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Do Mutual Fund Managers Exploit the Ramadan Anomaly? Evidence from TurkeyJedrzej Pawel BialkowskiUniversity of Canterbury - Department of Economics and Finance Martin T. BohlUniversity of Muenster Philipp KaufmannUniversity of Muenster Tomasz Piotr WisniewskiUniversity of Leicester November 9, 2012 Emerging Markets Review, Vol. 15, 2013 Abstract: Recent literature shows that the holy month of Ramadan exerts a positive influence on investor sentiment in predominantly Muslim countries. This calendar anomaly has been found to be particularly pronounced in Turkey. We therefore examine whether mutual fund managers investing in Turkish stocks are able to benefit from the Ramadan effect and to successfully time the market. We find that risk-adjusted fund performance, especially for domestic institutional funds, larger domestic hybrid funds and foreign Turkish equity funds, is substantially higher during Ramadan compared to the rest of the year. By contrast, domestic index funds fail to deliver higher abnormal returns as they are adversely affected by increased money inflows during Ramadan. Overall, our findings suggest that fund managers and investors alike have discovered the exploitable profit opportunities offered by the month of Ramadan in Turkey.
Number of Pages in PDF File: 44 Keywords: Mutual Fund Performance, Ramadan Effect, Calendar Anomaly, Investor Sentiment, Behavioral Finance, Emerging Markets JEL Classification: G11, G14, G23 Accepted Paper SeriesDate posted: December 22, 2011 ; Last revised: May 2, 2013Suggested CitationContact Information
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