Journal article
(Original article)


More on Calendar Effects on Islamic Stock Markets


Publication Details
Author(s): Weber C, Nickol P
Publisher: Ghassan v. Dibeh, Ata Assaf, David Cobham, Hassan Hakimian, Clement M. Henry
Publication year: 2016
Volume: 12
Journal issue: 1
Pages range: 65–113
ISSN: 1475-3685
Language: English

Abstract

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.



How to cite
APA: Weber, C., & Nickol, P. (2016). More on Calendar Effects on Islamic Stock Markets. Review of Middle East Economics and Finance, 12(1), 65–113. https://dx.doi.org/10.1515/rmeef-2015-0039

MLA: 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.

BibTeX: Download
Share link
Last updated on 2017-11-17 at 02:21
PDF downloaded successfully