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The holy day effect

Author

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  • Al-Ississ, Mohamad

Abstract

We use Muslim holy days to investigate the underlying mechanism behind the holiday effect. Muslim holy days are exceptionally conducive to isolating the holy day effect. The study documents a positive change in stock returns during Ramadan. The significance and magnitude of the effect are consistent with the heterogeneity of worship intensity during Ramadan. Five possible causal channels are explored. We find support for a change in the composition of traded stocks according to their riskiness on holy days. Additionally, the mood channel is supported through documenting a negative effect on Ashoura linked to the proportion of Shia in a country.

Suggested Citation

  • Al-Ississ, Mohamad, 2015. "The holy day effect," Journal of Behavioral and Experimental Finance, Elsevier, vol. 5(C), pages 60-80.
    • Handle: RePEc:eee:beexfi:v:5:y:2015:i:c:p:60-80
    DOI: 10.1016/j.jbef.2015.02.007
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    Citations

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    Cited by:

    1. Lai, Ya-Wen & Windawati, Atif, 2017. "Risk, return, and liquidity during Ramadan: Evidence from Indonesian and Malaysian stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 233-241.
    2. Razvan STEFANESCU & Ramona DUMITRIU, 2018. "Changes in the stocks prices behavior before and after the public holidays: case of Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 189-202.
    3. Sadia Anjum, 2020. "Impact of market anomalies on stock exchange: a comparative study of KSE and PSX," Future Business Journal, Springer, vol. 6(1), pages 1-11, December.
    4. Abdullah Al-Awadhi & Ahmad Bash & Fouad Jamaani, 2021. "Ramadan Effect: A Structural Time-Series Test," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(1), pages 260-269, January.
    5. Ramona DUMITRIU & Razvan STEFANESCU, 2017. "The Behavior of Stock Prices during Lent and Advent," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 95-112.
    6. Stefanescu, Răzvan & Dumitriu, Ramona, 2016. "The impact of the Great Lent and of the Nativity Fast on the Bucharest Stock Exchange," MPRA Paper 89023, University Library of Munich, Germany, revised 22 Dec 2016.
    7. Hira Irshad & Hasniza Mohd Taib, 2017. "Calendar anomalies: Review of literature," Journal of Advances in Humanities and Social Sciences, Dr. Yi-Hsing Hsieh, vol. 3(6), pages 303-310.
    8. Kumar, Satish & Rao, Sandeep & Goyal, Kirti & Goyal, Nisha, 2022. "Journal of Behavioral and Experimental Finance: A bibliometric overview," Journal of Behavioral and Experimental Finance, Elsevier, vol. 34(C).
    9. Sulaiman Mouselli & Hazem Al-Samman, 2016. "An Examination of the Month-of-the-year Effect at Damascus Securities Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 573-577.
    10. Kelley Bergsma & Danling Jiang, 2016. "Cultural New Year Holidays and Stock Returns around the World," Financial Management, Financial Management Association International, vol. 45(1), pages 3-35, March.
    11. Ramona DUMITRIU & Razvan STEFANESCU, 2017. "The Behavior of Stock Prices during Lent and Advent," Proceedings RCE 2017, Editura Lumen, vol. 0, pages 95-112, November.
    12. Irfan Ali & Waheed Akhter & Namrah Ashraf, 2017. "Impact of Muslim Holy Days on Asian stock markets: An empirical evidence," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1311096-131, January.
    13. Dharani, M. & Hassan, M. Kabir & Paltrinieri, Andrea, 2019. "Faith-based norms and portfolio performance: Evidence from India," Global Finance Journal, Elsevier, vol. 41(C), pages 79-89.
    14. Białkowski, Jędrzej & Yaghoubi, Mona, 2021. "The Ramadan effect: A standalone anomaly or just a compensation for low liquidity?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).

    More about this item

    Keywords

    Anomaly; Holiday effect; Religion; Mood; Ramadan;
    All these keywords.

    JEL classification:

    • D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
    • D03 - Microeconomics - - General - - - Behavioral Microeconomics: Underlying Principles
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Z12 - Other Special Topics - - Cultural Economics - - - Religion
    • Z13 - Other Special Topics - - Cultural Economics - - - Economic Sociology; Economic Anthropology; Language; Social and Economic Stratification

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