CALENDAR EFFECTS IN IRAQ STOCK EXCHANGE SECTOR RETURNS

Mohammed Faez Hasan
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Mohammed Faez Hasan: University of Kerbala

Revista Economica, 2025, vol. 77, issue 2, 7-34

Abstract: This study investigates seasonal patterns and calendar effects in sector returns using comprehensive data from the Iraq Stock Exchange (ISX), representing the first systematic examination of calendar anomalies in Iraq s frontier financial market. Using daily return data for 57 stocks across six economic sectors from August 2014 to July 2024, we employ dummy variable regression models and sector-specific analysis to examine day-of-the-week effects, month-of-the-year patterns, turn-of-the-month anomalies, and Islamic calendar influences. Our findings reveal significant calendar effects that challenge market efficiency assumptions in this frontier market context. We document a statistically significant Monday effect with mean daily returns of -0.0464% (t = -1.738, p

Keywords: Calendar Effects; Seasonal Patterns; Iraq Stock Exchange; Frontier Markets; Day-Of-The-Week Effect; Sector Analysis; Market Efficiency; Emerging Markets (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 N25 O16 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:blg:reveco:v:77:y:2025:i:2:p:7-34

DOI: 10.56043/reveco-2025-0011

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