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Examining anomalies in Islamic equity market of Pakistan

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  • Khalil Jebran
  • Shihua Chen

Abstract

The purpose of this study is to investigate the presence of anomalies named; January effect, Islamic calendar effect, Day of the week effect, Time of the month effect, Turn of the month effect and Half of the month effect in an Islamic equity market of Pakistan. This study considered daily data from 30 September 2008 to 30th June 2015. The behavior of the data is tested by using the descriptive statistics method. The Generalized Auto Regressive Conditional Heteroskedasticity Model (GARCH) model is applied to capture the seasonality in returns and volatility in the Islamic equity market. The results of this study highlight certain interesting key findings. The notable findings indicates the absence of prominent January effect and the Ramadan effect. However, this study finds significant Day of the week effect, Turn of the month effect, Time of the month effect and Half of the month effect in the Islamic index. This study suggests that investors would be able to gain abnormal returns, if they would formulate their investment strategies accordingly to the seasonal return patterns observed in this study.

Suggested Citation

  • Khalil Jebran & Shihua Chen, 2017. "Examining anomalies in Islamic equity market of Pakistan," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 7(3), pages 275-289, July.
    • Handle: RePEc:taf:jsustf:v:7:y:2017:i:3:p:275-289
    DOI: 10.1080/20430795.2017.1289455
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    Cited by:

    1. Richards, Daniel W. & Willows, Gizelle D., 2019. "Monday mornings: Individual investor trading on days of the week and times within a day," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 105-115.
    2. Abdul Rashid & Saba Kausar, 2019. "Testing the Monthly Calendar Anomaly of Stock Returns in Pakistan: A Stochastic Dominance Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(1), pages 83-104.
    3. Muhammad Sarmad Irtiza & Shahbaz Khan & Nida Baig & Syed Muhammad Ali Tirmizi & Ilyas Ahmad, 2021. "The turn-of-the-month effect in Pakistani stock market," Future Business Journal, Springer, vol. 7(1), pages 1-11, December.
    4. Tantisantiwong, Nongnuch & Halari, Anwar & Helliar, Christine & Power, David, 2018. "East meets West: When the Islamic and Gregorian calendars coincide," The British Accounting Review, Elsevier, vol. 50(4), pages 402-424.

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