55 Pages Posted: 9 Sep 2009 Last revised: 19 May 2011
Date Written: September 8, 2009
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: 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