The Islamic Calendar Effects: Evidence from Twelve Stock Markets

Posted: 18 Aug 2012

See all articles by Fahad Almudhaf

Fahad Almudhaf

Kuwait University - Department of Finance and Financial Institutions

Date Written: August 17, 2012

Abstract

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

Suggested Citation

Almudhaf, Fahad, The Islamic Calendar Effects: Evidence from Twelve Stock Markets (August 17, 2012). Available at SSRN: https://ssrn.com/abstract=2131202

Fahad Almudhaf (Contact Author)

Kuwait University - Department of Finance and Financial Institutions ( email )

Kuwait

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