Calendar anomalies in stock market returns: Evidence from Middle East countries

Using GJR-GARCH (1,1) techniques, we investigate seasonality in stock market returns of seven Middle East countries. We investigate the calendar time anomalies of the day-of-the-week, the-month-of-the-year, the turn-of-the-month effect and the half-month effect. All stock markets of our sample exhibit significant evidence on all or most of the considered anomalies. The paper contributes to our understanding of calendar anomalies by providing an out-of-sample test through considering stock markets and sample periods which have not been examined thoroughly and sufficiently before. In addition, the paper provides further insights and evidence on the nature, existence and persistence of the seasonal patterns in emerging stock market returns. Overall, our results contradict the efficient market hypothesis (EMH). The results suggest that calendar anomalies remain prominent challenge to the EMH and its implications.