Do Mutual Fund Managers Exploit the Ramadan Anomaly? Evidence from Turkey
44 Pages Posted: 22 Dec 2011 Last revised: 2 May 2013
Date Written: November 9, 2012
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.
Keywords: Mutual Fund Performance, Ramadan Effect, Calendar Anomaly, Investor Sentiment, Behavioral Finance, Emerging Markets
JEL Classification: G11, G14, G23
Suggested Citation: Suggested Citation