Islamic calendar anomalies: Evidence from Pakistani firm-level data

Abstract

Most prior research has tested for monthly regularities based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures. This paper examines Islamic monthly anomalies in a stock market located within a

Islamic Calendar Anomalies: Evidence from Pakistan

“…An equity market is considered as a measuring instrument which shows the general investment in the country (Hussain & Qasim, 1997). Pakistan is an appropriate sample for studying volatility in Islamic calendar as it is a Muslim dominated country with 97 percent of the population having faith in Islam (Halari et al, 2015). As the different holidays and investor's sentiments are more associated with Hijri calendar in comparison to Gregorian calendar.…”

“…4 The Karachi Stock Exchange (KSE, now Pakistan Stock Exchange, PSX; hereinafter PSX and KSE will be used interchangeably) is the most liquid and active exchange in Pakistan. There are approximately 560 national and international companies listed on the stock exchange with a market capitalization of $71 billion in 2014 (Halari et al, 2015). According to the official website of PSX, there are 558 listed firms with market capitalization of Rs.9,628,514.37 million at the end of 2016.…”

“…There is extant literature regarding detection of seasonal anomalies in Hijri (Islamic) calendar as compared to Gregorian calendar anomalies (Husain, 1998;Seyyed et al, 2005;Mustafa, 2008;Al-Hajieh et al, 2011;Almudhaf, 2012;Shah et al, 2014;Al-Khazali, 2014;and Halari et al, 2015). The existence of seasonal patterns in the Islamic months is due to the occurrence of Islamic events at different time of the Hijri calendar.…”

“…Every new month starts with the sighting of the new moon. Hijri calendar is 10/11 days shorter than Gregorian calendar (Al-Hajieh et al, 2011;Halari, Tantisantiwong, Power, & Helliar, 2015); thus, Islamic months do not remain constant as they circulate throughout the year. The 12 Islamic (Hijri) months are: Muharram, Safar, Rabiul Awwal, Rabiul Thani, Jamatul Awwal, Jamatul Thani, Rajab, Shaban, Ramadan, Shawwal, Zil-Qad and Zil Hajj.…”

“…Every Islamic month has its own importance and different events occur during each month. A limited literature exists regarding anomalies in Hijri calendar in Pakistani market such as Husain (1998) ;Seyyed, Abraham, and AlHajji, (2005); Mustafa (2008) ;Shah, Rehman, and Ahmed (2014); and Halari et al (2015).…”