The holy day effect

Mohamad Al-Ississ

Journal of Behavioral and Experimental Finance, 2015, vol. 5, issue C, 60-80

Abstract: We use Muslim holy days to investigate the underlying mechanism behind the holiday effect. Muslim holy days are exceptionally conducive to isolating the holy day effect. The study documents a positive change in stock returns during Ramadan. The significance and magnitude of the effect are consistent with the heterogeneity of worship intensity during Ramadan. Five possible causal channels are explored. We find support for a change in the composition of traded stocks according to their riskiness on holy days. Additionally, the mood channel is supported through documenting a negative effect on Ashoura linked to the proportion of Shia in a country.

Keywords: Anomaly; Holiday effect; Religion; Mood; Ramadan (search for similar items in EconPapers)
JEL-codes: D01 D03 D83 G10 Z12 Z13 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:5:y:2015:i:c:p:60-80

DOI: 10.1016/j.jbef.2015.02.007

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