The Islamic Calendar Effects: Evidence from Twelve Stock Markets
Posted: 18 Aug 2012
Date Written: August 17, 2012
This paper investigates the Islamic calendar seasonal anomalies in the stock returns of twelve countries where the majority of the population are Muslims. We show empirical evidence of statistically significant Islamic calendar seasonal effects in all twelve countries of our sample. We document evidence of positive and statistically significance returns in the month of Ramadan in Jordan, Kuwait, Pakistan and Turkey. Our results provide some evidence against market efficiency.
Keywords: Seasonality, Calendar Anomalies, Islamic Calendar effect, Ramadan Effect
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