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THE MONTH OF RAMADAN AND HERDING BEHAVIOR: AN INVESTIGATION ON BORSA ISTANBUL

Year 2023, Volume: 9 Issue: 2, 241 - 265, 31.12.2023
https://doi.org/10.54863/jief.1377616

Abstract

This study investigates the existence of Ramadan-related herding behavior in Borsa Istanbul. For this purpose, the study used dividend-adjusted returns of 532 stocks traded in Borsa Istanbul between 03.03.2014 and 31.12.2021. We analyzed this data set by the cross-sectional absolute deviation of returns (CSAD) methodology developed by Chang et al. (2000). In the examined date range, we did not observe herding behavior throughout Ramadan, on different days of Ramadan (the first, second, and last ten days, and odd and even numbered days in the last ten days), and in different market conditions of this month. However, we determined herding behavior in Borsa Istanbul on days other than the month of Ramadan and especially in up-market conditions. Contrary to the existing evidence, the findings show that the herding behavior caused by Ramadan in Borsa Istanbul is not persistent.

References

  • Abbes, M. B., & Abdelhedi-Zouch, M. (2015), “Does hajj pilgrimage affect the islamic investor sentiment?”, Research in International Business and Finance, Vol. 35: 138-152.
  • Al-Hajieh, H., Redhead, K., & Rodgers, T. (2011), “Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on islamic middle eastern markets”, Research in International Business and Finance, Vol. 25, No. 3: 345-356.
  • Ali, I., Akhter, W., & Ashraf, N. (2017), “Impact of muslim holy days on Asian stock markets: An empirical evidence”, Cogent Economics & Finance, Vol. 5, No. 1: 1-10.
  • Al-Ississ, M. (2015), “The holy day effect”, Journal of Behavioral and Experimental Finance, Vol. 5: 60-80.
  • Al-Khazali, O. (2014), “Revisiting fast profit investor sentiment and stock returns during Ramadan”, International Review of Financial Analysis, Vol. 33: 158-170.
  • Au, K., Chan, F., Wang, D., & Vertinsky, I. (2003), “Mood in foreign exchange trading: Cognitive processes and performance”, Organizational Behavior and Human Decision Processes, Vol. 91, No. 2: 322-338.
  • Bialkowski, J., Etebari, A., & Wisniewski, T. P. (2012), “Fast profits: Investor sentiment and stock returns during Ramadan”, Journal of Banking & Finance, Vol. 36, No. 3: 835-845.
  • Chang, E. C., Cheng, J. W., & Khorana, A. (2000), “An examination of herd behavior in equity markets: An international perspective”, Journal of Banking & Finance, Vol. 24, No. 10: 1651-1679.
  • Chang, S.-C., Chen, S.-S., Chou, R. K., & Lin, Y.-H. (2012), “Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis”, Journal of Empirical Finance, Vol. 19, No. 3: 309-318.
  • Christie, W. G., & Huang, R. D. (1995), “Following the pied piper: Do individual returns herd around the market?”, Taylor & Francis, Vol. 51, No. 4: 31-37.
  • Diyanet İşleri Başkanlığı, (2023), https://vakithesaplama.diyanet.gov.tr/dini_gunler.php, (Erişim: 26.04.2023).
  • Edmans, A., Garcia, D., & Norli, Ø. (2007), “Sports sentiment and stock returns”, The Journal of Finance, Vol. 62, No. 4: 1967-1998.
  • Elshqirat, M. K. (2020), “Ramadan effect on sectoral herding”, Independent Journal of Management & Production, Vol. 11, No. 6: 1856-1871.
  • Erbaş, C. N., & Yıldırım, D. (2021), “Bireysel yatırımcıların davranışsal yanlılıkları ve finansal okuryazarlık ilişkisi: Samsun ili örneği”, Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Vol. 5, No. 2: 315-341.
  • Frieder, L., & Subrahmanyam, A. (2004), “Nonsecular regularities in returns and volüme”, Financial Analysts Journal, Vol. 60, No. 4: 29-34.
  • Gabbori, D., Virk, N., Aftab, N., & Awartani, B. (2022), “The impact of islamic events on herding behaviour in Saudi Arabian equities market”, International Journal of Finance & Economics, 1-16.
  • Gavriilidis, K., Kallinterakis, V., & Öztürkkal, B. (2020), “Does mood affect institutional herding?”, Journal of Behavioral and Experimental Finance, Vol. 26: 1-16.
  • Gavriilidis, K., Kallinterakis, V., & Tsalavoutas, I. (2016), “Investor mood, herding and the Ramadan effect”, Journal of Economic Behavior & Organization, Vol. 132: 23-38.
