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

来源：

EMERGING MARKETS REVIEW | 2013年 / 15卷

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

页码：211 / 232

页数：22

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