آیا مدیران صندوق های متقابل از ناهنجاری ماه مبارک رمضان بهره برداری می کنند ؟ مدارک و شواهد از ترکیه

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.

Portfolio managers of actively managed mutual funds are expected to use their expert knowledge and skills to identify wealth-enhancing investment opportunities. In order to fully justify their remuneration packages, they should strive to find mispriced securities, successfully time the market and uncover any existing market anomalies. The overarching objective of this paper is to examine whether they are indeed able to achieve such ambitious goals in practice. More specifically, we consider the behavior of Turkish mutual funds in relation to the Ramadan stock market seasonality. Astute managers should have been able to spot the market inefficiency arising during the ninth month of the Islamic lunar calendar and to design trading strategies capable of exploiting it. In doing so, they would have arbitraged away this seasonal effect and made the market more efficient. The existence of the Ramadan effect is well-documented in the extant literature. By considering a large sample of predominantly Muslim countries, Białkowski et al., 2009 and Białkowski et al., 2012 show that stock returns are significantly higher during the Muslim holy month and the subsequent Eid al-Fitr festival. At the same time, stock investments exhibit less risk, as the volatility of returns is significantly reduced (see also Seyyed et al., 2005). These results have been further confirmed in a recent study of Middle East stock markets conducted by Al-Hajieh et al. (2011). Rationalizations offered for the existence of the seasonality have been essentially behavioral in nature. The collective experience of Ramadan has the potential to affect the mood of its observers, to enhance their sense of belonging and to promote solidarity in the Muslim world (Al-Hajieh et al., 2011, Białkowski et al., 2009, Białkowski et al., 2012 and Odabaşi and Argan, 2009). Not only do religious convictions affect the psychology of the public, but they may also have ramifications for tangible economic outcomes. Baele et al. (2012), for instance, report that default rates on Islamic loans in Pakistan are only half of those on conventional loans. Interestingly, the authors document that defaults on Shariah-compliant loans are less likely to occur during Ramadan. In their ethnographic study, Sandikci and Omeraki (2007) reflect on the increasing commercialization of the holy month in Turkey. By drawing parallels to Christmas, they note that consumption patterns and marketing communications are noticeably altered during Ramadan. In a similar vein, Odabaşi and Argan (2009) argue that Ramadan has a deep social, cultural and economic impact on the daily life of Muslims in Turkish society. They emphasize that Ramadan has changed from a religious ritual to a holiday marked by feelings of nostalgia, a strong sense of communality and significantly higher consumer spending. We therefore expect the holy month of Ramadan to have a pervasive effect on the decision-making of Muslims, who constitute 99.8% of the Turkish population (CIA World Factbook, 2011). As Turkey is usually seen as a collectivistic country (Ayçiçegi-Dinn and Caldwell-Harris, 2011 and Chui et al., 2010), we assume that Turkish investors are more consensus-oriented and inclined to carefully consider the opinions of their peers rather than relying solely on their own private information. Cultural collectivism generally strengthens social interdependence and thus plays a crucial role in further enhancing the upbeat sentiment during Ramadan. This paper contributes to the existing literature by being the first to examine the response of mutual funds to the occurrence of the Muslim holy month.4 While previous research has merely documented the existence of the Ramadan anomaly for a number of Middle East stock markets, our study goes one step further and investigates whether mutual funds investing in Turkey are able to benefit from this seasonality. We chose Turkey as our sample country for several reasons. First, Turkey has the second largest stock market in the Middle East region after the Tadawul in Saudi Arabia ( Federation of Euro-Asian Stock Exchanges, 2010 and World Federation of Exchanges, 2010) and exhibits a particularly pronounced market upturn during Ramadan ( Al-Hajieh et al., 2011, Białkowski et al., 2009 and Białkowski et al., 2012). With reference to the Istanbul Stock Exchange, Oğuzsoy and Güven (2004) also report strikingly high returns prior to religious holidays, such as Eid al-Fitr. Second, the literature on Turkish mutual fund performance, especially with respect to risk-adjusted timing ability, is still relatively scarce, even though the first mutual fund was launched as early as 1987. Interestingly, the domestic mutual fund sector gained considerable momentum at the beginning of the 2000s and still has untapped growth potential in the coming decades. Third, due to the country's close ties with Europe and the Middle East, many Western European institutional investors focus on Turkey to gain access to the MENA capital markets and to benefit from the international portfolio diversification generally offered by emerging market countries. While there have been restrictions on foreign equity ownership in a number of Muslim countries, the Turkish securities market was extensively liberalized and fully opened to foreign investment in 1989. Last, the choice of Turkey is also motivated by data availability. Unfortunately, most commercial data vendors only provide mutual fund data for Muslim countries at a monthly frequency, whereas survivorship-bias free daily mutual fund data are available from the Turkish regulatory authorities. Daily frequency is essential when analyzing a moving calendar anomaly, such as the Ramadan effect. Our results indicate that many of the actively managed funds tended to increase their equity exposure around the time of Ramadan and the Eid al-Fitr festival. The risk-adjusted performance of mutual funds, in particular domestic institutional funds, larger domestic hybrid funds and foreign Turkish equity funds, was substantially enhanced during Ramadan for the time period between 2000 and 2011. Domestic index funds were the exception to this rule as they experienced a significant increase in fund flows from investors, who presumably wanted to participate in the stock market rally. The index funds, however, were rather slow to convert the cash inflows into stock holdings, which proved detrimental to their timing performance. Nevertheless, index funds still managed to earn the highest average raw return of all domestic fund groups during Ramadan as they maintained the highest equity exposure. Besides, the risk-return profile of Turkish mutual funds noticeably improved during Ramadan, as fund returns tended to be less volatile compared to the rest of the year. Investors' apparent increasing awareness of the Ramadan anomaly in Turkey is consistent with our findings of higher stock market turnover during this period and a positive but weakening return effect over time. However, the economically still relevant rise in stock prices, along with a significant drop in return volatility in recent years, continues to be a conspicuous phenomenon. The fact that the Ramadan anomaly has persisted in the data for a prolonged period of time is a testament to the power of investors' emotions and an indictment of the efficient market hypothesis. However, as market participants become increasingly aware of the existence of an anomaly, their actions change to reflect this awareness. Some anomalies can be substantially attenuated and may even vanish when they become publicly known (Schwert, 2003). This process of learning on the part of investors attests to the fact that they are not completely irrational. The remainder of the paper is organized as follows. Section 2 elaborates on the data sources and characteristics of the time series. Section 3 outlines the methodological approaches used in the study. We present our empirical results and their interpretation in Section 4. The paper ends with concluding remarks and reflections in Section 5.

