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
Date Written: August 11, 2019
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: Suggested Citation