Islamic Calendar Anomalies: Evidence from Pakistan

Syed, Fatima; Khan, Naimat Ullah

doi:10.22547/ber/9.3.4

Cited by 6 publications

(7 citation statements)

References 29 publications

(76 reference statements)

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“…So this also affects the movement of transactions in the capital market. This appears to amplify the calendar effect (Syed & Khan, 2017).…”

Section: Discussionmentioning

confidence: 96%

“…In this study, Eid al-Fitr became an event that is likely to affect the movement of stocks in the capital market (Hinawati, 2016). Eid al-Fitr holiday that occurs is characterized by the absence of securities trading transactions in the Indonesian capital market, it will have an impact in investment decision making by investors (Syed & Khan, 2017). Capital expenditure decisions taken by investors are not only based on rational thinking, they can also be influenced by irrational factors such as psychological factors (Filipovski & Tevdovski, 2018;Syed & Khan, 2017).…”

Section: Introductionmentioning

confidence: 95%

“…Eid al-Fitr holiday that occurs is characterized by the absence of securities trading transactions in the Indonesian capital market, it will have an impact in investment decision making by investors (Syed & Khan, 2017). Capital expenditure decisions taken by investors are not only based on rational thinking, they can also be influenced by irrational factors such as psychological factors (Filipovski & Tevdovski, 2018;Syed & Khan, 2017). In other words, the market that is believed to be always efficient turns out not to be so (Rossi & Gunardi, 2018).…”

Section: Introductionmentioning

confidence: 99%

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Volatility of LQ45 Index Situation Before and After Eid al-Fitr

Situngkir

Nugraha

2021

IJSSB

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Many factors influence the movement of stocks on the capital market, one of which is a major event that occurs at a certain time, such as religious holiday event. This study aims to examine whether or not there is a change in the level of stock volume movement and abnormal return of stocks affected by the religious holiday event, namely Eid al-Fitr, thus affecting transactions in the capital market. The variable studied is the volume of shares that gives an idea of the number of outstanding shares traded every day and the abnormal variable return of shares is the difference between the actual return that occurs with the return of expectations. Both variables can provide information that is expected to help investors manage investment strategies at major events such as Eid al-Fitr. The data used is secondary data from the www.investing.com sites from 2013 to 2019, namely 15 days before and 15 days after Eid al-Fitr. The method used is Wilcoxon Signed Ranks test because it turns out that the processed data is not distributed normally after being tested for normality. The results of this study prove that there is no difference in the abnormal level of return of shares before and after Eid al-Fitr, and proves the hypothesis that there is a change in stock volume before and after the Eid al-Fitr event.

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“…So this also affects the movement of transactions in the capital market. This appears to amplify the calendar effect (Syed & Khan, 2017).…”

Section: Discussionmentioning

confidence: 96%

Section: Introductionmentioning

confidence: 95%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Volatility of LQ45 Index Situation Before and After Eid al-Fitr

Situngkir

Nugraha

2021

IJSSB

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“…The effects of Ramadhan and Zil-Haj on the global equity indices were explored and no signi icant effects were testi ied. Likewise, Syed and Khan (2017) …”

Section: Monday Effectmentioning

confidence: 99%

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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“…They used firm-level data from 1993 to 2015 and found that these anomalies offer 30% to 50% annual returns in PSX. Syed and Khan (2017) studied Islamic calendar anomalies in PSX, using KSE-100 Index data over the period 1991-2014. The authors report evidence of change in volatility in some of the Islamic calendar months, however, no compelling evidence of abnormal returns associated with Islamic calendar were found.…”

Section: Overview Of Pakistani Equity Marketmentioning

confidence: 99%

The herding behaviour on Pakistan stock exchange – using firm-level data

Kiran

Khan

Shah

2020

AAJFA

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This paper analyses herding behaviour in the Pakistan stock exchange (PSX, formerly known as Karachi stock exchange, KSE) for a sample of 663 firms over a period of 13 years, from 2004 to 2017. For detecting herding behaviour, two dependent variables are used, i.e., cross-sectional standard deviation (CSSD) of Christie and Huang (1995) and cross-sectional absolute deviation (CSAD) of Chang et al. (2000). The results show no herding behaviour on the basis of both methods at different levels of market movements. The absence of the herding behaviour may be because these firms belong to different sectors which may follow their respective industry portfolios but not the overall market; for example, Shah et al. (2017) documented that firms in several industries herd toward their industry portfolios for Pakistani data. Future research can be done using a primary data collection method from investors about their opinion on herding behaviour.

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Islamic Calendar Anomalies: Evidence from Pakistan

Abstract: Abstract

Cited by 6 publications

References 29 publications

Volatility of LQ45 Index Situation Before and After Eid al-Fitr

Volatility of LQ45 Index Situation Before and After Eid al-Fitr

Calendar anomalies: Review of literature

The herding behaviour on Pakistan stock exchange – using firm-level data

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