  • Goodell, J. W., Kumar, S., Rao, P., & Verma, S. (2023), “Emotions and stock market anomalies: A systematic review”, Journal of Behavioral and Experimental Finance, Vol. 37: 1-13.
  • Gupta, S., & Shrivastava, M. (2022), “Herding and loss aversion in stock markets: mediating role of fear of missing out (FOMO) in retail investors”, International Journal of Emerging Markets, Vol. 17, No. 7: 1720-1737.
  • Hirshleifer, D., & Shumway, T. (2003), “Good day sunshine: Stock returns and the weather”, The Journal of Finance, Vol. 58, No. 3: 1009-1032.
  • Husain, F. (1998), “A seasonality in the Pakistani equity market: The Ramadhan effect”, The Pakistan Development Review, Vol. 37, No. 1: 77-81.
  • Jaziri, M., & Abdelhedi, M. (2018), “Islamic occasions and investor sentiment”, International Journal of Islamic and Middle Eastern Finance and Management, Vol. 11, No. 2: 194-212. Johnson, E. J., & Tversky, A. (1983), “Affect, generalization, and the perception of risk”, Journal of Personality and Social Psychology, Vol. 45, No. 1: 20-31.
  • Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003), “Winter blues: A sad stock market cycle”, The American Economic Review, Vol. 93, No. 1: 324-343.
  • Kuhnen, C. M., & Knutson, B. (2011), “The influence of affect on beliefs, preferences, and financial decisions”, Journal of Financial and Quantitative Analysis, Vol. 46, No. 3: 605-626.
  • Lucey, B. M., & Dowling, M. (2005), “The role of feelings in ınvestor decision-making”, Journal of Economic Surveys, Vol. 19, No. 2: 211-238.
  • Nofsinger, J. R. (2005), “Social mood and financial economics”, The Journal of Behavioral Finance, Vol. 6, No. 3: 144-160.
  • Nofsinger, J. R. (2018), The psychology of investing, New York: Routledge.
  • Olson, K. R. (2006), “A literature review of social mood”, The Journal of Behavioral Finance, Vol. 7, No. 4: 193-203.
  • Ozkan, N. (2019), “Hijri calendar effect in Borsa Istanbul gold market and Turkey’s foreign exchange market”, Journal of Islamic Accounting and Business Research, Vol. 10, No. 4: 580-590.
  • Pantzalis, C., & Ucar, E. (2014), “Religious holidays, ınvestor distraction, and earnings announcement effects”, Journal of Banking & Finance, Vol. 47: 102-117.
  • Parker, W. D., & Prechter, R. R. (2005), “Herding: An ınterdisciplinary ıntegrative review from a socionomic perspective”, Conference on Cognitive Economics içinde (1-10 ss.). Sofya: Socionomics Foundation.
  • Prechter Jr., R. R. (2001), “Unconscious herding behavior as the psychological basis of financial market trends and patterns”, The Journal of Psychology and Financial Markets, Vol. 2, No. 3: 120-125.
  • Seyyed, F. J., Abraham, A., & Al-Hajji, M. (2005), “Seasonality in stock returns and volatility: The Ramadan effect”, Research in International Business and Finance, Vol. 19, No. 3: 374-383.
  • Shah, S. M., & Ahmed, S. N. (2014), “The Ramadan effect on stock market”, European Academic Research, Vol. 1, No. 11: 4712-4720.
  • Shu, H.-C. (2010), “Investor mood and financial markets”, Journal of Economic Behavior & Organization, Vol. 76, No. 2: 267-282.
  • Sonjaya, A. R., & Wahyudi, I. (2016), “The Ramadan effect: Illusion or reality?”, Arab Economic & Business Journal, Vol. 11, No. 1: 55-71.
  • Tetik, N. (2019), “Türkiye’nin finansal okuryazarlık düzeyi: Literatür taraması ve sonuçların değerlendirilmesi”, Turkish Studies, Vol. 14, No. 6: 3505-3524.
  • Wasiuzzaman, S., & Al-Musehel, N. A. (2018), “Mood, religious experience and the Ramadan effect”, International Journal of Emerging Markets, Vol. 13, No. 1: 290-307.
  • Wright, W. F., & Bower, G. H. (1992), “Mood effects on subjective probability assessment”, Organizational Behavior and Human Decision Processes, Vol. 52, No. 2: 276-291.
  • Yousaf, I., Ali, S., & Shah, S. Z. (2018), “Herding behavior in Ramadan and financial crises: The case of the Pakistani stock market”, Financial Innovation, Vol. 4, No. 1: 1-14.
  • Yuan, K., Zheng, L., & Zhu, Q. (2006), “Are investors moonstruck? Lunar phases and stock returns”, Journal of Empirical Finance, Vol. 13, No. 1: 1-23.
  • Zakamulin, V. (2023), “Investor overreaction: Evidence from bull and bear markets”, SSRN Electronic Journal, DOI: http://doi.org/10.2139/ssrn.4418018: 1-16.

