Islamic calendar anomalies: evidence from Pakistani firm-level data
Islamic calendar anomalies: evidence from Pakistani firm-level data
Most prior research has tested for monthly regularities based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures. This paper examines Islamic monthly anomalies in a stock market located within a Muslim country - Pakistan. The study employs data for 106 companies listed on the Karachi Stock Exchange (KSE) over the period from 1995 to 2011 and an asymmetric generalized autoregressive conditional heteroscedasticity model to examine whether the mean value and volatility of share returns in the KSE vary with Islamic months. The results from the model offer very little statistical evidence of a monthly seasonal anomaly in average returns, but there is evidence of monthly patterns in the volatility of returns for KSE equities. This finding suggests that investors can formulate an investment strategy and choose a trading time in order to outperform on a risk-adjusted basis.
islamic calendar anomalies, stock returns, conditional volatility, behavioural finance, september 11 attacks
64-73
Halari, Anwar
6372e114-e55e-4986-8035-a92a55e664c7
Tantisantiwong, Nongnuch
73b57288-a4dc-4456-8d1b-12b8d07dc3b4
Power, David M.
d028e45c-8227-45db-a2d2-27dae896cc82
Helliar, Christine
0e079edb-b5e4-41fa-a9ba-c30796839d91
November 2015
Halari, Anwar
6372e114-e55e-4986-8035-a92a55e664c7
Tantisantiwong, Nongnuch
73b57288-a4dc-4456-8d1b-12b8d07dc3b4
Power, David M.
d028e45c-8227-45db-a2d2-27dae896cc82
Helliar, Christine
0e079edb-b5e4-41fa-a9ba-c30796839d91
Halari, Anwar, Tantisantiwong, Nongnuch, Power, David M. and Helliar, Christine
(2015)
Islamic calendar anomalies: evidence from Pakistani firm-level data.
Quarterly Review of Economics and Finance, 58, .
(doi:10.1016/j.qref.2015.02.004).
Abstract
Most prior research has tested for monthly regularities based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures. This paper examines Islamic monthly anomalies in a stock market located within a Muslim country - Pakistan. The study employs data for 106 companies listed on the Karachi Stock Exchange (KSE) over the period from 1995 to 2011 and an asymmetric generalized autoregressive conditional heteroscedasticity model to examine whether the mean value and volatility of share returns in the KSE vary with Islamic months. The results from the model offer very little statistical evidence of a monthly seasonal anomaly in average returns, but there is evidence of monthly patterns in the volatility of returns for KSE equities. This finding suggests that investors can formulate an investment strategy and choose a trading time in order to outperform on a risk-adjusted basis.
Text
Islamic Calendar Anomalies Evidence from Pakistani Firm Level Data 2015.pdf
- Accepted Manuscript
More information
Accepted/In Press date: 2 February 2015
e-pub ahead of print date: 10 February 2015
Published date: November 2015
Keywords:
islamic calendar anomalies, stock returns, conditional volatility, behavioural finance, september 11 attacks
Organisations:
Centre of Excellence for International Banking, Finance & Accounting
Identifiers
Local EPrints ID: 374389
URI: http://eprints.soton.ac.uk/id/eprint/374389
ISSN: 1062-9769
PURE UUID: c1b2d18f-b114-49f0-be1c-b0dadc830286
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Date deposited: 16 Feb 2015 11:16
Last modified: 14 Mar 2024 19:06
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Contributors
Author:
Anwar Halari
Author:
Nongnuch Tantisantiwong
Author:
David M. Power
Author:
Christine Helliar
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