Feedback trading and the ramadan effect in frontier markets



Andrikopoulos, P, Cui, Y, Gad, S and Kallinterakis, V ORCID: 0000-0001-6217-1188
(2020) Feedback trading and the ramadan effect in frontier markets. Research in International Business and Finance, 51.

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Abstract

© 2019 Elsevier B.V. We examine the presence of the Ramadan effect in feedback trading drawing on a sample of eleven majority Muslim markets for the period of 29/6/2001 to 1/8/2016. Feedback trading is significant in several of these markets, appearing stronger outside, rather than within, Ramadan. These results hold for the full sample period, including before and after the global financial crisis raising the possibility that Ramadan's widely documented lower volatility is related to the reduced presence of feedback trading during that month. We attribute our findings to Ramadan's traditionally documented low volumes rendering feedback trading less feasible during that month.

Item Type: Article
Depositing User: Symplectic Admin
Date Deposited: 09 Sep 2019 07:54
Last Modified: 21 Nov 2020 21:13
DOI: 10.1016/j.ribaf.2019.101085
URI: http://livrepository.liverpool.ac.uk/id/eprint/3053785