Abstract
With a psychological and behavioral perspective, this paper examines whether religious practice, through its influence on investors' moods and emotions, affect the behavior of the stock markets and investors in 15 Islamic countries over the period December 31, 2005 to December 31, 2015 and over four sub-periods (before and after both the global financial crisis and the Arab spring). The results indicate that volatility decreases during the month of Ramadan and is significantly different from the volatility observed in the other 11months of the Islamic calendar year in most Muslim countries. We also identify that changes in stock returns and volatility during the month of Ramadan are related to religious practice and not due to the global financial crisis or the Arab spring. The findings significantly improve the understanding of the role of religious practice on stock market behavior and as such may be of great interest to investors and market regulators.