Cross-cultural differences in seasonality

Jorg Bley and Mohsen Saad

International Review of Financial Analysis, 2010, vol. 19, issue 4, 306-312

Abstract: This paper analyzes daily market index and company level stock return data across the Gulf Cooperation Council (GCC) region in search of calendar effects well documented in many international stock markets. The presence of day-of-the-week anomalies suggests the existence of a global phenomenon. In spite of the unique status of the Gulf region as a tax haven, company level data shows spill-over effects of tax-selling that can be used to identify market segments with a high presence of foreign investors trying to reduce the home tax burden as traces of the January effect are found in these segments. Lastly, the magnitude of the holiday effect depends not only on the cultural/religion setting of a country market but on the cultural/religious background of its participants. If a local market is dominated by foreign investors, their belief system, even if different from that of local investors, is reflected in the return behavior of the local market.

Keywords: Return; seasonality; Market; efficiency; Emerging; markets (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057-5219(10)00051-7
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:19:y:2010:i:4:p:306-312

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().