Piety and Profits: Stock Market Anomaly During the Muslim Holy Month
Jedrzej Pawel Bialkowski
University of Canterbury - Department of Economics and Finance
University of New Hampshire
Tomasz Piotr Wisniewski
University of Leicester
September 8, 2009
Finance and Corporate Governance Conference 2010 Paper
Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious rituals in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989-2007. The results show that stock returns during Ramadan are significantly higher and less volatile than during the rest of the year. No discernible declines in market liquidity are recorded. We find these results consistent with a notion that Ramadan positively affects investor psychology, as it promotes feelings of solidarity and social identity among Muslims world-wide, leading to optimistic beliefs that extend to investment decisions.
Number of Pages in PDF File: 55
Keywords: Ramadan Effect, Behavioral Finance, Market Efficiency, Religion
JEL Classification: G12, G14
Date posted: September 9, 2009 ; Last revised: May 19, 2011
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