Title: The calendar anomalies on performance and volatility of stock market: the effects of Ramadan on Karachi Stock Exchange

Authors: Kalimullah Khan; Muhammad Ali Nasir; Matteo Rossi

Addresses: Division of Economics, University of Bradford, BD7 1DP, UK ' Faculty of Business and Law, Leeds Beckett University, LS1 3HS, UK ' Department of Economic and Social Systems Analysis, Univeristy of Sannio, Via delle Puglie, 82, 82100 Benevento (BN), Italy

Abstract: This study attempts to investigate the effects of calendar anomalies (Ramadan effect), a seasonal pattern in the Pakistani equity market. It is believed that the holy month of Ramadan is predicted to effect the behaviour of the Karachi Stock Exchange (KSE) since the environment in the country during Ramadan is different compared to other months since people dedicate more time to execute religious rituals, hence slows down the general economic activity. The observation is based on daily frequencies for a whole decade. The data in this study are the daily KSE 100 index points for ten years running from 1st of January 2001 to 31st of December 2010 all selected from the primary equity market in Pakistan, the KSE. The effects of Ramadan are examined through GARCH and ordinary least square (OLS) models respectively. The analysis draws two conclusions with the first showing that the Ramadan has a minor positive impact on the stock market and the second conclusion states that the stock market shows less volatile behaviour during the holy month of Ramadan.

Keywords: stock markets; Ramadan effect; GARCH model; calendar anomalies; stock market performance; stock market volatility; Karachi Stock Exchange; Pakistan; ordinary least squares; OLS.

DOI: 10.1504/GBER.2017.080775

Global Business and Economics Review, 2017 Vol.19 No.1, pp.54 - 69

Received: 24 Jun 2015
Accepted: 24 Sep 2015
Published online: 07 Dec 2016 *

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