Abstract
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 ha...
Highlights
In a capital-starved developing country like Bangladesh, efficient distribution of resources is very important to achieve rapid economic expansion
This study aims to fill this lacuna by investigating the association of Ramadan, the holy month for the Muslims, with the market return, volatility of return and volume in the context of Dhaka Stock Exchange (DSE)
By analysing market return and trading volume data of Dhaka Stock Exchange (DSE), this study attempts to investigate the association of Ramadan with the market return, volatility and trade volume
Summary
In a capital-starved developing country like Bangladesh, efficient distribution of resources is very important to achieve rapid economic expansion. Results of these studies suggest that Ramadan has negative or no effect on the stock market return, volatility or trade volume. Iqbal, Kouser, and Azeem (2013) have reported a significant negative effect of Ramadan in Karachi Stock Exchange (KSE) return and reduction in the volatility of monthly return They have identified some factors that lead to the lower interest in trading, such as reduced banking hours, Islamic prohibition against speculation and use of interest that would affect margin trading and greater religious orientation of market participants. The effect of Ramadan month on the stock market return is estimated in this study by using the model from the ARCH family, which has been extensively used in financial time series and has demonstrated enormous success in forecasting conditional variance (Seyyed et al, 2005). This GJR-GARCH model does not suffer from
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