Ramadan Effect on Stock Market Return and Trade Volume: Evidence from Dhaka Stock Exchange (DSE)

Cogent Economics & Finance, 7:1, DOI: 10.1080/23322039.2019.1605105 (2019)

13 Pages Posted: 1 Jun 2019

See all articles by Hashibul Hassan

Hashibul Hassan

Jagannath University - Department of Finance; Monash University - Department of Economics

Md Shahidullah Kayser

Jagannath University

Date Written: April 9, 2019

Abstract

A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well studied and evident in financial literature that stock markets around the world have predictable patterns e.g. calendar effect, behavioural effect, and Religious festival effect. Analysing market return and trading volume data of Dhaka Stock Exchange (DSE) over the period of 1st January 2002 to 30th August 2018, this study attempts to investigate the association of Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH (p,q) model on the market return of DSE, this study concludes that Ramadan month has no significant relationship with stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE. This is might be the outcome of decreased trading and banking hour and religious perception of investors.

Keywords: Calendar anomaly; GARCH; Moving calendar event; Ramadan effect; Dhaka Stock Exchange (DSE)

JEL Classification: G11, G12, G14, G40

Suggested Citation

Hassan, Md. Hashibul and Kayser, Md Shahidullah, Ramadan Effect on Stock Market Return and Trade Volume: Evidence from Dhaka Stock Exchange (DSE) (April 9, 2019). Cogent Economics & Finance, 7:1, DOI: 10.1080/23322039.2019.1605105 (2019). Available at SSRN: https://ssrn.com/abstract=3384476

Md. Hashibul Hassan (Contact Author)

Jagannath University - Department of Finance ( email )

Dhaka
Bangladesh

HOME PAGE: http://www.jnu.ac.bd

Monash University - Department of Economics ( email )

Australia

Md Shahidullah Kayser

Jagannath University ( email )

Dhaka
Bangladesh

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