The calendar anomalies on performance and volatility of stock market: the effects of Ramadan on Karachi Stock Exchange

Kalimullah Khan, Muhammad Ali Nasir and Matteo Rossi

Global Business and Economics Review, 2017, vol. 19, issue 1, 54-69

Abstract: This study attempts to investigate the effects of calendar anomalies (Ramadan effect), a seasonal pattern in the Pakistani equity market. It is believed that the holy month of Ramadan is predicted to effect the behaviour of the Karachi Stock Exchange (KSE) since the environment in the country during Ramadan is different compared to other months since people dedicate more time to execute religious rituals, hence slows down the general economic activity. The observation is based on daily frequencies for a whole decade. The data in this study are the daily KSE 100 index points for ten years running from 1st of January 2001 to 31st of December 2010 all selected from the primary equity market in Pakistan, the KSE. The effects of Ramadan are examined through GARCH and ordinary least square (OLS) models respectively. The analysis draws two conclusions with the first showing that the Ramadan has a minor positive impact on the stock market and the second conclusion states that the stock market shows less volatile behaviour during the holy month of Ramadan.

Keywords: stock markets; Ramadan effect; GARCH model; calendar anomalies; stock market performance; stock market volatility; Karachi Stock Exchange; Pakistan; ordinary least squares; OLS. (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.inderscience.com/link.php?id=80775 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:gbusec:v:19:y:2017:i:1:p:54-69

Access Statistics for this article

More articles in Global Business and Economics Review from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().