This study attempts to investigate the effects of calendar anomalies(Ramadan effect), a seasonal pattern in the Pakistani equity market. It isbelieved that the holy month of Ramadan is predicted to effect the behaviour ofthe Karachi Stock Exchange (KSE) since the environment in the country duringRamadan is different compared to other months since people dedicate moretime to execute religious rituals, hence slows down the general economicactivity. The observation is based on daily frequencies for a whole decade. Thedata in this study are the daily KSE 100 index points for ten years running from1st of January 2001 to 31st of December 2010 all selected from the primaryequity market in Pakistan, the KSE. The effects of Ramadan are examinedthrough GARCH and ordinary least square (OLS) models respectively. Theanalysis draws two conclusions with the first showing that the Ramadan has aminor positive impact on the stock market and the second conclusion states thatthe stock market shows less volatile behaviour during the holy month ofRamadan.
The calendar anomalies on performance and volatility of stock market: the effects of Ramadan on Karachi Stock Exchange
Rossi M
2017-01-01
Abstract
This study attempts to investigate the effects of calendar anomalies(Ramadan effect), a seasonal pattern in the Pakistani equity market. It isbelieved that the holy month of Ramadan is predicted to effect the behaviour ofthe Karachi Stock Exchange (KSE) since the environment in the country duringRamadan is different compared to other months since people dedicate moretime to execute religious rituals, hence slows down the general economicactivity. The observation is based on daily frequencies for a whole decade. Thedata in this study are the daily KSE 100 index points for ten years running from1st of January 2001 to 31st of December 2010 all selected from the primaryequity market in Pakistan, the KSE. The effects of Ramadan are examinedthrough GARCH and ordinary least square (OLS) models respectively. Theanalysis draws two conclusions with the first showing that the Ramadan has aminor positive impact on the stock market and the second conclusion states thatthe stock market shows less volatile behaviour during the holy month ofRamadan.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
