Eurozone stock markets during crisis periods

Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies

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