The Ramadan Effect holds that stock returns are higher and volatility lower in Muslim countries during the holy month of Ramadan.
This article presents a brief review and listing of academic papers on the Ramadan Effect.
One of the first papers to address the Ramadan Effect was Husain (1998), who found a significant decline in stock volatility, albeit no change in stock returns, in the Pakistani equity market over Ramadan. Some years later Seyyed, Fazal, Abraham and Al-Hajji (2005), looked at the Saudi Arabian stock market and found a decline in stock volatility consistent with Husain (1998).
From 2010 interest in this topic seems to have picked up with a greater frequency of papers appearing. First off was Bialkowski, Pawel, Etebari and Wisniewski (2010) who widened the ambit to look at stock markets in 14 Muslim countries; they found less volatility during Ramadan (consistent with the previous papers), but also found significantly higher stock returns. The paper also spent some time investigating the possible reasons for this, such as the health benefits of fasting and the influence of religious practice on investors’ psychology.
Al-Ississ (2010), looked at 17 Muslim financial markets finding a positive effect on stock returns over Ramadan (consistent with Bialkowski, Pawel, Etebari and Wisniewski, 2010), but a negative effect over the Muslim holy day of Ashoura. The study asserts that these effects are due to religious experience rather than other secular factors.
Bialkowski, Bohl, Kaufmann and Wisniewski (2013), observe that the Ramadan Effect is particularly strong in Turkey and that the performance of funds is substantially higher during Ramadan.
A couple of papers failed to find the effect for the Karachi Stock Exchange (Shah and Ahmed, 2014) or the S&P CNX Nifty Shariah index in India (Dharani and N. Vijayakumar, 2014). These results may be explained by Al-Khazali (2014), who found that, while the effect does exist in most Muslim countries, its magnitude diminished during the global financial crisis 2007-2012.
INDEX (of papers listed below)
[Papers listed in reverse date order; ♠ indicates major paper.]
- Revisiting Fast Profit Investor Sentiment and Stock Returns During Ramadan 
- Impact of Ramzan fasting effect on return and volatility of the S&P CNX Nifty Shariah Index in India 
- The Ramadan Effect on Stock Market 
- Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey 
- Studying Impact of Ramadan on Stock Exchange Index: Case of Iran 
- Fast profits: Investor sentiment and stock returns during Ramadan 
- The Islamic Calendar Effects: Evidence from Twelve Stock Markets 
- Calendar anomalies in the Gulf Cooperation Council stock markets 
- The impact of religious experience on financial markets 
- Piety and Profits: Stock Market Anomaly During the Muslim Holy Month 
- Seasonality in stock returns and volatility: The Ramadan effect  ♠
- A Seasonality in the Pakistani Equity Market: The Ramadhan Effect  ♠
Revisiting Fast Profit Investor Sentiment and Stock Returns During Ramadan
Authors [Year]: Osamah Al-Khazali 
Journal [Citations]: International Review of Financial Analysis,
Abstract: Using stochastic dominance (SD) approach, this paper revisits the Ramadan effect in the stock returns of 15 Muslim countries and altogether as a portfolio. Our study is motivated by the preferred statistical attributes of SD analysis. Specifically, SD requires no normal distribution of returns assumption and it imposes few restrictions on investors’ risk-return tradeoff preference. Our results indicate that the Ramadan effect exists in most of Muslim countries used in the study during the sub-periods 1996–2000 and 2001–2006 and in the portfolio during the sub-period 1995–2007. However, its magnitude diminishes during the global financial crisis period (2007–2012). The findings of this paper indicate that previous results are not an artifact deriving from violations of distributional assumptions. We conclude that risk-averse investors would benefit from increased utility by switching from non-Ramadan to Ramadan.
Impact of Ramzan fasting effect on return and volatility of the S&P CNX Nifty Shariah Index in India
Authors [Year]: M. Dharani and N. Vijayakumar 
Abstract: This study examines the impact of Ramzan effect on return and volatility of the S&P CNX Nifty Shariah index from January 2 9 th December 2006 to 12 September 2013. The closing value of the index extracted from National Stock Exchange of India (NSE) website was converted into continuously compound return and employed GARCH (1,1) model to investigate the impact of Ramzan effect, Ramzan Friday effect and Friday effect on return and volatility of the Shariah index. The study reveals that the Ramzan festival period does not affect the return and volatility of the Shariah index in Indian capital market. However, Friday effect found to be surviving on volatility of the Shariah index in India.
