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East meets West: when the Islamic and Gregorian calendars coincide

East meets West: when the Islamic and Gregorian calendars coincide
East meets West: when the Islamic and Gregorian calendars coincide

Recent research has documented that at the time of religious celebrations in Muslim countries, such as Ramadan, there is a “festival” effect in share returns. In the Gregorian calendar, December is also a time of celebration and festivities which may be associated with patterns in the behaviour of security prices. Further, the first month of the year in the Islamic calendar, Muharram, is a time of sadness and mourning for some believers, and there may be an effect when the Islamic first month of the year overlaps with the first month of the Gregorian year - January. Over a 33-year cycle, each Islamic month falls in a Gregorian month for about 5–6 consecutive years; when this happens, an Islamic (Eastern) calendar effect may interact with a Gregorian (Western) calendar effect. The current paper addresses this issue by examining the behaviour of share returns and volatility for individual companies listed in Muslim countries’ stock exchanges when the two calendars coincide for: (i) religious festival effects; (ii) first-month-of-the-year effects; and (iii) the two most common effects reported in the Islamic and Gregorian calendars (Ramadan and January). The results show that the Western and Eastern effects interact more prominently in larger companies and in larger or more developed markets.

0890-8389
402-424
Tantisantiwong, Nongnuch
73b57288-a4dc-4456-8d1b-12b8d07dc3b4
Halari, Anwar
6372e114-e55e-4986-8035-a92a55e664c7
Helliar, Christine
0e079edb-b5e4-41fa-a9ba-c30796839d91
Power, David
b63f6973-4c39-4c21-aa1d-34890e809b61
Tantisantiwong, Nongnuch
73b57288-a4dc-4456-8d1b-12b8d07dc3b4
Halari, Anwar
6372e114-e55e-4986-8035-a92a55e664c7
Helliar, Christine
0e079edb-b5e4-41fa-a9ba-c30796839d91
Power, David
b63f6973-4c39-4c21-aa1d-34890e809b61

Tantisantiwong, Nongnuch, Halari, Anwar, Helliar, Christine and Power, David (2018) East meets West: when the Islamic and Gregorian calendars coincide. British Accounting Review, 50 (4), 402-424. (doi:10.1016/j.bar.2017.11.003).

Record type: Article

Abstract

Recent research has documented that at the time of religious celebrations in Muslim countries, such as Ramadan, there is a “festival” effect in share returns. In the Gregorian calendar, December is also a time of celebration and festivities which may be associated with patterns in the behaviour of security prices. Further, the first month of the year in the Islamic calendar, Muharram, is a time of sadness and mourning for some believers, and there may be an effect when the Islamic first month of the year overlaps with the first month of the Gregorian year - January. Over a 33-year cycle, each Islamic month falls in a Gregorian month for about 5–6 consecutive years; when this happens, an Islamic (Eastern) calendar effect may interact with a Gregorian (Western) calendar effect. The current paper addresses this issue by examining the behaviour of share returns and volatility for individual companies listed in Muslim countries’ stock exchanges when the two calendars coincide for: (i) religious festival effects; (ii) first-month-of-the-year effects; and (iii) the two most common effects reported in the Islamic and Gregorian calendars (Ramadan and January). The results show that the Western and Eastern effects interact more prominently in larger companies and in larger or more developed markets.

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BAR Submission Nov 2017 - Accepted Manuscript
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Accepted/In Press date: 15 November 2017
e-pub ahead of print date: 26 November 2017
Published date: June 2018

Identifiers

Local EPrints ID: 415866
URI: http://eprints.soton.ac.uk/id/eprint/415866
ISSN: 0890-8389
PURE UUID: 5ef50f02-b43e-41d2-a9ca-4b88edb20577

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Date deposited: 27 Nov 2017 17:30
Last modified: 07 Oct 2020 06:31

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Contributors

Author: Nongnuch Tantisantiwong
Author: Anwar Halari
Author: Christine Helliar
Author: David Power

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