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Piety and Profits: Stock Market Anomaly During the Muslim Holy Month

55 Pages Posted: 9 Sep 2009 Last revised: 19 May 2011

Jedrzej Pawel Bialkowski

University of Canterbury - Department of Economics and Finance

Ahmad Etebari

University of New Hampshire

Tomasz Piotr Wisniewski

University of Leicester

Date Written: September 8, 2009

Abstract

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.

Keywords: Ramadan Effect, Behavioral Finance, Market Efficiency, Religion

JEL Classification: G12, G14

Suggested Citation

Bialkowski, Jedrzej Pawel and Etebari, Ahmad and Wisniewski, Tomasz Piotr, Piety and Profits: Stock Market Anomaly During the Muslim Holy Month (September 8, 2009). Finance and Corporate Governance Conference 2010 Paper. Available at SSRN: https://ssrn.com/abstract=1470048 or http://dx.doi.org/10.2139/ssrn.1470048

Jedrzej Pawel Bialkowski

University of Canterbury - Department of Economics and Finance ( email )

Private Bag 4800
Christchurch
New Zealand

Ahmad Etebari (Contact Author)

University of New Hampshire ( email )

15 Academic Way
Durham, NH 03824
United States
1 603 862 4965 (Phone)

Tomasz Piotr Wisniewski

University of Leicester ( email )

University Road
Leicester, LE1 7RH
United Kingdom

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