Calendar Anomalies and the Islamic Stock Market Returns: Evidences on day of the week effect

Abstract

The purpose of this study is to investigate the impacts of calendar anomalies specifically on day of the week effect (DOW) on 10 Islamic stock markets’ returns such as Dow Jones Islamic Market (DJIM), Saudi Arabia, Malaysia, United Arab Emirates (UAE), Kuwait, Qatar, Turkey, Indonesia, Bahrain, Pakistan—for 20 years from 25 September 2000 to 24 September 2020. The methods of study using Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) and Exponential Generalized AutoRegressive Conditional Heteroskedasticity (EGARCH) as a robustness test. The findings revealed that calendar anomalies had considerable impacts on returns for the following Islamic stock markets: DJIM, Indonesia, and Pakistan.