Husain, Fazal (1998): A Seasonality in the Pakistani Equity Market: The Ramadhan Effect. Published in: The Pakistan Development Review , Vol. 37, No. 1 (1998): pp. 77-81.
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This paper attempts to explore a seasonal pattern, the Ramadhan effect, in the Pakistani equity market. Ramadhan, the holy month of fasting, is expected to affect the behavior of stock market in Pakistan where the environment in Ramadhan is different from other months as people devote more time to perform rituals and the general economic activity slows down. The effects of Ramadhan on mean return and stock returns volatility are examined by including a dummy variable in regressions and GARCH models respectively. The analysis indicates a significant decline in stock returns volatility in this month although the mean return indicates no significant change.
|Item Type:||MPRA Paper|
|Institution:||Pakistan Institute of Development Economics|
|Original Title:||A Seasonality in the Pakistani Equity Market: The Ramadhan Effect|
|Keywords:||Stock Prices; Pakistan; Ramadhan; Seasonality; Equity Market|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
|Depositing User:||Fazal Husain|
|Date Deposited:||26. Sep 2007|
|Last Modified:||13. Feb 2013 06:46|