Ramadan and Sectoral Herding: Evidence from the Qatar Stock Exchange

This study examines whether cross-sectional return-dispersion patterns on the Qatar Stock Exchange (QSE) differ during Ramadan and whether those patterns vary across sectors and market conditions. Using daily stock-price data from 2016 through 30 July 2026 and the Cross-Sectional Absolute Deviation (CSAD) framework, we estimate Ramadan-interacted sector models with point-in-time constituent sets and Newey–West heteroskedasticity- and autocorrelation-consistent inference. The point-in-time-estimation does not support the earlier claim of uniform Ramadan herding across all seven sectors. After Benjamini–Hochberg false-discovery-rate adjustment, none of the negative Ramadan quadratic coefficients are significant at the 5% level; statistically significant positive coefficients in Consumer Goods & Services and Insurance indicate greater, rather than lower, dispersion and therefore do not constitute herding. Results are also sensitive to subperiod, dispersion measure, and sector size, while the Ramadan coefficient in a QSE-index return regression is negative and statistically insignificant. Accordingly, the study documents specification-sensitive Ramadan-associated dispersion patterns rather than a universal herding effect or a causal sentiment mechanism. The findings also highlight the inferential limitations created by very small sector cross-sections, particularly Telecoms, Transportation, and Real Estate.