Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey

被引:42
作者
Bialkowski, Jedrzej [1 ]
Bohl, Martin T. [2 ]
Kaufmann, Philipp [2 ]
Wisniewski, Tomasz P. [3 ]
机构
[1] Univ Canterbury, Coll Business & Law, Dept Econ & Finance, Christchurch 8140, New Zealand
[2] Univ Munster, Dept Econ, Stadtgraben 9, D-48143 Munster, Germany
[3] Univ Leicester, Sch Management, Leicester LE1 7RH, Leics, England
关键词
Mutual fund performance; Ramadan effect; Calendar anomaly; Investor sentiment; Behavioral finance; Emerging markets; STOCK RETURNS; TIMING PERFORMANCE; INVESTOR SENTIMENT; MARKET; PERSISTENCE; VOLATILITY; MOMENTUM; ABILITY; RISK;
D O I
10.1016/j.ememar.2013.02.003
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码:211 / 232
页数:22
相关论文
共 50 条
  • [31] RETURN CALCULATION METHODOLOGY: EVIDENCE FROM THE HUNGARIAN MUTUAL FUND INDUSTRY
    Erdos, P.
    Ormos, M.
    ACTA OECONOMICA, 2009, 59 (04) : 391 - 409
  • [32] How do corporate bond investors measure performance? Evidence from mutual fund flows
    Dang, Thuy Duong
    Hollstein, Fabian
    Prokopczuk, Marcel
    JOURNAL OF BANKING & FINANCE, 2022, 142
  • [33] Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds
    Abinzano, Isabel
    Muga, Luis
    Santamaria, Rafael
    JOURNAL OF FINANCIAL SERVICES RESEARCH, 2010, 38 (01) : 41 - 67
  • [34] Herding in the mutual fund industry: evidence from Chile
    Lavin, Jaime F.
    Magner, Nicolas S.
    ACADEMIA-REVISTA LATINOAMERICANA DE ADMINISTRACION, 2014, 27 (01): : 10 - 29
  • [35] Can mutual fund investors benefit from volatility managing? Evidence from China
    Zhang, Xili
    Zheng, Yiran
    Lien, Donald
    Yu, Xiaojian
    PACIFIC-BASIN FINANCE JOURNAL, 2024, 83
  • [36] When is money likely to be smart? Evidence from mutual fund investors in Taiwan
    Peng, C-L
    Chen, M-L
    Shyu, S-D
    Wei, A-P
    INVESTMENT ANALYSTS JOURNAL, 2011, (73) : 13 - 25
  • [37] Mutual fund performance in changing economic conditions: Evidence from an emerging economy
    Agarwal, Pankaj K.
    Pradhan, H. K.
    COGENT ECONOMICS & FINANCE, 2019, 7 (01):
  • [38] Can mutual fund characteristics predict future performance? Evidence from Portugal
    Sa, Maria Ines
    Leite, Paulo
    Correia, Maria Carmo
    STUDIES IN ECONOMICS AND FINANCE, 2024, 41 (05) : 1106 - 1118
  • [39] On the international transmission of shocks: Micro-evidence from mutual fund portfolios
    Raddatz, Claudio
    Schmulder, Sergio L.
    JOURNAL OF INTERNATIONAL ECONOMICS, 2012, 88 (02) : 357 - 374
  • [40] Framing and the disposition effect: evidence from mutual fund investor redemption behaviour
    Niehaus, Greg
    Shrider, David
    QUANTITATIVE FINANCE, 2014, 14 (04) : 683 - 697