Seasonality in the Pakistani Equity Market: The Ramadhan Effect

Pakistan Development Review, Vol. 37, No. 1, 1998

5 Pages Posted: 27 Dec 2007

See all articles by Fazal Husain

Fazal Husain

Quaid-i-Azam University - Pakistan Institute of Development Economics (PIDE)

Abstract

This paper attempts to explore a seasonal pattern, the Ramadhan effect, in the Pakistani equity market. Ramadhan, the holy month of fasting, is expected to affect the behaviour of stock market in Pakistan where the environment in Ramadhan is different from other months as people devote more time to perform religious rituals and the general economic activity slows down. The effects of Ramadhan on mean return and stock returns volatility are examined by including a dummy variable in regressions and GARCH models respectively. The analysis indicates a significant decline in stock returns volatility in this month although the mean return indicates no significant change.

Keywords: Financial market, Pakistan

JEL Classification: G10

Suggested Citation

Husain, Fazal, Seasonality in the Pakistani Equity Market: The Ramadhan Effect. Available at SSRN: https://ssrn.com/abstract=992144

Fazal Husain (Contact Author)

Quaid-i-Azam University - Pakistan Institute of Development Economics (PIDE) ( email )

Quaid-i-Azam University Campus
P.O.Box 1091
Islamabad, Federal Capital 44000
Pakistan

HOME PAGE: http://www.pide.org.pk

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
207
Abstract Views
820
rank
157,956
PlumX Metrics