Scintific Journal of "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

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Scintific Journal of
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