Artikel

Ramadan effect on stock market return and trade volume: Evidence from Dhaka Stock Exchange (DSE)

A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well studied and evident in financial literature that stock markets around the world have predictable patterns, e.g. calendar effect, behavioural effect, and Religious festival effect. By analysing market return and trading volume data of Dhaka Stock Exchange (DSE) over the period of 1 January 2002 to 30 August 2018, this study attempts to investigate the association of Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH (p,q) model on the market return of DSE, this study concludes that Ramadan month has no significant relationship with stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE. This is might be the outcome of decreased trading and banking hour and religious perception of investors.

Sprache
Englisch

Erschienen in
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-10 ; Abingdon: Taylor & Francis

Klassifikation
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
Behavioral Finance: General‡
Thema
Calendar anomaly
GARCH
Moving calendar event
Ramadan effect
Dhaka Stock Exchange (DSE)

Ereignis
Geistige Schöpfung
(wer)
Hassan, Md. Hashibul
Kayser, Md. Shahidullah
Ereignis
Veröffentlichung
(wer)
Taylor & Francis
(wo)
Abingdon
(wann)
2019

DOI
doi:10.1080/23322039.2019.1605105
Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Hassan, Md. Hashibul
  • Kayser, Md. Shahidullah
  • Taylor & Francis

Entstanden

  • 2019

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