Do Mutual Fund Managers Exploit the Ramadan Anomaly? Evidence from Turkey

44 Pages Posted: 22 Dec 2011 Last revised: 2 May 2013

See all articles by Jedrzej Pawel Bialkowski

Jedrzej Pawel Bialkowski

University of Canterbury - Department of Economics and Finance

Martin T. Bohl

University of Muenster

Philipp Kaufmann

University of Muenster

Tomasz Piotr Wisniewski

Open University, UK

Date Written: November 9, 2012

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.

Keywords: Mutual Fund Performance, Ramadan Effect, Calendar Anomaly, Investor Sentiment, Behavioral Finance, Emerging Markets

JEL Classification: G11, G14, G23

Suggested Citation

Bialkowski, Jedrzej Pawel and Bohl, Martin T. and Kaufmann, Philipp and Wisniewski, Tomasz Piotr, Do Mutual Fund Managers Exploit the Ramadan Anomaly? Evidence from Turkey (November 9, 2012). Emerging Markets Review, Vol. 15, 2013, Available at SSRN: https://ssrn.com/abstract=1975330 or http://dx.doi.org/10.2139/ssrn.1975330

Jedrzej Pawel Bialkowski

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

Private Bag 4800
Christchurch, 8140
New Zealand

Martin T. Bohl

University of Muenster ( email )

Schlossplatz 2
D-48149 Muenster, D-48149
Germany

Philipp Kaufmann (Contact Author)

University of Muenster ( email )

Am Stadtgraben 9
Muenster, D-48143
Germany
+49 (0)251 - 83 22 846 (Fax)

Tomasz Piotr Wisniewski

Open University, UK ( email )

Walton Hall
Milton Keynes, Buckinghamshire MK7 6AA
United Kingdom

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