Calendar anomalies in the Gulf Cooperation Council stock markets

Are the regional Gulf stock markets weak-form efficient as single stock markets and as a regional stock market?

“…Up to the present time, research concerned with the examination of the efficiency of the GCC stock markets has been limited, produced fragmented results, and only examined the efficiency of GCC stock market from a single market perspective (Ariss et al, 2011;Elango and Hussein, 2008). For this reason, we aim to examine the efficiency of the GCC stock markets, and whether these markets are weak-form efficient either as single markets or as a regional market.…”

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

“…The results of that study were in line of results of previous studies as positive association of Ramadan and returns but in contract to the results of previous studies positive association of Ramadan with Volatility was detected in Middle Eastern countries' (Bahrain, Egypt, Jordan, Kuwait, Saudi and Turkey) equity markets especially at starting and ending days of Ramadan. Ariss, Rezvanian and Mehdian [11] examined the day of weak and Islamic month of year effect for Gulf Cooperation Council stock markets for the period from 1994 to 2008 by using OLS. The results indicated that like western stock markets Gulf Cooperation Council stock markets showed last working day effect (Wednesday Effect).…”

“…A few numbers of studies were conducted to study the impact of Islamic calendar anomalies on stock markets of Islamic countries by some researchers Seyyed, Abraham and Al-Hajji [10], Ariss, Rezvanian and Mehdian [11], Bialkowski, Etebari and Wisniewski, Al-Hajieh, Redhead and Rodgers [12] and Husain [13]. The purpose of this research is to examine the behavior of stock markets of Islamic countries according to Islamic calendar (which is based on the phases of moon) events such as Muharram, Ramadan and Zul-Hijjah.…”

Is there a Friday the 13th effect in emerging Asian stock markets?

“…In the past decades, considerable research effort has been directed to the scientific analysis of calendar effects in stock market returns because their identification may allow the implementation of profitable investment strategies (see Lucey and Pardo, 2005;Ariss et al, 2011). Probably the most prominent of these effects are the Monday effect (see French, 1980;Pettengill, 2003;Keef et al, 2009), where Mondays' returns are much lower than other days of the week, the January effect (see Gultekin and Gultekin, 1983;Keim, 1983;Yao, 2012), where returns are much higher during the month of January than any in other month, and the turn-of-the-month effect (see Ariel, 1987;Kunkel et al, 2003), where returns at the end and at the beginning of a month tend to be higher than on other days.…”