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Religious anomalies in Islamic stock markets: The Hajj Effect in Saudi Arabia

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  • Shaista Wasiuzzaman

    (Multimedia University)

Abstract

This study focuses on the issue of religious anomalies, particularly the Hajj effect, influencing returns and volatility of the Saudi stock market (also known as the Tadawul All-Share Index). Using daily prices and trading volume of the index for a period of 9 years and the ARMA(1,1)–GARCH(1,1) model, it is found that returns are lower and volatility is higher during the Hajj period, although the effect is significant only for the volatility and not the returns.

Suggested Citation

  • Shaista Wasiuzzaman, 2017. "Religious anomalies in Islamic stock markets: The Hajj Effect in Saudi Arabia," Journal of Asset Management, Palgrave Macmillan, vol. 18(3), pages 157-162, May.
    • Handle: RePEc:pal:assmgt:v:18:y:2017:i:3:d:10.1057_s41260-016-0028-1
    DOI: 10.1057/s41260-016-0028-1
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    References listed on IDEAS

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    Cited by:

    1. Shah Saeed Hassan Chowdhury, 2023. "Spillover of Sentiments Between the GCC Stock Markets," Global Business Review, International Management Institute, vol. 24(6), pages 1434-1453, December.
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    3. Faheem Aslam & Ahmed Imran Hunjra & Tahar Tayachi & Peter Verhoeven & Yasir Tariq Mohmand, 2022. "Calendar Anomalies in Islamic Frontier Markets," SAGE Open, , vol. 12(2), pages 21582440221, May.
    4. Wasiuzzaman, Shaista, 2018. "Seasonality in the Saudi stock market: The Hajj effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 273-281.

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