A Seasonality in the Pakistani Equity Market: The Ramadhan Effect

Fazal Husain ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper attempts to explore a seasonal pattern, the Ramadhan effect, in the Pakistani equity market. Ramadhan, the holy month of fasting, is expected to affect the behavior of stock market in Pakistan where the environment in Ramadhan is different from other months as people devote more time to perform rituals and the general economic activity slows down. The effects of Ramadhan on mean return and stock returns volatility are examined by including a dummy variable in regressions and GARCH models respectively. The analysis indicates a significant decline in stock returns volatility in this month although the mean return indicates no significant change.

Keywords: Stock Prices; Pakistan; Ramadhan; Seasonality; Equity Market (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (25)

Published in The Pakistan Development Review 1.37(1998): pp. 77-81

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Journal Article: A Seasonality in the Pakistani Equity Market: The Ramadhan Effect (1998)
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