More on Calendar Effects on Islamic Stock Markets

Beitrag in einer Fachzeitschrift

Details zur Publikation

Autorinnen und Autoren: Weber C, Nickol P
Zeitschrift: Review of Middle East Economics and Finance
Verlag: Ghassan v. Dibeh, Ata Assaf, David Cobham, Hassan Hakimian, Clement M. Henry
Jahr der Veröffentlichung: 2016
Band: 12
Heftnummer: 1
Seitenbereich: 65–113
ISSN: 1475-3685
Sprache: Englisch


There is a long tradition in detecting anomalies of the Efficient Market Hypothesis. Among these are calendar anomalies, first described by French back in 1980. Whilst there is a plethora of studies for well-developed stock markets, there is still a lack of comprehensive studies for some small or emerging financial markets. It is particularly interesting to test not only for calendar effects in the conventional Gregorian calendar but also in other calendars like the Hijri calendar. Thus, the aim of this study is to provide a comprehensive analysis of calendar anomalies on Islamic stock markets. Firstly, we deliver a complete literature review of previous studies dealing with calendar effects on Islamic stock markets showing that there is still a lack of consensus about the effects. Secondly, we analyse whether there are any seasonal patterns in stock markets’ returns by conventional estimation techniques. Thirdly, we study whether those calendar effects are still apparent when we control for volatility clustering. In fact, there is evidence for calendar anomalies on all stock markets. However, those effects are prone to changes when different models or distributions are used. One should, therefore, be careful when interpreting calendar effects on Islamic stock markets. The evidence for theories put forward when analysing Western stock markets is – at best – mild.

FAU-Autorinnen und Autoren / FAU-Herausgeberinnen und Herausgeber

Weber, Christoph Dr.
Lehrstuhl für Volkswirtschaftslehre


International Monetary Economics
Lehrstuhl für Volkswirtschaftslehre


Weber, C., & Nickol, P. (2016). More on Calendar Effects on Islamic Stock Markets. Review of Middle East Economics and Finance, 12(1), 65–113.

Weber, Christoph, and Philipp Nickol. "More on Calendar Effects on Islamic Stock Markets." Review of Middle East Economics and Finance 12.1 (2016): 65–113.


Zuletzt aktualisiert 2018-17-10 um 12:10