Estudio pedagógico sobre el efecto del mes sagrado de Ramadán en el

volumen de operaciones y los rendimientos anormales

en el mercado de capitales iraní

Pedagogical study on the effect of the holy month of Ramadan on the volume of

operations and abnormal returns in the Iranian capital market

Abdollah Noori

1

, Atallah Mohammadi Molgharni

2a

, Iraj Noravesh

3

Recibido: 16 de abril de 2020 Aceptado: 12 de octubre de 2020

Resumen

El objetivo de este estudio fue evaluar el efecto calendario del mes sagrado de Ramadán sobre el

volumen de operaciones y los rendimientos anormales en el mercado de capitales iraní durante los

años 2009 a 2019 durante 10 años en la bolsa de valores. El presente estudio se considera aplicado

en términos de propósito y correlación en términos de método descriptivo. Además, se utilizó el

modelo de panel de datos para investigar la relación entre las variables. De acuerdo con los

resultados, la variable coeficiente del efecto del mes sagrado de Ramadán sobre el volumen de

negociación tiene un nivel significativo de 0.441, por lo tanto, considerando que este valor es

mayor que el nivel alfa de la investigación, que es igual a 0.05, por lo tanto, no se rechaza esta

en Irán, se rechaza.

Palabras clave: Mercado de capitales, economía, bolsa, Ramadán, religión iraní

a

Correspondencia al autor:

E-mail: Ataata.mm68@yahoo.com

Apuntes Universitarios,

for 10 years in the stock exchange. The present study is considered as applied in terms of purpose

and correlation in terms of descriptive method. Also, the data panel model was used to investigate

the relationship between the variables. According to the results, the variable coefficient of the

effect of the holy month of Ramadan on the trading volume has a significant level of 0.441,

therefore, considering that this value is greater than the alpha level of the research, which is equal

to 0.05, therefore, this hypothesis (zero) that the variable of the effect of Ramadan is not effective

on the variable of trading volume, is not rejected. Therefore, the effect of the calendar of the holy

month on the volume of transactions is not significant. Also, variable coefficient of the effect of

Ramadan and the share return has a significant level of 0.000, so considering that this value is

smaller than the alpha level of the research, which is equal to 0.05, therefore, this hypothesis (zero)

The holy month of Ramadan has a great deal of respect among all Muslims. Ramadan is

the month of fasting so, eating and drinking during the day is haram. Restaurants are closed during

the day, and not only do people avoid sin and disobedience, but also avoid some common economic

activities (Sinai and Mohammadi, 2012). So, most likely, the spiritual atmosphere of this month

can reduce investors' use of confidential information in stock trading and reducing its negative

consequences. Trading volume is the number of stocks or securities bought and sold in a specific

period (Mohammadi, 2016). And to measure the volume of stock exchange transactions in each

country, the number of trades made at the end of each day is used, which is expressed by the stock

exchange organization of each country (Bialkowski et al., 2009).

The base volume, together with the percentage of allowable price fluctuations per day

activists, etc. (Fazel et al., 2005). The reduction of working hours during Ramadan causes

economic activity, in general, to decrease to some extent during this month. The trading hours on

the stock exchange decreases in most Islamic countries during the holy month of Ramadan. Some

investors believe that returns during Ramadan are relatively lower than other lunar months

(Bialkowski et al, 2009).

Many studies have identified calendar effects on the returns of various stock exchanges

around the world, including the effect of January and other months, the effects of holidays, and the

effect of a particular day of the week. These effects called calendar anomaly. Many studies have

been done on calendar effects in different stock exchanges of the world, but fewer studies have

been done in this field in Iran. However, the existence of some features such as the month of

Muharram and the month of Ramadan, which are of special importance and respect among

Muslims, necessitates such studies. Given the importance of trading volume and abnormal returns

trading volume and abnormal returns of the capital market in Iran. In other words, the main

question of the present study is whether the effect of the holy month of Ramadan on trading volume

According to Monday's effect, the stock price is significantly higher than other days of the week,

and according to January's effect, the stock price is more than the other months of the year in the

first month of January. The lunar calendar of Islamic countries based on Islamic months determines

the holidays and special religious ceremonies during the year. Although most Islamic countries

use the Gregorian calendar for transactions and working days, the effect of lunar months and days

on it, is not ineffective (platonic and Sohrabi, 2015). Each effect of the calendar and none calendar

affected differently according to the type of country and economic system governing it

(Mohammadi, etc. 2016).

