The month of Ramadan is one the most renowned religious rituals in the world for more than 1.5 billion Muslims. This study analyzes the effect of religious experience during the Muslim holy days of Ramadan on the stock exchanges of 16 Muslim-majority countries. According to the results, among 16 countries, 13 Muslim financial markets have positive returns during Ramadan, which can be attributed to the generally positive investor mood or emotion. In contrast, only 4 stock markets—Dubai Financial Market, Amman Stock Exchange, Karachi Stock Exchange, and Tunis Stock Exchange—exhibit differences that are both positive and statistically significant. Moreover, the study divides the Muslim holy days into 3 periods, where the first period comprises the first 10 days of Ramadan, second period covers the next 10 days of the Ramadan month, and the final period involves the last 10 days. According to results, while the first 10 days witness the lowest performance, the last 10 days experience the highest performance.