Is there a Ramadhan effect on Sharia mutual funds? Evidence from Indonesia and Malaysia

Rofikoh Rokhim, Irma Octaviani

Research output: Contribution to journalArticlepeer-review


Purpose: This paper aims to examine whether Sharia mutual fund managers are able to gain abnormal returns from what is called the Ramadhan effect. Design/methodology/approach: The authors use GARCH regression on daily data of domestic Sharia mutual fund performance in Indonesia and Malaysia over the period of 2007-2017. Findings: The authors find that the Ramadhan effect is not a strong predictor of Sharia fund excess return in Indonesia and Malaysia, and they identify a positive Ramadhan abnormal return on the Malaysia Sharia Equity Fund. This result shows there is size effect on sharia fund excess return in Indonesia and value effect on Sharia Balanced Fund in both markets. It is suggested that the effect of market excess return in Indonesia is stronger than in Malaysia. Research limitations/implications: The samples are limited to Sharia Funds over the period 2007-2017. Practical implications: The authors suggest that size and value effect could be considered to develop the selection and timing strategies to explore the Ramadhan effect. Originality/value: This study focuses on Indonesia and Malaysia, the two largest Islamic Stock Markets in Southeast Asia and examines specific on Sharia Mutual Fund (equity and balanced fund). It also compares differences in total performance measures between the Ramadhan period and non-Ramadhan period.

Original languageEnglish
Pages (from-to)135-146
Number of pages12
JournalInternational Journal of Islamic and Middle Eastern Finance and Management
Issue number1
Publication statusPublished - 27 Nov 2019


  • Abnormal return
  • Anomaly
  • Investor sentiment
  • Ramadhan effect
  • Sharia mutual fund


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