Impact of Muslim Holy Days on Asian stock markets: An empirical evidence

Ali, Irfan; Akhter, Waheed; Ashraf, Namrah

doi:10.1080/23322039.2017.1311096

Cited by 22 publications

(33 citation statements)

References 32 publications

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“…For instance, Halari et al (2015) note that business activity slows down during Ramadan in Muslim countries as people devote more time to religious activates and fasting. Recently, Ali et al (2017) This study adds to the literature by investigating whether there is an interaction between any Ramadan effect from the Islamic calendar and a January effect from the Gregorian calendar.…”

Section: Introductionmentioning

confidence: 99%

Taking advantage of Ramadan and January in Muslim countries

Halari

Helliar

Power

et al. 2019

The Quarterly Review of Economics and Finance

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Studies have shown that religious beliefs and practice play an important role in influencing share price behaviour. Evidence of a Ramadan effect has been documented in Muslim countries suggesting an increase in mean returns as well as a reduction in volatility during the ninth month of the Islamic calendar. In addition to the Ramadan effect, studies have also documented a January effect in Muslim countries. The current study investigates what happens when the Ramadan effect and the January effect occur at the same time. Controlling for the effects of financial crises and time-varying volatility in returns, the results for individual company data from four countries with sizeable Muslim populations indicate higher returns and lower volatility when these two effects overlap, except in one, arguably more Western country, Turkey.

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Section: Introductionmentioning

confidence: 99%

Taking advantage of Ramadan and January in Muslim countries

Halari

Helliar

Power

et al. 2019

The Quarterly Review of Economics and Finance

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“…Previous studies indicate that investors are in luenced by the emotions and sentiments therefore their investment decisions are directed by their moods resulting in irrational investing. Besides, the evidence on existence of other calendar anomalies such as month of the year effect (Norvaisiene et al, 2015;Seif et al, 2017), holiday (Seif et al, 2017), holy day effect (Al-Ississ, 2015;Ali et al, 2017;Frieder and Subrahmanyam, 2004;Oğuzsoy and Güven, 2004) is also documented in previous research. However, the current study has reviewed three most central types of calendar effects and future review studies may include other calendar anomalies along with January, Monday and Islamic Calendar anomalies.…”

Section: Conclusion and Future Research Directionsmentioning

confidence: 52%

Calendar anomalies: Review of literature

2017

J. adv. humanit. soc. sci.

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KeywordsEf icient market hypothesis January anomaly Monday anomaly Islamic calendar months effect Abstract. A wide range of studies in economics and inance literature have addressed the issue of abnormal behaviour in equity returns during certain calendar dates. These abnormal equity returns behaviours are known as calendar anomalies which are in direct opposition to the ef icient market hypothesis. The existence of calendar anomalies does not conform to the assumptions of market ef iciency, therefore, implying that equity returns can be predicted relying on the calendar dates. The objective of current study is to review the prior studies regarding the calendar anomalies. For this purpose, the current study has adopted the review methodology and identi ied the most important studies in this area. Furthermore, the indings of these studies have been reviewed and summarized. By reviewing the previous studies, the current study has noted the growing inclination of recent studies towards the examination of these anomalies. Also, prevalence of these anomalies is documented in recent studies. The current study is the among irst of those studies which have provided a comprehensive review of the previous studies conducted on the calendar anomalies. These summarized reviews of indings of previous research may help future research studies to hold a basic understanding regarding the existence of calendar anomalies in the world equity markets.

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“…The liquidity constraints become more pregnant before a festivity period [1,38,64]. The holidays that usually occur near religious events influence the investors risk aversion [10,17,53,59,42,46,50,57]. The refrain from consuming food and drinks, prescribed by some religions during the fasting, could influence the investors' mood by changing their metabolism [17,66].…”

Section: Introductionmentioning

confidence: 99%

The Behavior of Stock Prices During Lent and Advent

Dumitriu

Ştefanescu

2017

SSRN Journal

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The religious practices generate some important calendar effects on the stock markets evolutions. This paper explores the impact on stock markets of two periods from the Catholic Church Calendar, Advent and Lent, for the period January 2009-May 2017. We employ as data the closing daily values of stock exchanges indexes from five countries where the main religion is the Roman Catholicism: Argentina, Brazil, Chile, Hungary and Mexico. The sample of data used in the investigation is divided in two sub-samples: the first, from January 2009 to December 2012, covers a period when international stock market recovered after the 2007-2008 crisis, while the second sub-sample, from January 2013 to May 2017, corresponds, at a global scale, to a relative normal period. We employ GARCH models to reveal the impact of the Advent and Lent on the prices returns and volatility. For the first sub-sample we found no effect on returns but a decline in volatility during Advent for all the five indexes and during Lent only for the stock market from Brazil. For the second sub-sample the results indicate a decline in returns during Advent, for the stock markets from Argentina and Chile, but no impact on volatility. Such results could be explained by the circumstances specific to the religious practices but also by the inference of other calendar effects.

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Impact of Muslim Holy Days on Asian stock markets: An empirical evidence

Cited by 22 publications

References 32 publications

Taking advantage of Ramadan and January in Muslim countries

Taking advantage of Ramadan and January in Muslim countries

Calendar anomalies: Review of literature

The Behavior of Stock Prices During Lent and Advent

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