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Quantifying the impact of Ramadan on global raw sugar prices

Quantifying the impact of Ramadan on global raw sugar prices The purpose of this study is to quantify the impact of Ramadan on both the level and the growth of global raw sugar price.Design/methodology/approachThe study uses a dummy and a fractional variable to capture Ramadan to overcome the asynchronicity of time between Ramadan fasting (which is based on the Islamic lunar calendar) and the movement in prices (which follows the Gregorian solar calendar). To capture the seasonality of sugar production, the data on sugar price span 34 years so that the Islamic calendar makes a complete cycle of the Gregorian calendar. The empirical model is estimated using both autoregressive integrated moving average model and unobserved components model.FindingsThe results show that monthly raw sugar prices in the global market increases by roughly 6.06 per cent (or $17.78 per metric ton) every year ahead of Ramadan.Practical implicationsThe study illustrates the implications of the results for the consumption of imported sugar in Bangladesh.Originality/valueThe study uses a broader set of Ramadan indicators in its empirical models and checks the robustness of its baseline model using the unobserved components model. It also performs seasonal unit root tests on the global raw sugar prices. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Islamic and Middle Eastern Finance and Management Emerald Publishing

Quantifying the impact of Ramadan on global raw sugar prices

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Publisher
Emerald Publishing
Copyright
© Emerald Publishing Limited
ISSN
1753-8394
DOI
10.1108/imefm-05-2017-0132
Publisher site
See Article on Publisher Site

Abstract

The purpose of this study is to quantify the impact of Ramadan on both the level and the growth of global raw sugar price.Design/methodology/approachThe study uses a dummy and a fractional variable to capture Ramadan to overcome the asynchronicity of time between Ramadan fasting (which is based on the Islamic lunar calendar) and the movement in prices (which follows the Gregorian solar calendar). To capture the seasonality of sugar production, the data on sugar price span 34 years so that the Islamic calendar makes a complete cycle of the Gregorian calendar. The empirical model is estimated using both autoregressive integrated moving average model and unobserved components model.FindingsThe results show that monthly raw sugar prices in the global market increases by roughly 6.06 per cent (or $17.78 per metric ton) every year ahead of Ramadan.Practical implicationsThe study illustrates the implications of the results for the consumption of imported sugar in Bangladesh.Originality/valueThe study uses a broader set of Ramadan indicators in its empirical models and checks the robustness of its baseline model using the unobserved components model. It also performs seasonal unit root tests on the global raw sugar prices.

Journal

International Journal of Islamic and Middle Eastern Finance and Management – Emerald Publishing

Published: Sep 26, 2018

Keywords: Ramadan; ARIMA; Raw sugar price; Unobserved components model; C22; Q02; Z12

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