ISLAMIC CALENDAR ANOMALY AND MARKET RETURN BEHAVIOR EMPIRICAL EVIDENCE FROM EIGHT ISLAMIC ECONOMIES

http://dx.doi.org/10.31703/gssr.2019(IV-IV).04      10.31703/gssr.2019(IV-IV).04      Published : Dec 2019
Authored by : Rana ShahidImdadAkash , IqbalMehmood , KashifHamid

04 Pages : 21-30

References

  • Abbes, M. B., & Abdelhédi-Zouch, M. (2015). Does hajj pilgrimage affect the Islamic investor sentiment? Research in International Business and Finance, 35, 138-152.
  • Al-Hajieh, H., Redhead, K., and Rodgers, T. (2011). Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic Middle Eastern markets. Research in International Business and Finance, 25(3), 345-356.
  • Al-Ississ, M. (2010). The impact of religious experience on financial markets. Harvard Kennedy School of Government. Al-Khazali, OM, Koumanakos, EP, & Pyun, CS (2008). Calendar anomaly in the Greek stock market: Stochastic dominance analysis. International Review of Financial Analysis, 17(3), 461-474.
  • Al-Ississ, M. (2015). The holy day effect. Journal of Behavioral and Experimental Finance, 5, 60-80.
  • Al-Khazali, O. (2014). Revisiting fast profit investor sentiment and stock returns during Ramadan. International Review of Financial Analysis, 33, 158-170.
  • Al-Khazali, O., Bouri, E., Roubaud, D and Zoubi, T. (2017). The impact of religious practice on stock returns and volatility. International Review of Financial Analysis, 52, 172-189. and Business Journal, 11, 55-71
  • Arsad, Z., & Andrew Coutts, J. (1997). Security price anomalies in the London International Stock Exchange: a 60 year perspective. Applied Financial Economics, 7(5), 455-464.
  • Azimi, J., Adin, M. M., Torkamanzadeh, H., and Farahdoust, M. B. (2012). The effect of Muharram and Safar Months on Stock Return in Listed Firms on Tehran Stock Exchange. Interdisciplinary Journal of Contemporary Research in Business, 4(7), 762-768.
  • Barry, C. and S. Brown, (1984). Differential Information and the Small Firm Effect. Journal of Financial Economics, 13, 283-294.
  • Bialkowski, J., Etebari, A., &Wisniewski, T. P. (2012). Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking & Finance, 36, 835-845.
  • BiaÅ‚kowski, JÄ™drzej, Martin T. Bohl, Philipp Kaufmann, and Tomasz P. Wisniewski. 2013. Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey. Emerging Markets Review 15: 211-232.
  • Branch, B., (1977). A Tax Loss Trading Rule. Journal of Business, 50 (2) 198-207.
  • Brown, P., D.B., Keim, A.W., Keleidon, and T.A., Marsh., (1983) Stock Return Seasonalities and the Tax-LossSelling-Hypothesis: Analysis of the Arguments and Australian Evidence. Journal of Financial Economics, 12,105-127.
  • Bukhari, S., Nasir, A., & Rao, H. (2011, May). Detection and Forecasting of Islamic Calendar Effects in Time Series Data: Revisited. SBP Working Paper Series,(39), 1-29. Business & Economic Review: 9, (3), 104-122
  • Chen, G., Kwok, Y.C.C and Rui, M.O., (2001). The day-of-the-week regularity in the stock markets of China. Journal of Multinational Financial Management, 11, 139-163
  • Chien, C.C., C.F. Lee, and A.M.L. Wang. (2002). A Note on Stock Market Seasonality: The Impact of Stock Volatility on the Application of Dummy Variable Regression Model. Quarterly Review of Economics and Finance, 42,155-162.
  • Elfakhani; Said, Zaher; Tarek, (1998) Differential Information Hypothesis, Firm Neglect and the Small Firm Size Effect Journal of Financial and Strategic Decisions, 11(2)29- 40
  • Fama, E., (1965). The Behavior of Stock Market Prices. Journal of Business, 38,34 - 104
  • Fama, E.F., (1970). Efficient capital markets: a review of theory and empirical Work. Journal of Finance, 25(2) 383- 417.
  • Fama, Eugene, (1998). Market Efficiency, Long-Term Returns and Behavioral Finance. Journal of Financial Economics, 49, 283-306.
  • Gao, L., Kling, G. (2005). Calendar Effects in Chinese Stock Market. Annals of Economics and Finance, 6, 75-88

Cite this article

    APA : Akash, R. S. I., Mehmood, I., & Hamid, K. (2019). Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies. Global Social Sciences Review, IV(IV), 21-30. https://doi.org/10.31703/gssr.2019(IV-IV).04
    CHICAGO : Akash, Rana Shahid Imdad, Iqbal Mehmood, and Kashif Hamid. 2019. "Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies." Global Social Sciences Review, IV (IV): 21-30 doi: 10.31703/gssr.2019(IV-IV).04
    HARVARD : AKASH, R. S. I., MEHMOOD, I. & HAMID, K. 2019. Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies. Global Social Sciences Review, IV, 21-30.
    MHRA : Akash, Rana Shahid Imdad, Iqbal Mehmood, and Kashif Hamid. 2019. "Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies." Global Social Sciences Review, IV: 21-30
    MLA : Akash, Rana Shahid Imdad, Iqbal Mehmood, and Kashif Hamid. "Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies." Global Social Sciences Review, IV.IV (2019): 21-30 Print.
    OXFORD : Akash, Rana Shahid Imdad, Mehmood, Iqbal, and Hamid, Kashif (2019), "Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies", Global Social Sciences Review, IV (IV), 21-30
    TURABIAN : Akash, Rana Shahid Imdad, Iqbal Mehmood, and Kashif Hamid. "Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies." Global Social Sciences Review IV, no. IV (2019): 21-30. https://doi.org/10.31703/gssr.2019(IV-IV).04