Feedback trading and the ramadan effect in frontier markets

Panagiotis Andrikopoulos, Yueting Cui, Samar Gad and Vasileios Kallinterakis

Research in International Business and Finance, 2020, vol. 51, issue C

Abstract: We examine the presence of the Ramadan effect in feedback trading drawing on a sample of eleven majority Muslim markets for the period of 29/6/2001 to 1/8/2016. Feedback trading is significant in several of these markets, appearing stronger outside, rather than within, Ramadan. These results hold for the full sample period, including before and after the global financial crisis raising the possibility that Ramadan’s widely documented lower volatility is related to the reduced presence of feedback trading during that month. We attribute our findings to Ramadan’s traditionally documented low volumes rendering feedback trading less feasible during that month.

Keywords: Feedback trading; Ramadan effect; Frontier markets (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919306294

DOI: 10.1016/j.ribaf.2019.101085

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