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Ramadan Effect: A Structural Time-Series Test

Abdullah Al-Awadhi, Ahmad Bash and Fouad Jamaani

International Journal of Financial Research, 2021, vol. 12, issue 1, 260-269

Abstract: This study investigates whether religious belief creates stock market return seasonality, focusing on the Muslim holy month ¡°Ramadan". We use long-term data from 12 stock markets in countries with a high Muslim majority. Using a structural time-series model that takes into account a ¡°trend component" and a stochastic ¡°seasonal component¡±, we find no significant evidence of Ramadan return seasonality for the 12 stock markets over the long-term. This result suggests that there is no trend component for Ramadan effect and that Ramadan returns seasonality vanish in the long-term.

Keywords: religiosity; seasonality; Ramadan; risk; returns (search for similar items in EconPapers)
Date: 2021
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DOI: 10.5430/ijfr.v12n1p260

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Handle: RePEc:jfr:ijfr11:v:12:y:2021:i:1:p:260-269