Impact of the religious festivity on the Tunis Stock Exchange

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The month of Ramadan is anticipated to influence the behavior of the stock market, where the environment in Ramadan is different from other months. During the Ramadan month, transformations in the social life of people are quite apparent and significant, and the overall economic activity tends to decelerate as the number of working hours decreases. This paper aims to explore the impact of the Ramadan month on the stock market returns, volatility, and trading volume on the Tunis Stock Exchange (TSE) between September 2009 and July 2019. To achieve these objectives, the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) technique and the ordinary least squares regression are used. The results show that the impact of the Ramadan month on the daily returns is positive and statistically significant at a 1% level. It is also found that the impact of the Ramadan month on the volatility and trading volume is negative and statistically significant. The findings can help domestic and foreign investors and regulators to better comprehend the Tunisian stock exchange and investor behavior. Moreover, this research can help investors to develop their trading strategies.

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    • Table 1. Summary statistics for daily returns of the Tunindex (%), September 2009 – July 2019
    • Table 2. GARCH (1, 1) model estimation results for equations (1) and (2)
    • Table 3. OLS regression (3) estimation results
    • Conceptualization
      Olfa Chaouachi
    • Data curation
      Olfa Chaouachi
    • Formal Analysis
      Olfa Chaouachi
    • Investigation
      Olfa Chaouachi
    • Methodology
      Olfa Chaouachi
    • Project administration
      Olfa Chaouachi
    • Supervision
      Olfa Chaouachi
    • Validation
      Olfa Chaouachi
    • Visualization
      Olfa Chaouachi
    • Writing – original draft
      Olfa Chaouachi
    • Writing – review & editing
      Olfa Chaouachi