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Ramadaneffekten?: En systematisk prisavvikelse på muslimska marknader
Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
2011 (Swedish)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesisAlternative title
The Ramadan Effect? : A systematic price deviation on Muslim markets (English)
Abstract [sv]

Bakgrund: Den heliga fastemånaden Ramadan innebär stora omställningar i cirka en och en halv miljard muslimers liv. Detta har, med bakgrund i den effektiva marknadshypotesen, föranlett flera olika undersökningar av eventuellt återkommande prisavvikelser i samband med Ramadan, en så kallad Ramadaneffekt. Tidigare studier visar dock på något motstridiga resultat vilket gör att vidare forskning inom området är motiverad. De till viss del förändrade livsvillkor som Ramadan innebär har i tidigare studier använts som förklaringsvariabler, något som dock kan ifrågasättas och undersökas vidare med utgångspunkt i Behavioral finance.

Syfte: Denna studie ämnar undersöka om det existerar någon Ramadaneffekt på 17 olika muslimska aktiemarknader samt att kritiskt granska tidigare studier inom området och förklaringsvärdet i fastans fysiska och psykiska påverkan vid en eventuell Ramadaneffekt.

Genomförande: Studien är av både kvalitativ och kvantitativ karaktär med huvudsaklig tyngdpunkt i statistiska analyser av studiens datamaterial. Regressionsanalys med dummyvariabler utgör den statistiska metoden och resultatet analyseras genom att applicera Behavioral finance till dokumentstudien för att försöka förklara de statistiska resultaten.

Slutsats: Studien finner att endast den pakistanska aktiemarknaden uppvisar en signifikant prisavvikelse under Ramadan. Detta ligger inte i linje med tidigare forskning. Tidigare använda förklaringsvariabler tycks inte heller de ha något stort förklaringsvärde då fastans fysiska och psykiska påverkan torde yttra sig likadant i samtliga länder men effekterna på aktiemarknaderna skiljer sig åt.

Abstract [en]

Background: Ramadan, the holy month of fasting, means many changes in the lives of approximately one and a half billion Muslims. This, with background in the efficient market hypothesis, has resulted in several studies on potentially reoccurring price deviations in connection with Ramadan, a so-called Ramadan effect. Previous studies show somewhat conflicting results, which motivates further research within the subject. The changed routines of daily life during Ramadan have previously been used as the explanatory variable for the Ramadan effect. The authors question the validity of this relationship and therefore further examine it with an argumentative base in Behavioral finance.

Aim: This study aims to investigate whether a Ramadan effect exists on any of 17 Muslim stock markets. Furthermore, it aims to critically analyze previous research within the area and examine whether the physical and psychological effects of fasting have any explanatory value in an eventual existence of a Ramadan effect.

Completion: The study uses both a qualitative and quantitative approach with a focus on statistical analysis of the study’s numerical data. Regression analysis with dummy variables represents the statistical method and the results are analyzed by applying Behavioral finance to the literature study in order to explain the results.

Conclusion: The only market that shows a systematic price deviation during Ramadan is Pakistan. This is not coherent with previous research. Furthermore, the previously used explanatory variables do not seem to have any great explanatory value since the variables are coherent across the markets whereas the effects on the stock markets are not.

Place, publisher, year, edition, pages
2011. , 79 p.
Keyword [en]
The Ramadan effect, systematic price deviations, Behavioral finance
Keyword [sv]
Ramadaneffekten, systematiska prisavvikelser, Behavioral finance
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:liu:diva-72850ISRN: LIU-IEI-FIL-A--11/00994--SEOAI: oai:DiVA.org:liu-72850DiVA: diva2:463301
Subject / course
Master Thesis in Business Administration (Magisteruppsats i Företagsekonomi)
Uppsok
Social and Behavioural Science, Law
Supervisors
Available from: 2011-12-09 Created: 2011-12-09 Last updated: 2011-12-09Bibliographically approved

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