Intriguing results reported in recent literature show that the holy month of Ramadan has a strong impact on stock market returns and their volatility, particularly in countries where Muslims constitute a significant fraction of society. Ramadan is not only a religious month marked by fasting, prayer and self-reflection, but also a time in which obedient Muslims should seek to improve their human relationships. The Feast of Ramadan celebrated at the end of the fasting period further strengthens family ties and promotes feelings of solidarity and social identity. The positive psychological effects that these religious rituals have on the general public lead to optimistic beliefs as well as improved investor sentiment. Consistent with this notion, we confirm the results of previous studies and document higher returns during Ramadan for the Istanbul Stock Exchange, which is the second largest stock market in the Middle East in terms of market capitalization after the Tadawul in Saudi Arabia. However, the effect has gradually decreased over recent years, reflecting both investors' awareness of the anomaly and an increasing integration of the Turkish stock market into the global financial landscape. In terms of volatility, the impact of Ramadan has reversed over time from a heightening to a dampening influence on stock price fluctuations. As prior research shows that the Ramadan effect has been particularly evident in Turkey, we investigate whether mutual fund managers investing in the Istanbul stock market are able to benefit from the calendar anomaly. Our main findings suggest that fund managers and investors alike have discovered the profit opportunities during Ramadan and the days subsequent to the month of fasting. First, we show that domestic institutional funds and larger domestic hybrid funds earn positive and significant risk-adjusted returns during Ramadan over the 2000 to 2011 period, while their risk-adjusted performance throughout the rest of the year is insignificant. For other domestic fund groups the abnormal returns are less pronounced, albeit economically relevant. However, it remains a subject for future research whether all mutual fund managers engage in deliberate market timing and do not just follow the herd during the Ramadan market rally. On the one hand, we can rule out the possibility that mutual funds simply earn higher abnormal returns during Ramadan because they pursue a momentum strategy. We control for this effect by using the Carhart (1997) four-factor model and allowing for differing factor exposures during Ramadan and the non-Ramadan period. Our results even indicate that domestic fund managers tend to follow a moderate contrarian strategy. On the other hand, the positive abnormal performance could be the result of overweighting certain sectors compared to the aggregate market portfolio. Some sectors might be more positively affected by Ramadan than others. If a fund manager assigns a higher portfolio weight to these more promising sectors than they actually possess in the market, the sector allocation will contribute positively to the mutual fund's alpha. Note that such an investment decision is also attributed to the fund manager's selection ability. Foreign equity funds investing in the Turkish stock market also deliver risk-adjusted returns during Ramadan that are more than three times larger than during the other months. This result suggests that euro-based investors can benefit from the anomaly by buying fund shares in advance of the Muslim holy month, or alternatively, by delaying already planned sales until after the Feast of Ramadan. Surprisingly, domestic index funds constitute the only fund group that yields negative risk-adjusted returns during the Muslim holy month. The reason for this seemingly inferior performance lies primarily in increased money inflows. Apparently, individual investors try to jump on the bandwagon through purchasing passive index funds, which exhibit the highest equity exposure and are thus more likely to benefit from the Ramadan anomaly. These speculative attempts are not entirely in vain since index funds earn the largest average raw returns of all domestic mutual fund groups during Ramadan. However, local index fund managers seem to have difficulty in converting the new cash inflows into profitable investments in a timely manner.