Islamic Calendar Effect on Market Risk and Return Evidence from Islamic Countries

Abstract

Anomalies remain part of the market no matter it is developed or emerging one. Studies revealed that arbitragers materialize these situations and bring the markets back to efficiency. This study probed the presence of calendar anomalies in stock markets of six Islamic countries. It is empirically concluded that negative Zul-Hijjah effect presents in Malaysian stock market return and has no effect for other sample countries’ stock markets. Zul-Hijjah has negative effect on the volatility of Turkish, Morocco and Egyptian stock markets and has no effect on the volatility of other sample countries’ stock markets. Investors must consider this phenomenon while making decisions regarding investment and forming a diversified global portfolio. This field will help the investors in taking effective investment decision and for efficient resource allocation because knowledge of calendar anomalies plays a critical role to structure the optimal portfolio.