Abstract
Religion plays a very significant role in the lives, decision making and
behavior of the peoples. Ramadan is the most important month of
Islamic calendar. The Muslims in this Holy month increase their
emphasis on Religious activities such as recitation of Quran, Praying,
Fasting and giving charity to capture the wealth of blessings which are
promised in this month, and try to avoid wrongdoings and sins such as
gambling and speculation. This study examines the effect of Ramadan
on Pakistan Stock Market. Daily data of PSX-100 index for period
ranging from 1st January 2007 to 31st December 2016 was used. Time
series regression was used to test the presence of Ramadan effect. The
result revealed a positive significant Ramadan effect. Furthermore, it
was observed that the returns are higher during the last ten days of
Ramadan as compare to the first ten days of Ramadan and on 27th day
of Ramadan the returns are the highest. The outcome of this study can
be used by the investors to formulate better strategies to generate
excess returns considering presence of monthly effects.
Dilshad Khan, Sabeeh Ullah, Muhammad Asif. (2017) Islamic Calendar Anomalies: A Study of Ramadan Effect on Pakistan Stock Exchange, Journal of Managerial Sciences, Volume 11, Issue 4.
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