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Holiday Effect and Stock Returns: Evidence from Stock Exchanges of Gulf Cooperation Council

Author

Listed:
  • Prakash Pinto

    (Department of Business Administration, St. Joseph Engineering College, Mangaluru 575028, India)

  • Shakila Bolar

    (Department of Business Administration, St. Joseph Engineering College, Mangaluru 575028, India)

  • Iqbal Thonse Hawaldar

    (Department of Accounting & Finance, College of Business Administration, Kingdom University, Riffa 40434, Bahrain)

  • Aleyamma George

    (Department of Mathematics, St. Joseph Engineering College, Mangaluru 575028, India)

  • Abdelrhman Meero

    (Department of Banking & Finance, College of Business Administration, Kingdom University, Riffa 40434, Bahrain)

Abstract

One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges of the Gulf Co-operation Council, namely, Kuwait, Bahrain, Qatar, Oman, Saudi Arabia, and the United Arab Emirates for the period between January 2009 and December 2020. The national holidays that are considered for the study are New Year’s Day, Mawlid al-Nabi (Prophet birthday), Eid-Al-Isra Wal Miraj, Eid-Al-Fitr, National Day, Hegire Day (Islamic New Year), and Christmas Day. The study employs descriptive statistics and the non-parametric Mann–Whitney U test. The findings of the study disclosed the significant pre-holiday mean returns for ADSMI, BHSEASI, DFMGI, MSM30, TASI and FTDKUW, whereas significant post-holiday mean returns were found only in MSM30 and TASI. The study provided evidence for the presence of a calendar anomaly like holiday effects in the major indices of the Gulf Co-operation Council and proved the market was not in an efficient form during the study period.

Suggested Citation

  • Prakash Pinto & Shakila Bolar & Iqbal Thonse Hawaldar & Aleyamma George & Abdelrhman Meero, 2022. "Holiday Effect and Stock Returns: Evidence from Stock Exchanges of Gulf Cooperation Council," IJFS, MDPI, vol. 10(4), pages 1-10, November.
    • Handle: RePEc:gam:jijfss:v:10:y:2022:i:4:p:103-:d:966752
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    References listed on IDEAS

    as
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