Ramadan Effect: Evidence from Borsa Istanbul

Öz This study analyzes the effect of Ramadan on the market index (Borsa Istanbul-BIST 100) and 23 BISTSectoral Indices in Borsa Istanbul over the period between January 1997 and December 2015. Accordingto the analysis, the average returns of tourism, service, transportation, electricity, and chemical industriesare higher than the market index during the Ramadan period. Moreover, according to regression analysisresults, Ramadan has a statistically positive effect on 5 sectors (BIST Transportation, BIST Non-MaterialMineral Products, BIST Investment Trust, BIST Electricity, and BIST Chemicals). Also, this study dividesthe Ramadan days into 3 periods, where the first period comprises the first 10 days of Ramadan, secondperiod covers the next 10 days, and the final period involves the last 10 days. The first ten days of Ramadan,for the most of indices, has both positive and statistically significant returns.

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