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Islamic Calendar Anomalies: Evidence from Pakistan

Author

Listed:
  • Fatima Syed

    (Institute of Management Studies, UoP, Peshawar)

  • Naimat U. Khan

    (Institute of Management Studies, UoP, Peshawar)

Abstract

This study investigates Islamic calendar anomalies in Pakistan Stock Exchange (PSX), using KSE-100 Index data over the period 1991-2014. The findings show significant volatility of stock returns during Islamic months of Safar, Rabbi-ul-Awwal and Zil-hajj. However, there is no evidence of abnormal returns in any Islamic month. These findings do not provide a compelling evidence of Islamic calendar anomalies in Pakistani market.

Suggested Citation

  • Fatima Syed & Naimat U. Khan, 2017. "Islamic Calendar Anomalies: Evidence from Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(3), pages 104-122, September.
    • Handle: RePEc:bec:imsber:v:9:y:2017:i:3:p:104-122
    DOI: dx.doi.org/10.22547/BER/9.3.4
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    Cited by:

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    2. Sajid Hussain & Aftab Hussain Gillani & Muhammad Wasim Abbas, 2020. "Role of Council of Islamic Ideology in Islamization During Zulfikar Ali Bhutto Era," Global Political Review, Humanity Only, vol. 5(1), pages 241-250, March.
    3. Hira Irshad & Hasniza Mohd Taib, 2017. "Calendar anomalies: Review of literature," Journal of Advances in Humanities and Social Sciences, Dr. Yi-Hsing Hsieh, vol. 3(6), pages 303-310.
    4. Irshad Hira & Taib Hasniza Mohd & Hussain Haroon & Hussain Rana Yassir, 2023. "Conventional and Islamic Equity Market Reaction Towards Terrorism: Evidence Based on Target Types, Location and Islamic Calendar Months," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(4), pages 70-116, December.

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    More about this item

    Keywords

    Anomalies; conditional volatility; efficient market hypothesis; Hijri calendar.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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