Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/245230 
Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 7 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2019 [Pages:] 1-10
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well studied and evident in financial literature that stock markets around the world have predictable patterns, e.g. calendar effect, behavioural effect, and Religious festival effect. By analysing market return and trading volume data of Dhaka Stock Exchange (DSE) over the period of 1 January 2002 to 30 August 2018, this study attempts to investigate the association of Ramadan, the holy month for the Muslims, with the market return, volatility and trade volume in the of DSE. Applying GJR-GARCH (p,q) model on the market return of DSE, this study concludes that Ramadan month has no significant relationship with stock market return and volatility. However, Ramadan has a significant negative impact on the daily trade volume of DSE. This is might be the outcome of decreased trading and banking hour and religious perception of investors.
Schlagwörter: 
Calendar anomaly
GARCH
Moving calendar event
Ramadan effect
Dhaka Stock Exchange (DSE)
JEL: 
G11
G12
G14
G40
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