"Islamic Finance Researches" (IFR)

Exploring the Effect of Fasting Month of Ramadan on Tehran Stock Exchange (TSE)

Document Type : Paper

Authors

1 Associate Professor, Department of Business Management, Faculty of Economics and Social Sciences, Shahid Chamran University, Ahvaz

2 کارشناس ارشد مدیریت بازرگانی- مالی دانشگاه شهید چمران اهواز

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.

Keywords

اسلامی بیدگلی، غلامرضا، حسن قالیباف‌اصل، و عبدالله عالیشوندی (1388)، «بررسی آثار تغییر حد نوسان قیمت سهام بر نوسان بازار، بازدهی بازار، تعداد دفعات معامله، اندازه معاملات و سرعت گردش سهام در بورس اوراق بهادار تهران»، تحقیقات مالی، دوره 11، شماره 27.
بدری، احمد و محسن صادقی (1386)، «بررسی اثر روزهای مختلف هفته بر بازدهی نوسان‌پذیری و حجم معاملات در بورس اوراق بهادار تهران»، انتشارات مدیریت پژوهش، توسعه و مطالعات اسلامی.
تلنگی، احمد (1383)، «تقابل نظریه نوین مالی و مالی رفتاری»، تحقیقات مالی، شماره 17.
راعی، رضا و شیرزادی، سعید (1387)، «بی قاعدگی‌های تقویمی و غیر تقویمی در بازارهای مالی»، بورس اوراق بهادار، سال اول، شماره 1.
سینایی، حسنعلی و ادریس محمودی (1384)، «بررسی تأثیر خبر تجزیه سهام و سهام جایزه بر بازده سهام در بورس اوراق بهادار تهران»، بررسی‌های حسابداری و حسابرسی، سال دوازدهم، شماره 39.
فراهانی‌فرد، سعید (1378)، سیاست‌های پولی در بانکداری بدون ربا، قم: انتشارات دفتر تبلیغات اسلامی.
Alper, C. E. and Aruba, S. B. (2001), "Moving Holidays and Seasonality: an Application in the Time and the Frequency Domains for Turkey", ISE Rev, vol. 18.
EFTS MARKETS (2009), "The Islamic calendar effects: evidence from twelve stock markets", Available at:
     http://programs.business.utsa.edu/swfa2009/PDF/122.pdf.
Fazel J. S, Abraham A., and Al-Hajji, M. (2005), "Seasonality in stock and volatility: the Ramadan Effect", Research in International Business and Finance, vol. 19.
Hussein, F. (1998), "Seasonality in the Pakistani Equity Market: The Ramadan Effect", the Pakistan Development Review, vol. 37.
Gulevich, T. (2004), Understanding ISLAM and Muslim Traditions, Washington: Omni graphics Inc.
Agung, G. N. (2009), Time Series Data Analysis Using EViews, Singapore: John Wiley & Sons (Asia) Pte Ltd.
Lancaster, G. (2005), Research Methods in Management, New York: Elsevier Butterworth-Heinemann publication.
Manzana, V. and Ferrnandez, N. M. (2003), "Monthly seasonality of the returns and volatility of the IBEX-35 index and its futures contract", Applied Economics Letters, vol. 10.
Mustafa, K. (2008), "The Islamic Calendar Effect in Karachi Stock Market", The Eighth International Business Research Conference, Dubai, UAE, Available at  http://www.wbiconpro.com
Shahid, A. and Akbar, M. (2009), "Calendar Effects in Pakistani Stock Market", International Review of Business Research Papers, vol.1.
Shleifer A. (2004), inefficient markets: an introduction to behavioral finance, Oxford: Oxford University press.
Tsay. R. S. (2005), Analysis of Financial Time Series, London: John Wiley & Sons Publication.
Yavuz, B., Güriş, N. and Kıran, B. (2008), "The Month and Holy Days Effects on the Volatility of Trade Deficit: Evidence from Turkey", Journal of Economic and Social Research, vol. 10.
Volume 2, Issue 1 - Serial Number 3
November 2012
Pages 177-202
  • Receive Date: 15 May 2012
  • Revise Date: 12 September 2012
  • Accept Date: 25 November 2012