کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10489126 | 937563 | 2005 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Seasonality in stock returns and volatility: The Ramadan effect
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Seasonality in stock returns and volatility: The Ramadan effect Seasonality in stock returns and volatility: The Ramadan effect](/preview/png/10489126.png)
چکیده انگلیسی
Calendar anomalies in stock returns are well documented. Less obvious is the existence of seasonality in return volatility associated with moving calendar events such as the Muslim holy month of Ramadan. Using a GARCH specification and data for the Saudi Arabian stock market - now the largest stock market in the Muslim world - this paper documents a systematic pattern of decline in volatility during Ramadan, implying a predictable variation in the market price of risk. An examination of trading data shows that this anomaly appears to be consistent with a decline in trading activity during Ramadan. Evidence of systematic decline in volatility during Ramadan has significant implications for pricing of securities especially option-like products and asset allocation decisions by investors in the Islamic countries.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 19, Issue 3, September 2005, Pages 374-383
Journal: Research in International Business and Finance - Volume 19, Issue 3, September 2005, Pages 374-383
نویسندگان
Fazal J. Seyyed, Abraham Abraham, Mohsen Al-Hajji,