RAMAZAN AYI VE SÜRÜ DAVRANIŞI: BORSA İSTANBUL ÜZERİNE BİR ARAŞTIRMA

Year 2023, Volume: 9 Issue: 2, 241 - 265, 31.12.2023
https://doi.org/10.54863/jief.1377616

Abstract

Bu çalışma, Borsa İstanbul’da Ramazan ayına bağlı sürü davranışının varlığını araştırmaktadır. Bu amaçla çalışmada, 03.03.2014 ile 31.12.2021 tarihleri arasında Borsa İstanbul’da işlem gören 532 payın temettüye göre düzeltilmiş getirileri kullanılmaktadır. Bu veri seti, Chang vd. (2000)’in geliştirdiği getirilerin yatay kesit mutlak sapması (CSAD) metodolojisiyle analiz edilmektedir. İncelenen tarih aralığında Ramazan ayının bütününde, Ramazan ayının farklı günlerinde (ilk, ikinci, son on gün ile son on günündeki tek ve çift sayılı günler) ve bu aydaki farklı piyasa koşullarında sürü davranışına rastlanamamıştır. Ancak, Borsa İstanbul’da Ramazan ayı dışındaki günlerde ve özellikle de yükselen piyasa koşullarında sürü davranışı görülmektedir. Mevcut kanıtların aksine elde edilen bulgular, Borsa İstanbul’da Ramazan ayından kaynaklanan sürü davranışının kalıcı olmadığını göstermektedir.

Ethical Statement

Yapılan bu çalışmada “Yükseköğretim Kurumları Bilimsel Araştırma ve Yayın Etiği Yönergesi” kapsamında uyulması gerektiği belirtilen tüm kurallara uyulmuştur. Yönergenin ikinci bölümü olan “Bilimsel Araştırma ve Yayın Etiğine Aykırı Eylemler” başlığı altında belirtilen eylemlerden hiçbiri gerçekleştirilmemiştir.

