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

Akhter, Adnan; Sandhu, Aqilah; Butt, Shazaib

doi:10.4172/2167-0234.1000140

Cited by 7 publications

(6 citation statements)

References 6 publications

(10 reference statements)

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“…For example, Al-Ississ (2010) found negative returns when investigating the impact of Ramadan and Ashoura on markets in 17 Muslim countries, whereas Majeed et al (2015) found abnormal returns in the pre-period of Ashoura in the Pakistani stock market. Our findings are more aligned to Akhter et al (2015) and Majeed et al (2015) who found negative or no effects of Islamic event days by taking example of Eid-ul-Adha.…”

Section: Methodssupporting

confidence: 91%

“…Shi'a in Saudi Arabia treat it as a day of great remorse whereas the Sunni majority instead regard it as a day of relief and happiness (Al-Ississ, 2010). 6 The literature on finance, especially related to capital markets, divides anomalies into three main categories calendar, technical and fundamental l (Akhter et al, 2015;Latif et al, 2011). Many examples of anomalies have been reported, for more discussion see Kiymaz and Berument (2003); Rasugu (2005); Dodd and Gakhovich (2011).…”

Section: Orcidmentioning

confidence: 99%

“…Chowdhury and Mostari (2015) tested Dhaka markets and found that before and after Eid‐ul‐Adha there was a higher and anomalous mean index return. Akhter et al (2015) studied Eid‐ul‐Adha effects on market returns and volatility in six Islamic stock markets and found returns decreased in Malaya but were unaffected elsewhere, while volatility was affected in the Turkish, Moroccan and Egyptian markets. Eid‐ul‐Adha was also shown from daily KSE‐100 Index data, between 2001 and 2012, to be inconsequential to Pakistani stock market returns, but Ramadan, Ashoura, Rabiul Awal and Eid‐ul‐Fitr all had significant effects (Majeed et al, 2015).…”

Section: Literature Reviewmentioning

confidence: 99%

“…In this background, recent studies in behavioural finance explore factors which shape investors' mood and highlight that, alongside weather (Hirshleifer & Shumway, 2003; Saunders, 1993), sports (Edmans et al, 2007) and social events (e.g., Frieder & Subrahmanyam, 2004; Kamstra et al, 2000; Nofsinger, 2005), religion exerts a significant impact on equity investments (Al‐Ississ, 2010). As each community celebrates its own religious months and days, collective mood of the investors begin to converge and reflects the specific nature of the religious event, or sequence thereof, on the calendar (Akhter et al, 2015).…”

Section: Introductionmentioning

confidence: 99%

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The impact of Islamic events on herding behaviour in Saudi Arabian equities market

et al. 2022

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Using data from Saudi Arabia, a strictly religious society, we examine how Islamic events (i.e., Ramadan, Eid‐ul‐Fitr, Eid‐ul‐Adha and Ashoura) moderate the impact of social mood (positive and negative) on herding in the stock market. We use the cross‐sectional absolute deviation (CSAD) of returns and find that investors' mood during Islamic events of Eid‐ul‐Fitr, Eid‐ul‐Adha and Ashoura significantly affects herding behaviour in the market. Our results, however, contrast with existing evidence of herding in the month of Ramadan. Overall, results are robust after controlling for market conditions (i.e., domestic and US market returns, liquidity, sentiments, and oil price volatility) and crisis events (i.e., global financial crisis and Arab Spring). Though most prior research investigates the impact of individual Islamic events on stocks as seasonal anomalies, our study contributes by jointly exploring how four key Islamic events, associated with contrasting moods, induce diverse herding patterns in the Saudi stock market.

