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The calendar anomalies on performance and volatility of stock market: the effects of Ramadan on Karachi Stock Exchange

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  • Kalimullah Khan
  • Muhammad Ali Nasir
  • Matteo Rossi

Abstract

This study attempts to investigate the effects of calendar anomalies (Ramadan effect), a seasonal pattern in the Pakistani equity market. It is believed that the holy month of Ramadan is predicted to effect the behaviour of the Karachi Stock Exchange (KSE) since the environment in the country during Ramadan is different compared to other months since people dedicate more time to execute religious rituals, hence slows down the general economic activity. The observation is based on daily frequencies for a whole decade. The data in this study are the daily KSE 100 index points for ten years running from 1st of January 2001 to 31st of December 2010 all selected from the primary equity market in Pakistan, the KSE. The effects of Ramadan are examined through GARCH and ordinary least square (OLS) models respectively. The analysis draws two conclusions with the first showing that the Ramadan has a minor positive impact on the stock market and the second conclusion states that the stock market shows less volatile behaviour during the holy month of Ramadan.

Suggested Citation

  • Kalimullah Khan & Muhammad Ali Nasir & Matteo Rossi, 2017. "The calendar anomalies on performance and volatility of stock market: the effects of Ramadan on Karachi Stock Exchange," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 19(1), pages 54-69.
    • Handle: RePEc:ids:gbusec:v:19:y:2017:i:1:p:54-69
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    Citations

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    Cited by:

    1. Vilija Aleknevičienė & Vaida Klasauskaitė & Eglė Aleknevičiūtė, 2022. "Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets," Journal of Baltic Studies, Taylor & Francis Journals, vol. 53(2), pages 187-210, April.
    2. Nisar, Sabahat & Asif, Rabia & Ali, Amjad, 2021. "Testing the Presence of the January Effect in Developed Economies," MPRA Paper 112548, University Library of Munich, Germany.
    3. Plastun, Alex & Bouri, Elie & Havrylina, Ahniia & Ji, Qiang, 2022. "Calendar anomalies in passion investments: Price patterns and profit opportunities," Research in International Business and Finance, Elsevier, vol. 61(C).
    4. Jauhar Abbas & Hammad Hassan Mirza & Haroon Hussain & Rana Yassir Hussain & Muhammad Saad & Masud Akhtar, 2021. "Stock Market Reaction towards Terrorism: An Evidence Based on Seasonal Variation in Pakistan," Journal of Economic Impact, Science Impact Publishers, vol. 3(3), pages 167-177.

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