Ramadan effect and indices movement estimation: a case study from eight Arab countries

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dc.authoridF. Assous, Hamzeh/0000-0001-9376-5130
dc.contributor.authorAl-Najjar, Dania
dc.contributor.authorAssous, Hamzeh F.
dc.contributor.authorAl-Najjar, Hazem
dc.contributor.authorAl-Rousan, Nadia
dc.date.accessioned2024-09-11T19:51:55Z
dc.date.available2024-09-11T19:51:55Z
dc.date.issued2023
dc.departmentİstanbul Gelişim Üniversitesien_US
dc.description.abstractPurpose This study aims to investigate the Ramadan effect anomaly on the stock markets' indices and estimate the movement of these indices in the light of the phenomenon. Design/methodology/approach Stock market indices are used as financial indicators to show the Ramadan effect. To validate this effect, eight Arab countries, which comprises Jordan, Saudi Arabia, Oman, Qatar, United Arab Emirates, Bahrain, Kuwait and Egypt, are adopted. A linear regression with R-2, error, F-value and p-value is considered to analyze and understand the effect of Ramadan on the aforementioned Arab countries. Findings Results found that Ramadan has a strong effect on estimating and predicting the performance of stock market indices in all studied Arab countries, except Kuwait. Results found that the majority of the Ramadan effect occurred after the second 10 days of Ramadan, where the direction of stock indices is opposite of Ramadan variables in all aforementioned cases. Originality/value This study is considered as an enrichment of the existing literature review with regard to the Ramadan effect. The study presents a new methodology that can be followed to improve the predictions of stock market indices by using a weight least square method with linear regression. This study presents the most affected periods of time that could decrease or increase the stock prices. Finally, the study proves the capability of the weight least square method in building a predictive model that takes the date into consideration in predicting stock market indices.en_US
dc.identifier.doi10.1108/JIMA-01-2022-0008
dc.identifier.endpage2008en_US
dc.identifier.issn1759-0833
dc.identifier.issn1759-0841
dc.identifier.issue8en_US
dc.identifier.scopus2-s2.0-85131758920en_US
dc.identifier.startpage1989en_US
dc.identifier.urihttps://doi.org/10.1108/JIMA-01-2022-0008
dc.identifier.urihttps://hdl.handle.net/11363/7859
dc.identifier.volume14en_US
dc.identifier.wosWOS:000810107600001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.publisherEmerald Group Publishing Ltden_US
dc.relation.ispartofJournal of Islamic Marketingen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.snmz20240903_Gen_US
dc.subjectRamadan effecten_US
dc.subjectStock market predictionen_US
dc.subjectArab countriesen_US
dc.subjectWeight least squareen_US
dc.titleRamadan effect and indices movement estimation: a case study from eight Arab countriesen_US
dc.typeArticleen_US

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