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Islamic Calendar Anomalies: Evidence from Pakistan

Fatima Syed () and Naimat U. Khan
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Fatima Syed: Institute of Management Studies, UoP, Peshawar
Naimat U. Khan: Institute of Management Studies, UoP, Peshawar

Business & Economic Review, 2017, vol. 9, issue 3, 104-122

Abstract: This study investigates Islamic calendar anomalies in Pakistan Stock Exchange (PSX), using KSE-100 Index data over the period 1991-2014. The findings show significant volatility of stock returns during Islamic months of Safar, Rabbi-ul-Awwal and Zil-hajj. However, there is no evidence of abnormal returns in any Islamic month. These findings do not provide a compelling evidence of Islamic calendar anomalies in Pakistani market.

Keywords: Anomalies; conditional volatility; efficient market hypothesis; Hijri calendar. (search for similar items in EconPapers)
JEL-codes: G10 G21 G32 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:bec:imsber:v:9:y:2017:i:3:p:104-122

DOI: dx.doi.org/10.22547/BER/9.3.4

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