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- W71783744 abstract "Using the GARCH (generalized ARCH) specification, this paper examines the Ramadan effect for stock markets in both Islamic and non-Islamic countries in Southeast Asia for the period 1997 to 2008. Similar patterns of results were observed in these Islamic and non-Islamic countries, suggesting the penetration of the Ramadan effect in Southeast Asian stock markets. The Ramadan effect of decline in volatility is found in these stock markets, except Singapore which shows an upward trend of volatility in the holy month of Ramadan. Hence, the findings of this paper have significant implications on portfolio performance, especially asset allocation decision for the investors in Southeast Asian stock markets." @default.
- W71783744 created "2016-06-24" @default.
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- W71783744 date "2013-11-20" @default.
- W71783744 modified "2023-09-28" @default.
- W71783744 title "Seasonality in Southeast Asian Stock Markets: The Ramadan Effect" @default.
- W71783744 hasPublicationYear "2013" @default.
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