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

Bengü Yardımcı (Finance, Banking and Insurance, Yaşar Üniversitesi, Izmir, Turkey)
Sabri Erdem (Business Administration, Dokuz Eylul Universitesi, Izmir, Turkey)

International Journal of Islamic and Middle Eastern Finance and Management

ISSN: 1753-8394

Article publication date: 20 February 2020

Issue publication date: 4 May 2020

499

Abstract

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.

Keywords

Citation

Yardımcı, B. and Erdem, S. (2020), "The day of the week effects in stock markets of countries with predominantly Muslim populations", International Journal of Islamic and Middle Eastern Finance and Management, Vol. 13 No. 2, pp. 195-218. https://doi.org/10.1108/IMEFM-06-2018-0199

Publisher

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Emerald Publishing Limited

Copyright © 2020, Emerald Publishing Limited

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