Feedback trading and the ramadan effect in frontier markets
Date
2019-08-12
Advisors
Journal Title
Journal ISSN
ISSN
Volume Title
Publisher
Elsevier
Type
Article
Peer reviewed
Yes
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.
Description
The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.
Keywords
Feedback trading, Ramadan effect, Frontier markets
Citation
Andrikopoulos, P., Cui, Y., Gad, S. and Kallinterakis, V. (2019) Feedback Trading and the Ramadan Effect in Frontier Markets. Research in International Business and Finance, 51, 101085.