Calendar Anomalies in Islamic Frontier Markets

<!DOCTYPE html> <html lang="en" dir="ltr"> <head>  <script async src="https://www.googletagmanager.com/gtag/js?id=G-P63WKM1TM1"></script> <script> window.dataLayer = window.dataLayer || []; function gtag(){dataLayer.push(arguments);} gtag('js', new Date()); gtag('config', 'G-P63WKM1TM1'); </script>  <script type="text/javascript" > (function(m,e,t,r,i,k,a){m[i]=m[i]||function(){(m[i].a=m[i].a||[]).push(arguments)}; m[i].l=1*new Date(); for (var j = 0; j < document.scripts.length; j++) {if (document.scripts[j].src === r) { return; }} k=e.createElement(t),a=e.getElementsByTagName(t)[0],k.async=1,k.src=r,a.parentNode.insertBefore(k,a)}) (window, document, "script", "https://mc.yandex.ru/metrika/tag.js", "ym"); ym(55165297, "init", { clickmap:false, trackLinks:true, accurateTrackBounce:true, webvisor:false }); </script> <noscript><div><img src="https://mc.yandex.ru/watch/55165297" style="position:absolute; left:-9999px;" alt="" /></div></noscript>    <title>Calendar Anomalies in Islamic Frontier Markets</title> <meta name="description" content="Calendar Anomalies in Islamic Frontier Markets"> <meta name="keywords" content="asset pricing, frontier markets, market efficiency, Islamic calendar effects, Islamic stock markets"> <meta name="viewport" content="width=device-width, initial-scale=1, minimum-scale=1, maximum-scale=1, user-scalable=no"> <meta charset="utf-8"> <link href="https://cdn.waset.org/favicon.ico" type="image/x-icon" rel="shortcut icon"> <link href="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/css/bootstrap.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/plugins/fontawesome/css/all.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/css/site.css?v=150220211555" rel="stylesheet"> </head> <body> <header> <div class="container"> <nav class="navbar navbar-expand-lg navbar-light"> <a class="navbar-brand" href="https://waset.org"> <img src="https://cdn.waset.org/static/images/wasetc.png" alt="Open Science Research 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Islamic Frontier Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Aslam%20Faheem">Aslam Faheem</a>, <a href="https://publications.waset.org/abstracts/search?q=Hunjra%20Ahmed%20Imran"> Hunjra Ahmed Imran</a>, <a href="https://publications.waset.org/abstracts/search?q=Tayachi%20Tahar"> Tayachi Tahar</a>, <a href="https://publications.waset.org/abstracts/search?q=Verhoeven%20Peter"> Verhoeven Peter</a>, <a href="https://publications.waset.org/abstracts/search?q=Tariq%20Yasir"> Tariq Yasir</a> </p> <p class="card-text"><strong>Abstract:</strong></p> We investigate the evidence of three risk-adjusted calendar anomalies in eight frontier markets. Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. We categorize the data with respect to day-of-the-week, Lunar calendar and Islamic calendar. Using Morgan Stanley Capital International (MSCI) eight Markets Index as our proxy of the market portfolio, most of the frontier markets tested exhibit calendar seasonality. We confirm that systematic risk varies with respect to day-of-the-week, Lunar months and Islamic months. After consideration of time-varying risk and applying Bonferroni correction, few frontier markets exhibit profitable investment opportunities from calendar return anomalies for active investment managers. <iframe src="https://publications.waset.org/abstracts/143899.pdf" style="width:100%; height:400px;" frameborder="0"></iframe> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=asset%20pricing" title="asset pricing">asset pricing</a>, <a href="https://publications.waset.org/abstracts/search?q=frontier%20markets" title=" frontier markets"> frontier markets</a>, <a href="https://publications.waset.org/abstracts/search?q=market%20efficiency" title=" market efficiency"> market efficiency</a>, <a href="https://publications.waset.org/abstracts/search?q=Islamic%20calendar%20effects" title=" Islamic calendar effects"> Islamic calendar effects</a>, <a href="https://publications.waset.org/abstracts/search?q=Islamic%20stock%20markets" title=" Islamic stock markets"> Islamic stock markets</a> </p> <a href="https://publications.waset.org/abstracts/143899/calendar-anomalies-in-islamic-frontier-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/143899.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">167</span> </span> </div> </div> </div> </main> <footer> <div id="infolinks" class="pt-3 pb-2"> <div class="container"> <div style="background-color:#f5f5f5;" class="p-3"> <div class="row"> <div class="col-md-2"> <ul class="list-unstyled"> About <li><a href="https://waset.org/page/support">About Us</a></li> <li><a href="https://waset.org/page/support#legal-information">Legal</a></li> <li><a target="_blank" rel="nofollow" href="https://publications.waset.org/static/files/WASET-16th-foundational-anniversary.pdf">WASET celebrates its 16th foundational 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Calendar Anomalies in Islamic Frontier Markets