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Section: Methodssupporting

confidence: 91%

Section: Orcidmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The impact of Islamic events on herding behaviour in Saudi Arabian equities market

et al. 2022

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“…Optimistic thinking reduces critical analysis during the investment process and investors might ignore pessimistic information. (Akhter, et. al, 2015).…”

Section: Resultsmentioning

confidence: 99%

Ramadan Effect On Stock Markets

Tan¹,

Özlem²

2018

JRB

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The month of Ramadan is one the most renowned religious rituals in the world for more than 1.5 billion Muslims. This study analyzes the effect of religious experience during the Muslim holy days of Ramadan on the stock exchanges of 16 Muslim-majority countries. According to the results, among 16 countries, 13 Muslim financial markets have positive returns during Ramadan, which can be attributed to the generally positive investor mood or emotion. In contrast, only 4 stock markets-Dubai Financial Market, Amman Stock Exchange, Karachi Stock Exchange, and Tunis Stock Exchange-exhibit differences that are both positive and statistically significant. Moreover, the study divides the Muslim holy days into 3 periods, where the first period comprises the first 10 days of Ramadan, second period covers the next 10 days of the Ramadan month, and the final period involves the last 10 days. According to results, while the first 10 days witness the lowest performance, the last 10 days experience the highest performance. Keywords: Ramadan Effect, Regression Analysis, Muslim Countries, Stock Markets ÖzRamazan ayı, dünyadaki 1,5 milyardan fazla Müslüman için en önemli dinsel ritüellerden biridir. Bu çalışma Ramazan ayının Müslümanların çoğunlukta olduğu 16 ülkenin menkul kıymetler borsası üzerindeki etkisini incelemektedir. Elde edilen sonuçlara göre, Ramazan ayının söz konusu 16 Müslüman ülkenin 13'ünde finans piyasası üzerinde olumlu etkisi görülmektedir ve bu etki genellikle pozitif yatırımcı ruh hali veya duygusu ile açıklanabilmektedir. Diğer taraftan, sadece Dubai, Ürdün, Pakistan ve Tunus Borsaları hem olumlu hem de istatistiksel olarak anlamlı farklılıklar göstermektedir. Ek olarak bu çalışma, Ramazan ayını; ilk on günü birinci dönem, ikinci on günü ikinci dönem ve son on günü üçüncü dönem olmak üzere üçe bölmüştür. Elde edilen sonuçlara göre, ilk on gün en düşük performans ile karşılaşılmakta, son on gün ise en yüksek performans gösterilmektedir.

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Semi-Strong Form Efficiency of Gold Market: Collective Rationalisation and Islamic Calendar Anomaly

Bashir

Wadood

Mujtaba

et al. 2021

HSSR

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Purpose: The current study aimed to test the impact of two religious months on the return behaviour of the gold market in Pakistan under informational efficiency hypothesis i.e. to empirically test the semi-strong form of EMH in gold market for religious calendar anomaly. Methodology: Weekly gold prices in rupees per one gram that prevailed in Pakistan for the period January 2007 till December 2015 were selected, summing up to 468 observations. Data was taken from World Gold Council and the Bullion-rate database. Event methodology was employed for capturing and analyzing the pre and post event reactions by calculating abnormal returns. Furthermore, average security return variability was employed for robustness check. Main Findings: Opposing results were achieved for both the lunar calendar occurrences where the gold market is inefficient for the month of Ramazan but is found efficient in Muharram's case concluding into mixed evidence and findings. Implications/Applications: The contribution of this study differs from previous gold studies in two aspects; first the research investigated the effect of Ramazan and Muharram as Islamic calendar events, and second is that gold market prices of Pakistan that had not been examined earlier. So this study is adding to the literature in the sense of examining the new relationship in Pakistan. Novelty/Originality of this study: Extensive literature can be found about the global gold market that tested the weak form efficiency, but empirical evidence related to the semi-strong form efficiency of the gold market in Pakistan is not available neither the calendar anomaly related to the gold market is available. The dynamics of this very highly valuable and volatile asset market require investigation of such type.

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

Cited by 7 publications

References 6 publications

The impact of Islamic events on herding behaviour in Saudi Arabian equities market

The impact of Islamic events on herding behaviour in Saudi Arabian equities market

Ramadan Effect On Stock Markets

Semi-Strong Form Efficiency of Gold Market: Collective Rationalisation and Islamic Calendar Anomaly

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