Ramadan and Sectoral Herding: Evidence from the Qatar Stock Exchange

This study investigates whether Ramadan's positive social mood intensifies herding behavior on the Qatar Stock Exchange (QSE). Using daily data from 2016 to 2026 for all 54 listed companies across seven sectors, we employ the Cross-Sectional Absolute Deviation (CSAD) model augmented with a Ramadan dummy and disaggregate by sector and market condition. Our results reveal strong herding during Ramadan across all sectors, with intensity substantially exceeding non-Ramadan periods. This pattern persists under both bullish and bearish conditions. Sectoral heterogeneity is pronounced: Telecoms and Real Estate exhibit the strongest herding (α₃ = -0.4123 and -0.3892), while Consumer Goods shows the weakest (α₃ = -0.2184). Outside Ramadan, herding is largely absent. Comparative return analysis reveals Ramadan yields approximately eight times higher average daily returns (0.1732% vs. 0.0214%) with 20.1% lower volatility, resulting in a tenfold Sharpe ratio improvement (0.0354 vs. 0.0035). Ramadan returns exceeded non-Ramadan returns in 9 out of 11 years (82%), with statistical significance confirmed (p < 0.05; Cohen's d = 0.28). This is the first study to provide sector-level evidence of Ramadan-induced herding, revealing sectors' differential susceptibility to religious sentiment and challenging the notion that Islamic principles uniformly moderate behavioral biases. We reconcile contradictory GCC herding evidence by demonstrating Ramadan acts as a structural break overriding market-condition effects. Findings have important implications for asset managers calibrating Ramadan portfolio allocation, regulators monitoring systemic risk, and investors designing seasonal trading strategies.