Ashraf S. Hijazi

The main purpose of the current study is to examine the impact of Ramadan month on stock returns at the Palestine Exchange (PEX). The study sample consists of all Palestinian public shareholding companies listed in the PEX. The comparison period used in this study consists of 30 days before Ramadan month, 30 days after Ramadan month, and Ramadan month (30 days). This gives a total of 90 days in a year for ten years (2006–2016). The GJR-GARCH technique is used. The results of the study show that Ramadan month has a remarkable effect on the stock returns of the companies in the PEX. The results indicate a significant impact on earnings per share (EPS) in the PEX. Furthermore, there is a positive relationship between the stock returns and the market value in Ramadan month. The profits are increased in the industrial and investment companies due to the high demands in Ramadan month. Therefore, the companies should work to keep a steady performance in the whole year. Besides, the capacity of industrial and investment companies should be increased to meet the high demand in Ramadan month. This study will help Palestinian investors to effectively time their trading. This study is considered one of the pioneering studies that discuss the impact of Ramadan month on the stock returns in the context of Palestine Stock Exchange.