Ramadan Effect: A Structural Time-Series Test

Abdullah Al-Awadhi, Ahmad Bash, Fouad Jamaani


This study investigates whether religious belief creates stock market return seasonality, focusing on the Muslim holy month “Ramadan". We use long-term data from 12 stock markets in countries with a high Muslim majority. Using a structural time-series model that takes into account a “trend component" and a stochastic “seasonal component”, we find no significant evidence of Ramadan return seasonality for the 12 stock markets over the long-term. This result suggests that there is no trend component for Ramadan effect and that Ramadan returns seasonality vanish in the long-term.

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DOI: https://doi.org/10.5430/ijfr.v12n1p260

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This work is licensed under a Creative Commons Attribution 4.0 International License.

This journal is licensed under a Creative Commons Attribution 4.0 License.

International Journal of Financial Research
ISSN 1923-4023(Print)ISSN 1923-4031(Online)


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