The Ramadan Effect on Stock Market
Authors [Year]: S. M. Atiq Ur Rehman Shah and Syed Nisar Ahmed 
Journal [Citations]: European Academic Research, 1(11)
Abstract: In this paper we have endeavor ed to examine the consequences of Islamic month Ramadan on the Karachi Stock Market . Monthly data of the last 3 years, 2010, 2011 and 2012 was collected for this paper from yahoo finance. The Effect of Ramadan on KSE market on mean return is examined by including a Dummy variable in regression model. It is observed that returns in KSE market are not showing significant behavior during the month of Ramadan. In the light of observation it is concluded that Ramadan effect is not significant in Karachi Stock Exchange.
Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey
Authors [Year]: Jędrzej Białkowski, Martin T. Bohl, Philipp Kaufmann and Tomasz P. Wisniewski 
Journal [Citations]: Emerging Markets Review, 15, pp211–232
Abstract: Recent literature shows that the holy month of Ramadan exerts a positive influence on investor sentiment in predominantly Muslim countries. This anomaly has been found to be particularly pronounced in Turkey. We therefore examine whether mutual fund managers investing in Turkish stocks are able to benefit from the Ramadan effect. We find that risk-adjusted performance of domestic institutional funds, hybrid funds and foreign Turkish equity funds is substantially higher during Ramadan compared to the rest of the year. By contrast, domestic index funds fail to deliver higher abnormal returns as they are adversely affected by increased money inflows during Ramadan.
Studying Impact of Ramadan on Stock Exchange Index: Case of Iran
Authors [Year]: Aliakbar Ramezani, Abbasali Pouraghajan and Hossein Mardan 
Journal [Citations]: World of Sciences Journal, 1(12), pp46-54
Abstract: One of the human characteristic and features is its beliefs. Feature which has important effect on lifestyle, culture, society and decisions making – even economic decisions. Iranian as people that most of them are Muslim has Islamic beliefs. Ramadan is peak of religious beliefs in Islam development in comparison to other beliefs like economic beliefs and soon. In this research, impact of Ramadan as worship and devotion month is exami ned on stock exchange index. Results of this research showed that there is positive and significant relationship between changes of stock exchange index and Ramadan, Shawwal and Rabi Al – Awwal months. However there is negative and significant relationship between stock exchange index and Jumada II, Rabi, Muharram and Rajab months. We examine this relationship for other month and results indicate that there isn’t significant relationship for Jumada al – Awwal, Saffar, Shaban, Dhu al – Hijja and Dhu al Qaeda.
Fast profits: Investor sentiment and stock returns during Ramadan
Authors [Year]: Białkowski, Jędrzej and Ahmad Etebari and Tomasz Piotr Wisniewski 
Journal [Citations]: Journal of Banking & Finance, 36(3), pp835–845 
Abstract: Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious traditions in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989–2007. The results show that stock returns during Ramadan are significantly higher and less volatile than during the rest of the year. No discernible declines in market liquidity are recorded. We find these results consistent with a notion that Ramadan positively affects investor psychology, as it promotes feelings of solidarity and social identity among Muslims world-wide, leading to optimistic beliefs that extend to investment decisions.
The Islamic Calendar Effects: Evidence from Twelve Stock Markets
Authors [Year]: Fahad Almudhaf 
Abstract: This paper investigates the Islamic calendar seasonal anomalies in the stock returns of twelve countries where the majority of the population are Muslims. We show empirical evidence of statistically significant Islamic calendar seasonal effects in all twelve countries of our sample. We document evidence of positive and statistically significance returns in the month of Ramadan in Jordan, Kuwait, Pakistan and Turkey. Our results provide some evidence against market efficiency.