References

  • Abbes, M. B., & Abdelhedi-Zouch, M. (2015), “Does hajj pilgrimage affect the islamic investor sentiment?”, Research in International Business and Finance, Vol. 35: 138-152.
  • Al-Hajieh, H., Redhead, K., & Rodgers, T. (2011), “Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on islamic middle eastern markets”, Research in International Business and Finance, Vol. 25, No. 3: 345-356.
  • Ali, I., Akhter, W., & Ashraf, N. (2017), “Impact of muslim holy days on Asian stock markets: An empirical evidence”, Cogent Economics & Finance, Vol. 5, No. 1: 1-10.
  • Al-Ississ, M. (2015), “The holy day effect”, Journal of Behavioral and Experimental Finance, Vol. 5: 60-80.
  • Al-Khazali, O. (2014), “Revisiting fast profit investor sentiment and stock returns during Ramadan”, International Review of Financial Analysis, Vol. 33: 158-170.
  • Au, K., Chan, F., Wang, D., & Vertinsky, I. (2003), “Mood in foreign exchange trading: Cognitive processes and performance”, Organizational Behavior and Human Decision Processes, Vol. 91, No. 2: 322-338.
  • Bialkowski, J., Etebari, A., & Wisniewski, T. P. (2012), “Fast profits: Investor sentiment and stock returns during Ramadan”, Journal of Banking & Finance, Vol. 36, No. 3: 835-845.
  • Chang, E. C., Cheng, J. W., & Khorana, A. (2000), “An examination of herd behavior in equity markets: An international perspective”, Journal of Banking & Finance, Vol. 24, No. 10: 1651-1679.
  • Chang, S.-C., Chen, S.-S., Chou, R. K., & Lin, Y.-H. (2012), “Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis”, Journal of Empirical Finance, Vol. 19, No. 3: 309-318.
  • Christie, W. G., & Huang, R. D. (1995), “Following the pied piper: Do individual returns herd around the market?”, Taylor & Francis, Vol. 51, No. 4: 31-37.
  • Diyanet İşleri Başkanlığı, (2023), https://vakithesaplama.diyanet.gov.tr/dini_gunler.php, (Erişim: 26.04.2023).
  • Edmans, A., Garcia, D., & Norli, Ø. (2007), “Sports sentiment and stock returns”, The Journal of Finance, Vol. 62, No. 4: 1967-1998.
  • Elshqirat, M. K. (2020), “Ramadan effect on sectoral herding”, Independent Journal of Management & Production, Vol. 11, No. 6: 1856-1871.
  • Erbaş, C. N., & Yıldırım, D. (2021), “Bireysel yatırımcıların davranışsal yanlılıkları ve finansal okuryazarlık ilişkisi: Samsun ili örneği”, Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Vol. 5, No. 2: 315-341.
  • Frieder, L., & Subrahmanyam, A. (2004), “Nonsecular regularities in returns and volüme”, Financial Analysts Journal, Vol. 60, No. 4: 29-34.
  • Gabbori, D., Virk, N., Aftab, N., & Awartani, B. (2022), “The impact of islamic events on herding behaviour in Saudi Arabian equities market”, International Journal of Finance & Economics, 1-16.
  • Gavriilidis, K., Kallinterakis, V., & Öztürkkal, B. (2020), “Does mood affect institutional herding?”, Journal of Behavioral and Experimental Finance, Vol. 26: 1-16.
  • Gavriilidis, K., Kallinterakis, V., & Tsalavoutas, I. (2016), “Investor mood, herding and the Ramadan effect”, Journal of Economic Behavior & Organization, Vol. 132: 23-38.
  • Goodell, J. W., Kumar, S., Rao, P., & Verma, S. (2023), “Emotions and stock market anomalies: A systematic review”, Journal of Behavioral and Experimental Finance, Vol. 37: 1-13.
  • Gupta, S., & Shrivastava, M. (2022), “Herding and loss aversion in stock markets: mediating role of fear of missing out (FOMO) in retail investors”, International Journal of Emerging Markets, Vol. 17, No. 7: 1720-1737.
  • Hirshleifer, D., & Shumway, T. (2003), “Good day sunshine: Stock returns and the weather”, The Journal of Finance, Vol. 58, No. 3: 1009-1032.
  • Husain, F. (1998), “A seasonality in the Pakistani equity market: The Ramadhan effect”, The Pakistan Development Review, Vol. 37, No. 1: 77-81.
  • Jaziri, M., & Abdelhedi, M. (2018), “Islamic occasions and investor sentiment”, International Journal of Islamic and Middle Eastern Finance and Management, Vol. 11, No. 2: 194-212. Johnson, E. J., & Tversky, A. (1983), “Affect, generalization, and the perception of risk”, Journal of Personality and Social Psychology, Vol. 45, No. 1: 20-31.
  • Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003), “Winter blues: A sad stock market cycle”, The American Economic Review, Vol. 93, No. 1: 324-343.
  • Kuhnen, C. M., & Knutson, B. (2011), “The influence of affect on beliefs, preferences, and financial decisions”, Journal of Financial and Quantitative Analysis, Vol. 46, No. 3: 605-626.
  • Lucey, B. M., & Dowling, M. (2005), “The role of feelings in ınvestor decision-making”, Journal of Economic Surveys, Vol. 19, No. 2: 211-238.
  • Nofsinger, J. R. (2005), “Social mood and financial economics”, The Journal of Behavioral Finance, Vol. 6, No. 3: 144-160.
  • Nofsinger, J. R. (2018), The psychology of investing, New York: Routledge.
  • Olson, K. R. (2006), “A literature review of social mood”, The Journal of Behavioral Finance, Vol. 7, No. 4: 193-203.
  • Ozkan, N. (2019), “Hijri calendar effect in Borsa Istanbul gold market and Turkey’s foreign exchange market”, Journal of Islamic Accounting and Business Research, Vol. 10, No. 4: 580-590.
  • Pantzalis, C., & Ucar, E. (2014), “Religious holidays, ınvestor distraction, and earnings announcement effects”, Journal of Banking & Finance, Vol. 47: 102-117.
  • Parker, W. D., & Prechter, R. R. (2005), “Herding: An ınterdisciplinary ıntegrative review from a socionomic perspective”, Conference on Cognitive Economics içinde (1-10 ss.). Sofya: Socionomics Foundation.
  • Prechter Jr., R. R. (2001), “Unconscious herding behavior as the psychological basis of financial market trends and patterns”, The Journal of Psychology and Financial Markets, Vol. 2, No. 3: 120-125.
  • Seyyed, F. J., Abraham, A., & Al-Hajji, M. (2005), “Seasonality in stock returns and volatility: The Ramadan effect”, Research in International Business and Finance, Vol. 19, No. 3: 374-383.
  • Shah, S. M., & Ahmed, S. N. (2014), “The Ramadan effect on stock market”, European Academic Research, Vol. 1, No. 11: 4712-4720.
  • Shu, H.-C. (2010), “Investor mood and financial markets”, Journal of Economic Behavior & Organization, Vol. 76, No. 2: 267-282.
  • Sonjaya, A. R., & Wahyudi, I. (2016), “The Ramadan effect: Illusion or reality?”, Arab Economic & Business Journal, Vol. 11, No. 1: 55-71.
  • Tetik, N. (2019), “Türkiye’nin finansal okuryazarlık düzeyi: Literatür taraması ve sonuçların değerlendirilmesi”, Turkish Studies, Vol. 14, No. 6: 3505-3524.
  • Wasiuzzaman, S., & Al-Musehel, N. A. (2018), “Mood, religious experience and the Ramadan effect”, International Journal of Emerging Markets, Vol. 13, No. 1: 290-307.
  • Wright, W. F., & Bower, G. H. (1992), “Mood effects on subjective probability assessment”, Organizational Behavior and Human Decision Processes, Vol. 52, No. 2: 276-291.
  • Yousaf, I., Ali, S., & Shah, S. Z. (2018), “Herding behavior in Ramadan and financial crises: The case of the Pakistani stock market”, Financial Innovation, Vol. 4, No. 1: 1-14.
  • Yuan, K., Zheng, L., & Zhu, Q. (2006), “Are investors moonstruck? Lunar phases and stock returns”, Journal of Empirical Finance, Vol. 13, No. 1: 1-23.
  • Zakamulin, V. (2023), “Investor overreaction: Evidence from bull and bear markets”, SSRN Electronic Journal, DOI: http://doi.org/10.2139/ssrn.4418018: 1-16.
There are 43 citations in total.

Details

Primary Language Turkish
Subjects Islamic Economy, Islamic Finance, Finance and Investment (Other)
Journal Section Articles
Authors

Gamze Taştemel 0000-0003-0711-8952

Nasıf Özkan 0000-0003-2612-6368

Early Pub Date December 20, 2023
Publication Date December 31, 2023
Submission Date October 17, 2023
Acceptance Date December 7, 2023
Published in Issue Year 2023 Volume: 9 Issue: 2

Cite

APA Taştemel, G., & Özkan, N. (2023). RAMAZAN AYI VE SÜRÜ DAVRANIŞI: BORSA İSTANBUL ÜZERİNE BİR ARAŞTIRMA. İslam Ekonomisi Ve Finansı Dergisi (İEFD), 9(2), 241-265. https://doi.org/10.54863/jief.1377616

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