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Calendar Effects In Iraq Stock Exchange Sector Returns

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  • HASAN Mohammed Faez

    (University of Kerbala)

Abstract

This study investigates seasonal patterns and calendar effects in sector returns using comprehensive data from the Iraq Stock Exchange (ISX), representing the first systematic examination of calendar anomalies in Iraq s frontier financial market. Using daily return data for 57 stocks across six economic sectors from August 2014 to July 2024, we employ dummy variable regression models and sector-specific analysis to examine day-of-the-week effects, month-of-the-year patterns, turn-of-the-month anomalies, and Islamic calendar influences. Our findings reveal significant calendar effects that challenge market efficiency assumptions in this frontier market context. We document a statistically significant Monday effect with mean daily returns of -0.0464% (t = -1.738, p

Suggested Citation

  • HASAN Mohammed Faez, 2025. "Calendar Effects In Iraq Stock Exchange Sector Returns," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 77(2), pages 7-34, October.
    • Handle: RePEc:blg:reveco:v:77:y:2025:i:2:p:7-34
    DOI: 10.56043/reveco-2025-0011
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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • N25 - Economic History - - Financial Markets and Institutions - - - Asia including Middle East

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