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Calendar anomalies in stock market returns: Evidence from Middle East countries

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  • Shehadeh, Ali A.
  • Zheng, Min

Abstract

Using GJR-GARCH (1,1) techniques, we investigate seasonality in stock market returns of seven Middle East countries. We investigate the calendar time anomalies of the day-of-the-week, the-month-of-the-year, the turn-of-the-month effect and the half-month effect. All stock markets of our sample exhibit significant evidence on all or most of the considered anomalies. The paper contributes to our understanding of calendar anomalies by providing an out-of-sample test through considering stock markets and sample periods which have not been examined thoroughly and sufficiently before. In addition, the paper provides further insights and evidence on the nature, existence and persistence of the seasonal patterns in emerging stock market returns. Overall, our results contradict the efficient market hypothesis (EMH). The results suggest that calendar anomalies remain prominent challenge to the EMH and its implications.

Suggested Citation

  • Shehadeh, Ali A. & Zheng, Min, 2023. "Calendar anomalies in stock market returns: Evidence from Middle East countries," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 962-980.
    • Handle: RePEc:eee:reveco:v:88:y:2023:i:c:p:962-980
    DOI: 10.1016/j.iref.2023.07.013
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    References listed on IDEAS

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    1. Jun Chen & Bart Frijns & Ivan Indriawan & Haodong Ren, 2019. "Turn of the Month effect in the New Zealand stock market," New Zealand Economic Papers, Taylor & Francis Journals, vol. 53(3), pages 288-306, September.
    2. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019. "Rise and fall of calendar anomalies over a century," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 181-205.
    3. Burton G. Malkiel, 2005. "Reflections on the Efficient Market Hypothesis: 30 Years Later," The Financial Review, Eastern Finance Association, vol. 40(1), pages 1-9, February.
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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    Cited by:

    1. Sama Haddad, 2023. "Global Financial Market Integration: A Literature Survey," JRFM, MDPI, vol. 16(12), pages 1-27, November.

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    More about this item

    Keywords

    Calendar anomalies; Efficient market hypothesis; Emerging stock markets; Middle East stock markets; GJR-GARCH;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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