Risk, return, and liquidity during Ramadan: Evidence from Indonesian and Malaysian stock markets

Ya-Wen Lai and Atif Windawati

Research in International Business and Finance, 2017, vol. 42, issue C, 233-241

Abstract: Indonesia and Malaysia are common in religion; however, the two countries have different developments in their equity markets. This study investigates the risk, return, and liquidity during Ramadan for the Indonesia and Malaysia stock markets. We find that the volatility is higher around Ramadan for the Indonesia stock market, while displays dynamic patterns in different phases around the month of Ramadan for Malaysia. Despite the changing risk during Ramadan, the risk-adjusted return remains unchanged. Furthermore, this study finds that the liquidity in most stock index markets of the two countries is higher around Ramadan. These findings support the notion that Ramadan affects investors’ risk-taking attitude and facilitates the trade in stocks.

Keywords: Ramadan effect; Volatility; Liquidity; Indonesia stock market; Malaysia stock market (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:42:y:2017:i:c:p:233-241

DOI: 10.1016/j.ribaf.2017.04.054

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