The Analysis of the Impact of the Holy Month of Ramadan on Risk Indicators in Pharmaceutical Companies Listed on Tehran Stock Exchange
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

The Analysis of the Impact of the Holy Month of Ramadan on Risk Indicators in Pharmaceutical Companies Listed on Tehran Stock Exchange

Document Type : Original Article

Authors
Abdollah Noori 1
Ataalah Mohammadi Molgharni 2
Iraj Noravesh 3
1 PhD. Candidate of accounting, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran
2 Assistant Professor of Accounting Department, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran
3 Professor, Sanandaj Branch, Islamic Azad University, Sanandaj, Iran.
10.22034/jse.2021.11623.1727
Abstract
The aim of this study is to investigate the calendar effect of the holy month of Ramadan on market risk indicators in Pharmaceutical companies listed on Tehran Stock Exchange. To achieve the purpose of the research, the data of 17 Companies in the period of 2010-2019 were analyzed. The present study is considered as applied in terms of purpose and correlation in terms of descriptive method. Multivariate regression model and combined data were used to investigate the relationship between variables. The findings of this study showed that there is a positive and significant relationship between the effect of the holy month of Ramadan and the coefficient of variable risk. The results also showed that there is no significant relationship between the holy month of Ramadan and the semi-variance risk index, liquidity risk and non-systematic risk. According to the results of the study, it can be said that investors believing in Islam who fast this month, by reducing their investment operations, participate less in trading transactions, so their investment risk is reduced. In other words, during Ramadan, the number of transactions in the financial markets decreases since Muslims’ economic activities and speculation slow down. The present study tries to fill the gap on the relationship between the calendar effect of the holy month of Ramadan on the risks in the Iranian stock market by using and combining the existing literature and the new research method.
Keywords
calendar effect
month of Ramadan
risk Indicators
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Quarterly Journal of Securities Exchange
Volume 15, Issue 58
Summer 2022
Pages 181-200