Islamic Calendar Effect on Market Risk and Return Evidence from Islamic Countries

Abstract

point of view remain untested. Zul-Hijjah is the 12 th and last the month in Islamic calendar. The duration of first 10 days of Zul-Hijjah carries a great importance in Muslim culture. Hajj is performed in this month which is the fifth pillar of Islam. The 2 nd Muslim festival Eid-ul-Azha falls on the 10 th of Zul-Hijjah and animals are sacrificed by the Muslims all over the world in the memory of Prophet Ibrahim (A.S). The month of Zul-Hijjah may negatively affect the stock markets of Muslim countries because of the fact that two major religious activities fall in this month that decrease the trading activities. The purpose of present study is to examine the effect of Zul-Hijjah on returns and volatility of six Islamic countries' stock markets indices. The countries of investigation are Pakistan, Malaysia, Indonesia, Turkey, Morocco and Egypt. Most recent time period for every sample Islamic country is used. This study contributes to the literature on market efficiency with respect to the sample Islamic countries. The remaining paper is organized as: section 2 consists of review of related studies; section 3 explains the data and methodology, section 4 presents empirical results and section 5 summarizes and conclude the empirical results.