The day of the week effects in stock markets of countries with predominantly Muslim populations

Purpose - The purpose of this paper is to investigate the day of the week (DoW) effect in stock markets of 19 countries with a predominantly Muslim population over the world. Design/methodology/approach - The empirical research was conducted by using the descriptive statistical analysis and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) method in 19 stock markets for the past decade. Findings - The findings in this paper present the evidence of the DoW effect in the majority of the stock markets analyzed. The findings were also consistent with the results of some previous studies regarding the DoW effect in various countries but some were found to be surprisingly different. Research limitations/implications - This study puts forward the view that investors may consider DoW diversities for their investment decisions regarding the countries with predominantly Muslim population. The authors conclude that additional factors affecting Islamic countries’ stock markets such as geographic proximity, trading days, market capitalization and ethnicity should be considered as well. Originality/value - Researchers have shown an increased interest in calendar anomalies in stock exchanges of some individual Arab countries. This study contributes to the literature by examining Muslim country stock markets collectively.