Feedback Trading and the Ramadan Effect in Frontier Markets

Panos Andrikopoulos; Yuetin Cui; Samar Gad; Vasileios  Kallinterakis

doi:10.1016/j.ribaf.2019.101085

Feedback Trading and the Ramadan Effect in Frontier Markets

Panos Andrikopoulos, Yuetin Cui, Samar Gad, Vasileios Kallinterakis

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

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Abstract

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.

Original language	English
Article number	101085
Journal	Research in International Business and Finance
Volume	51
Early online date	12 Aug 2019
DOIs	https://doi.org/10.1016/j.ribaf.2019.101085
Publication status	Published - 1 Jan 2020

Bibliographical note

NOTICE: this is the author’s version of a work that was accepted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Research in International Business and Finance, 51, (2020)
DOI: 10.1016/j.ribaf.2019.101085

© 2020, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

Feedback trading
Ramadan effect
Frontier markets

ASJC Scopus subject areas

Finance

Access to Document

10.1016/j.ribaf.2019.101085

Post-PrintAccepted author manuscript, 674 KBLicence: CC BY-NC-ND

Cite this

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title = "Feedback Trading and the Ramadan Effect in Frontier Markets",

abstract = "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{\textquoteright}s widely documented lower volatility is related to the reduced presence of feedback trading during that month. We attribute our findings to Ramadan{\textquoteright}s traditionally documented low volumes rendering feedback trading less feasible during that month. ",

keywords = "Feedback trading, Ramadan effect, Frontier markets",

author = "Panos Andrikopoulos and Yuetin Cui and Samar Gad and Vasileios Kallinterakis",

note = "NOTICE: this is the author{\textquoteright}s version of a work that was accepted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Research in International Business and Finance, 51, (2020) DOI: 10.1016/j.ribaf.2019.101085 {\textcopyright} 2020, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ ",

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doi = "10.1016/j.ribaf.2019.101085",

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AU - Andrikopoulos, Panos

AU - Cui, Yuetin

AU - Gad, Samar

AU - Kallinterakis, Vasileios

N1 - NOTICE: this is the author’s version of a work that was accepted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Research in International Business and Finance, 51, (2020) DOI: 10.1016/j.ribaf.2019.101085 © 2020, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

PY - 2020/1/1

Y1 - 2020/1/1

N2 - 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.

AB - 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.

KW - Feedback trading

KW - Ramadan effect

KW - Frontier markets

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VL - 51

JO - Research in International Business and Finance

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M1 - 101085

ER -

Feedback Trading and the Ramadan Effect in Frontier Markets

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Panagiotis Andrikopoulos

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Feedback Trading and the Ramadan Effect in Frontier Markets

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Panagiotis Andrikopoulos

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