Feedback Trading and the Ramadan Effect in Frontier Markets

Research in International Business and Finance, Vol. 51, 2019 doi/10.1016/j.ribaf.2019.101085

Posted: 10 Sep 2019

See all articles by Panagiotis Andrikopoulos

Panagiotis Andrikopoulos

Centre for Financial and Corporate Integrity (CFCI), Coventry University

Yuetin Cui

University of Liverpool Management School

Samar Gad

Independent

Vasileios Kallinterakis

University of Liverpool - Management School (ULMS)

Date Written: August 11, 2019

Abstract

We examine the presence of the Ramadan effect in feedback trading drawing on a sample of eleven majority Muslim markets for the period of 29/6/2001 to 1/8/2016. Feedback trading is significant in several of these markets, appearing stronger outside, rather than within, Ramadan. These results hold for the full sample period, including before and after the global financial crisis raising the possibility that Ramadan’s widely documented lower volatility is related to the reduced presence of feedback trading during that month. We attribute our findings to Ramadan’s traditionally documented low volumes rendering feedback trading less feasible during that month.

Keywords: Feedback trading, Ramadan effect, Frontier markets

JEL Classification: G01, G10, G11, G23

Suggested Citation

Andrikopoulos, Panagiotis and Cui, Yuetin and Gad, Samar and Kallinterakis, Vasileios, Feedback Trading and the Ramadan Effect in Frontier Markets (August 11, 2019). Research in International Business and Finance, Vol. 51, 2019 doi/10.1016/j.ribaf.2019.101085. Available at SSRN: https://ssrn.com/abstract=3446804

Panagiotis Andrikopoulos (Contact Author)

Centre for Financial and Corporate Integrity (CFCI), Coventry University ( email )

Priory Street
Coventry, CV1 5FB
United Kingdom
+44(0)247 765 7920 (Phone)

Yuetin Cui

University of Liverpool Management School ( email )

Samar Gad

Independent ( email )

No Address Available

Vasileios Kallinterakis

University of Liverpool - Management School (ULMS) ( email )

Chatham Street
Liverpool, L69 7ZH
United Kingdom

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