The Calendar Impact And Trading Behavior: An Empirical Evidence From Around The Globe

Abstract

This paper is aimed to determine a change in the stock markets returns or its volatility from the globally selected Islamic mutual funds during the month of Ramadan, as all Muslims around the world eagerly and enthusiastically follow the rituals of the holy month of Ramadan. The paper uses monthly data of equity funds for those which are domiciled and those which operate globally within the period of January 2004 until December 2009. It is interesting to note that the empirical results provide no supporting evidence for the effect of the Ramadan month on the Islamic equity fund performance when examined using a dummy variable for the Ramadan month. Nevertheless, the evidence reveals that the volatility of stock returns remarkably decreases during this month. The reason for the decrease in volatility may be the result of the speed of economic activities during that month. Although, there is a decline in stock return volatility in the month of Ramadan, the return indicates no significant change.