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

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04 Pages : 21-30

http://dx.doi.org/10.31703/gssr.2019(IV-IV).04      10.31703/gssr.2019(IV-IV).04      Published : Dec 2019

Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies

Abstract

    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.

    (1) Rana Shahid Imdad Akash
    Assistant Professor, Department of Commerce,University of the Punjab, Jhelum Campus, Jhelum, Punjab, Pakistan.
    (2) Iqbal Mehmood
    Associate professor, Department of Commerce,Government College of Commerce, Faisalabad, Punjab, Pakistan.
    (3) Kashif Hamid
    Assistant Professor, Institute of Business Management Sciences, University of Agriculture, Faisalabad, Punjab, Pakistan.
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Cite this article

APA

    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

    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

    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

    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

    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

    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

    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