Religious practices and market anomalies: an inquiry into the persistence of the religious holiday effect

Nang Biak Sing, Lalropuii and Rajkumar Giridhari Singh

Vilakshan - XIMB Journal of Management, 2025, vol. 23, issue 1, 54-76

Abstract: PurposeThe study aims to investigate the persistence of seasonal anomalies during religious holidays in emerging markets.Design/methodology/approachThe authors select the Bombay Stock Exchange and National Stock Exchange stock returns from January 1990 to December 2022. The GARCH family models were adopted to examine the mean-variance returns associated with symmetric and asymmetric effects. The ARIMAX model is used to investigate the exogenous order during the pre-mandated and post-mandated trading holidays.FindingsThe results show that the persistence of returns and volatility during religious holidays significantly when subjected to specific religious holidays. The authors also found that volatility during religious festivals dipped during the pre-holiday and gradually increased after the events. The findings suggest that religious holiday anomalies exhibit a trivial significant effect on stock market returns and this effect is waning.Research limitations/implicationsThe findings provide investors and market regulators with a better understanding of market anomalies related to religious practices. During these periods, investors may experience substantial fluctuations in their portfolios, potentially leading to significant losses or payoffs. Investors can sustain substantial losses or payoffs and market manipulation by adjusting their strategies around religious holidays to account for potential volatility, albeit temporarily.Originality/valueThis study contributes to behavioural finance literature that suggests that beliefs and cultural aspects determine a country’s stock market inefficiency. To the best of the authors’ knowledge, no previous study has comprehensively examined threshold religious holidays across diverse religions in Indian market using long-memory data.

Keywords: Calendar anomalies; Behavioural finance; Emerging market; Holiday effect; Religion (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eme:xjmpps:xjm-02-2024-0037

DOI: 10.1108/XJM-02-2024-0037

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