East meets West: When the Islamic and Gregorian calendars coincide

Tantisantiwong, Nongnuch; Halari, Anwar; Helliar, Christine; Power, David

doi:10.1016/j.bar.2017.11.003

Cited by 8 publications

(6 citation statements)

References 90 publications

(114 reference statements)

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“…Thus in the case of an Islamic country such as Pakistan it appears that there may be a Ramadan effect and a January effect; the interaction between these two periods, when they occur at the same time, has been largely ignored in the literature. A multi-country investigation by Abadir and Spierdijk (2005) More relevant to our study, Tantisantiwong et al (2017) investigated Eastern (Islamic) and Western (Gregorian) calendar effects, including the effect of when Ramadan and January coincide and found that the results are more prominent in larger and more developed markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…To date, these two anomalies have usually been studied in isolation; only Tantisantiwong et al (2017) has recognised that the Ramadan and January effects overlap from time to time. The current paper addresses these issues by first investigating whether the Ramadan effect exists in the mean and volatility of equity returns for 428 firms across four countries with predominantly Muslim populations: namely, Indonesia, Jordan, Pakistan and Turkey.…”

Section: Introductionmentioning

confidence: 99%

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Taking advantage of Ramadan and January in Muslim countries

Halari

Helliar

Power

et al. 2019

The Quarterly Review of Economics and Finance

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Studies have shown that religious beliefs and practice play an important role in influencing share price behaviour. Evidence of a Ramadan effect has been documented in Muslim countries suggesting an increase in mean returns as well as a reduction in volatility during the ninth month of the Islamic calendar. In addition to the Ramadan effect, studies have also documented a January effect in Muslim countries. The current study investigates what happens when the Ramadan effect and the January effect occur at the same time. Controlling for the effects of financial crises and time-varying volatility in returns, the results for individual company data from four countries with sizeable Muslim populations indicate higher returns and lower volatility when these two effects overlap, except in one, arguably more Western country, Turkey.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Taking advantage of Ramadan and January in Muslim countries

Halari

Helliar

Power

et al. 2019

The Quarterly Review of Economics and Finance

Self Cite

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show abstract

“…Moreover, the Ramadan effect had a non-persistent impact. Tantisantiwong et al (2018) investigate interactions among different calendar effects, in particular, between Ramadan and January effects in equity returns and volatilities. The results suggest that share returns and volatility on the days of Ramadan tend to be higher when these days falls in January.…”

Section: Ramadan Effect In the Cryptocurrency Marketsmentioning

confidence: 99%

“…Moreover, the Ramadan effect had a non-persistent impact. Tantisantiwong et al. (2018) investigate interactions among different calendar effects, in particular, between Ramadan and January effects in equity returns and volatilities.…”

Section: Literature Review: Seasonal Anomaliesmentioning

confidence: 99%

Ramadan effect in the cryptocurrency markets

Martín

2022

RBF

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PurposeThis paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.Design/methodology/approachThe closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.FindingsAlthough no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.Originality/valueFirst, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.

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“…They found an amplified impact of Ramadan on stock returns when it overlaps with January. Tantisantiwong et al (2018) studied the overlapping impact of Islamic and Gregorian calendars on seven Muslim countries during the period 1995 and 2016. They documented that the overlapping effect of Islamic and Gregorian calendars was amplified in larger companies and in more developed markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Do Islamic Holy days affect stock returns? Empirical evidence from Asian and African markets

Ali

Akhter

Chaudhry

2021

JIMA

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Purpose The Islamic Holy days are among the most celebrated spiritual traditions in the world and are observed by more than 1.5 billion Muslims. This study aims to investigate the effect of these events on the regular returns of stock exchanges in selected Muslim countries. Design/methodology/approach This study examines data from eight Asian and African stock exchanges from 2001 to 2019. Isolating the effect of Gregorian calendar anomalies, it aims to evaluate the effect of Islamic Holy days on stock returns by running a pooled random effect panel regression on all the stock exchanges examined. Findings The results reveal the positive impact of Eid-ul-Fitr on Asian markets, the negative impact of Eid Milad-un-Nabi on the African stock market’s returns and the positive effect of the Holy month of Ramadan on both markets. Some Gregorian calendar anomalies also were found in these markets. Practical implications The research has significant implications for marketing professionals to recognize business opportunities and investors to efficiently manage their stock portfolio during Islamic events of Eid-ul-Fitr, Eid Milad-un-Nabi and Ramadan in relevant Muslim countries. Originality/value Given the research gap between Gregorian and Islamic calendar anomalies, this paper contributes by combining the effect of Islamic Holy days on the returns of selected Muslim-dominated financial markets.

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East meets West: When the Islamic and Gregorian calendars coincide

Cited by 8 publications

References 90 publications

Taking advantage of Ramadan and January in Muslim countries

Taking advantage of Ramadan and January in Muslim countries

Ramadan effect in the cryptocurrency markets

Do Islamic Holy days affect stock returns? Empirical evidence from Asian and African markets

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