A Seasonality in the Pakistani Equity Market: The Ramadhan Effect

Fazal Husain


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 behaviour of stock market in
Pakistan where the environment in Ramadhan is different from other
months as people devote more time to perform religious 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

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DOI: https://doi.org/10.30541/v37i1pp.77-81


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