By examining financial markets, especially the stock market, it can be seen that traders are

always looking for channels or gaps to increase their profits. Examining the fluctuations of the

different days. So, it can be said that these changes are not the same on the first days of the week

and the weekend. By observing the historical trend of securities returns or trading volume in

specific periods, it is possible to determine the significance of such a pattern for shareholders'

decisions or to adjust for index fluctuations. In some researches or scientific studies, the existence

or absence of seasonal and calendar patterns such as the end of the year effect, the effect of days

of the week, and such like, have been studied at a low level of efficiency (Abdolrahimian and

Jamalpur, 2018).

Research shows that this effect has been proven in other advanced markets besides the

United States, such as the United Kingdom, France, Canada, Australia, and Japan. The impact of

weekdays on stock returns in emerging markets such as Malaysia and Hong Kong have also been

of the stock market with the most negative returns which on Friday, the last trading day of the

stock market showed significant positive returns. In some countries, such as Japan, France,

rejection. According to the efficient-market hypothesis, stock prices in an efficient market always

change randomly due to the stock price response to information that is randomly published and

offered overtime. Now, if time itself is a factor in changing stock prices; In a way that during a

certain period, in addition to the provided information (randomly), time also affects the change of

stock prices and changes the nature of random market behavior, such patterns undermine the

efficient market hypothesis and takes shape in an irregularity. These effects are called calendar

effects or calendar anomaly.

Usually, in the first and the last year of the executive period of a government (president),

financial markets experience unusual higher returns than in other years. Therefore, by planning,

investors adjust their buying and selling time in a timely manner. Lack of stabilization of a

government's economic policies in its first year of operation and ambiguity in the executive system

of the future government in the last year of a government causes the volatility of financial markets

to increase and adjusted returns with a higher risk than other years (Sinaei and Mohammadi, 2012).

relationship between the total market index and trading volume. In the months of Muharram, Safar

and Rajab, there is a negative relationship and also the volume of transactions in the months of

Muharram, Safar, Rabi al-Awal, and Ramadan has a negative relationship and the rest of the lunar

months correlates with the volume of transactions. Salehifar et al. (2017) investigated the effect of

The findings show that although some positive and negative relationships are seen in the

efficiency and risk of several joint venture funds, it cannot be attributed to all mutual funds as a

of Ramadan on the possibility of using confidential information in stock transactions between 2008

of using confidential information for stock trading in Muharram is significantly lower than in other

However, the possibility of using confidential information during the holy month of

(2012) in a study entitled "Analysis of the effect of the holy month of Ramadan on the Tehran

Abnormal return is a term used to describe the return on securities over a period of time

that differs from the expected rate of return. In fact, abnormal return is the return that results from

the difference between the actual return and the expected return (Tong and Zhang, 2015). To

calculate the abnormal return on stocks, first, the expected return on the stock is estimated using

the market model and then the expected return is compared with the actual return to obtain an

abnormal return (Mohammadi, 2016).

Trading volume is the number of stocks or securities bought and sold in a specific period

of time (Mohammadi, 2016). To measure the volume of stock exchange transactions in each

country, the number of trades made at the end of each day is used, which is expressed by the stock

Methodology

The present study will be conducted in the framework of deductive-inductive reasoning. It

includes the following: The financial information required to extract the data should be available;

the companies under review should not change the fiscal year in the period under review; in the

surveyed companies, there should not be any long trading interval for their shares. The data

required to calculate the variables related to the stock market were extracted in the first stage using

stock software (mainly new revenue and prudence). Then, the general and final figures of this data

are matched with the information in the stock exchange trading system.

In the present study, to investigate the effect of the holy month of Ramadan on trading

volume and abnormal stock returns in the Iranian capital market, the following proposed model,

presented by Acharia and Pederson (2018), will be used:

The dependent variables:

data symmetry). Therefore, the data can be considered normal by referring to this issue and also

the central limit theorem that in large size societies the distribution of data can be considered

normal, so the distribution of data can be considered normal.

In the table below, this level test is performed for all variables and we see that all variables

in terms of the mentioned test have a level of stabilization. Therefore, in the case of using panel

data, the license for using level data is approved.

Table 2

To analyze the research hypotheses, we first use the F-Limer test to choose between data

regression (combined) and regression with fixed effects methods. In estimating the data panel

model, we are faced with two general situations. The first case is that the width of the origin is the

same for all sections, in which case we are faced with a pool data model. The second case is the

width of the origin for all different sections, which is called panel data. A test called F-Limer is

used to identify the two above conditions. So, if the significance level of the f test is less than 0.05,

we use the data panel model and if it is greater than 0.05, we use the pool data model. Now,

according to the models related to the hypotheses, the results of the F-Limer test for them are given

in the table below.