Hijri calendar effect in Borsa Istanbul gold market and Turkey’s foreign exchange market

Nasif Ozkan

Journal of Islamic Accounting and Business Research, 2019, vol. 10, issue 4, 580-590

Abstract: Purpose - This study aims to investigate the Hijri calendar effect in Borsa Istanbul (BIST) precious metal market and foreign exchange market (Dollar and Euro market) of Turkey. Design/methodology/approach - The data of BIST gold market index and foreign exchange market are used for the period of 4 March 2003-30 September 2016 (1 Muharram 1424 – 28 Dhu al-Hijja 1437) in the study. These data are analyzed by using the dummy variable regression model and Kruskal–Wallis (KW) test. Findings - The results of the regression models and KW test indicate that there is a Ramadan effect in the gold market and after-Ramadan effect in the Euro market. On the other hand, the Hijri month effect does not exist in the Dollar market. Originality/value - This is the first paper that investigates the Hijri calendar effect in gold and foreign exchange markets of Turkey other than the stock market.

Keywords: Religion; Market efficiency; Calendar anomalies; Ramadan effect; Borsa Istanbul precious metals market (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jiabrp:jiabr-04-2017-0054

DOI: 10.1108/JIABR-04-2017-0054

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