Examining the Effect of Ramazan and Muharram on the Risk and Return of Mutual Funds in Iran Capital Market

Document Type : Research Paper

Authors

1 Assistant Prof., Faculty of Social Sciences and Economic, Alzahra University, Tehran, Iran

2 Ph.D. Candidate in Finance, Faculty of Management and Economics, Science and Research Branch Islamic Azad University, Tehran, Iran

3 Ph.D. Candidate in Finance, Yazd University, Yazd, Iran

Abstract

Risk and return of active mutual funds in Iran capital market. We apply multiple regression analysis, correlogram tests and GARCH model between 2008 – 2014 years to test the data. Findings show that there are some positive and negative relationships in return and risk of some mutual funds, however it is not generalized to all mutual funds as a regularity or behavior. In other words, there is no irrational trend in mutual funds’ risk and return. According to the results, there is no irrational return which has significant effect on all mutual funds in the sample of this study. Therefore, the public opinion including a decrease in return of mutual funds during Ramazan and Muharram months is invalid.

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Financial Research Journal
Volume 19, Issue 2
2017
Pages 217-238

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