Calendar anomalies in the Gulf Cooperation Council stock markets
Authors [Year]: Rima Turk Ariss, Rasoul Rezvanian and Seyed M. Mehdian 
Journal [Citations]: Emerging Markets Review, 12(3), pp293–307
Abstract: We examine calendar anomalies in Gulf Cooperation Council (GCC) stock markets and document a Friday-type effect that occurs on the last trading day of the week and which we call “Wednesday effect”, since Wednesday is the last day before the weekend in the leading market for the region. This effect, however, is more pronounced outside the month of Ramadan. We also find a statistically significant positive December effect, contrary to the January effect documented in Western countries. The presence of such anomalies may provide money managers with opportunities to optimally time their trades based on daily and monthly price fluctuations.
The impact of religious experience on financial markets
Authors [Year]: Mohamad Al-Ississ 
Journal [Citations]: 
Abstract: In spite of the important role religion plays in peoples’ lives, its impact on financial markets is seldom researched. This study examines the effect of religious experience during the Muslim holy days of Ramadan and Ashoura on the daily returns and trading volumes of 17 Muslim financial markets. Muslim holy days are especially conducive to isolating the elusive effect of faith and decoupling it from potential contaminants. The study documents statistically significant drops in the trading volume and changes in daily stock returns associated with religious experiences on these holy days. The effect on returns is not unidirectional as Ramadan yields a positive impact on daily returns while Ashoura is associated with a negative effect. Ramadan’s more sacred days are associated with a higher magnitude effect culminating on its holiest day,Ramadan 27th. The study utilizes the heterogeneity of worship intensity within the month of Ramadan to validate that the documented effect is indeed a result of religious experience rather than non-faith aspects of the holy days.
Piety and Profits: Stock Market Anomaly During the Muslim Holy Month
Authors [Year]: Bialkowski, Jedrzej Pawel and Etebari, Ahmad and Wisniewski, Tomasz Piotr 
Journal [Citations]: Finance and Corporate Governance Conference 2010 Paper, 
Abstract: Observed by more than 1.5 billion Muslims, Ramadan is one of the most celebrated religious rituals in the world. We investigate stock returns during Ramadan for 14 predominantly Muslim countries over the years 1989-2007. The results show that stock returns during Ramadan are significantly higher and less volatile than during the rest of the year. No discernible declines in market liquidity are recorded. We find these results consistent with a notion that Ramadan positively affects investor psychology, as it promotes feelings of solidarity and social identity among Muslims world-wide, leading to optimistic beliefs that extend to investment decisions.
Seasonality in stock returns and volatility: The Ramadan effect ♠
Authors [Year]: Seyyed, Fazal J. and Abraham Abraham and Mohsen Al-Hajji 
Journal [Citations]: Research in International Business and Finance, 19(3), pp374–383 
Abstract: Calendar anomalies in stock returns are well documented. Less obvious is the existence of seasonality in return volatility associated with moving calendar events such as the Muslim holy month of Ramadan. Using a GARCH specification and data for the Saudi Arabian stock market – now the largest stock market in the Muslim world – this paper documents a systematic pattern of decline in volatility during Ramadan, implying a predictable variation in the market price of risk. An examination of trading data shows that this anomaly appears to be consistent with a decline in trading activity during Ramadan. Evidence of systematic decline in volatility during Ramadan has significant implications for pricing of securities especially option-like products and asset allocation decisions by investors in the Islamic countries.
A Seasonality in the Pakistani Equity Market: The Ramadhan Effect ♠
Authors [Year]: Fazal Husain 
Journal [Citations]: The Pakistan Development Review, 37(1), pp77-81 
Abstract: This paper attempts to explore a seasonal pattem. the Ramadhan effect, in the Pakistani equity market. Ramadhan, the holy month of fasting, is expected to affect the behaviour of stock market in Pakistan where the environment in Ramadhan is different from other months as people devote more time to perform religious rituals and the general economic activity slows down. The effects of Ramadhan on mean return and stock returns volatility are examined by including a dummy variable in regressions and GARCH models respectively. The analysis indicates a signiﬁcant decline in stock returns volatility in this month although the mean return indicates no signiﬁcant change.