EXPLORING THE EFFECT OF FASTING MONTH OF RAMADAN ON TEHRAN STOCK EXCHANGE (TSE)

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SINAEI HASSAN ALI; MOHAMMADI SAYYED MAHDI

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Journal Paper

Paper Information

Journal: ISLAMIC FINANCE RESEARCHES Year:2013 | Volume:2 | Issue:1 (3) Page(s): 177-201

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Information Journal Paper

Title

EXPLORING THE EFFECT OF FASTING MONTH OF RAMADAN ON TEHRAN STOCK EXCHANGE (TSE)

Author(s)

SINAEI HASSAN ALI | MOHAMMADI SAYYED MAHDI | Issue Writer Certificate

Keywords

CALENDAR ANOMALYQ3

MOVING CALENDAR EVENTQ3

RAMADAN EFFECTQ3

TEHRAN STOCK EXCHANGE (TSE)Q3

Abstract

The purpose of this research is to examine the existence of seasonality in the stock market return, its volatility and trading amount associated with MOVING CALENDAR EVENTs such as the holy month of Ramadan using a GARCH specification and data for the Tehran Stock Exchange (TSE) from April 1998 to June 2010. The result shows a statistically significant increase in returns and a systematic pattern of decline in volatility during Ramadan, implying a predictable variation in the market price of risk. An examination of trading data shows that this anomaly appears to be inconsistent with a decline in trading activity during Ramadan. Evidence of systematic decline in volatility during Ramadan has significant implications for pricing of securities and asset allocation decisions by investors in Islamic countries.

Cites

THE EFFECT OF CALENDAR ANOMALY OF RELIGIOUS TIME ON USE OF PRIVATE INFORMATION IN STOCK TRADING

References

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APA: Copy

SINAEI, HASSAN ALI, & MOHAMMADI, SAYYED MAHDI. (2013). EXPLORING THE EFFECT OF FASTING MONTH OF RAMADAN ON TEHRAN STOCK EXCHANGE (TSE). ISLAMIC FINANCE RESEARCHES, 2(1 (3)), 177-201. SID. https://sid.ir/paper/254976/en

Vancouver: Copy

SINAEI HASSAN ALI, MOHAMMADI SAYYED MAHDI. EXPLORING THE EFFECT OF FASTING MONTH OF RAMADAN ON TEHRAN STOCK EXCHANGE (TSE). ISLAMIC FINANCE RESEARCHES[Internet]. 2013;2(1 (3)):177-201. Available from: https://sid.ir/paper/254976/en

IEEE: Copy

HASSAN ALI SINAEI, and SAYYED MAHDI MOHAMMADI, “EXPLORING THE EFFECT OF FASTING MONTH OF RAMADAN ON TEHRAN STOCK EXCHANGE (TSE),” ISLAMIC FINANCE RESEARCHES, vol. 2, no. 1 (3), pp. 177–201, 2013, [Online]. Available: https://sid.ir/paper/254976/en

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