Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5084905 | International Review of Financial Analysis | 2014 | 13 Pages |
Abstract
Using stochastic dominance (SD) approach, this paper revisits the Ramadan effect in the stock returns of 15 Muslim countries and altogether as a portfolio. Our study is motivated by the preferred statistical attributes of SD analysis. Specifically, SD requires no normal distribution of returns assumption and it imposes few restrictions on investors' risk-return tradeoff preference. Our results indicate that the Ramadan effect exists in most of Muslim countries used in the study during the sub-periods 1996-2000 and 2001-2006 and in the portfolio during the sub-period 1995-2007. However, its magnitude diminishes during the global financial crisis period (2007-2012). The findings of this paper indicate that previous results are not an artifact deriving from violations of distributional assumptions. We conclude that risk-averse investors would benefit from increased utility by switching from non-Ramadan to Ramadan.
Related Topics
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Authors
Osamah Al-Khazali,