This study is aimed to explore the Islamic calendar anomaly or
lunar effect over the period of eleven years commencing from
Zilhajj 1429 (January 2007) to Muharram 1440 (September 2018) on daily
historical returns. This study has identified the essence of weak-form Efficient
Market Hypothesis Fama (1965) in Pakistan, Turkey, Malaysia, Bangladesh, Iran,
Egypt, Saudi Arabia, and Dubai. Moreover market return behavior and seasonal
effects are identified by using the dummy regression model. It is identified that
anomalous behavior is reality in long run aptitude in all Islamic economies and
the average behavior is reflecting that markets
have been inspired by the seasonal effects.
Overall the market behavior reflects weak
form of efficiency except Iran and
Bangladesh. It is identified that the
Gregorian Calander is static but the lunar
calendar is dynamic and go across all the
weathers. Weathers and temperatures may
affect perception and psychology of investor.
Rana Shahid Imdad Akash
Assistant Professor, Department of Commerce, University of the Punjab, Jhelum Campus, Jhelum, Punjab, Pakistan.
Associate professor, Department of Commerce, Government College of Commerce, Faisalabad, Punjab, Pakistan.
Assistant Professor, Institute of Business Management Sciences, University of Agriculture, Faisalabad, Punjab, Pakistan.