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The Islamic Holy days are among the most celebrated spiritual traditions in the world and are observed by more than 1.5 billion Muslims. This study aims to investigate the effect of these events on the regular returns of stock exchanges in selected Muslim countries.

This study examines data from eight Asian and African stock exchanges from 2001 to 2019. Isolating the effect of Gregorian calendar anomalies, it aims to evaluate the effect of Islamic Holy days on stock returns by running a pooled random effect panel regression on all the stock exchanges examined.

The results reveal the positive impact of Eid-ul-Fitr on Asian markets, the negative impact of Eid Milad-un-Nabi on the African stock market’s returns and the positive effect of the Holy month of Ramadan on both markets. Some Gregorian calendar anomalies also were found in these markets.

The research has significant implications for marketing professionals to recognize business opportunities and investors to efficiently manage their stock portfolio during Islamic events of Eid-ul-Fitr, Eid Milad-un-Nabi and Ramadan in relevant Muslim countries.

Given the research gap between Gregorian and Islamic calendar anomalies, this paper contributes by combining the effect of Islamic Holy days on the returns of selected Muslim-dominated financial markets.

The purpose of this study is to quantify the impact of Ramadan on both the level and the growth of global raw sugar price.

The study uses a dummy and a fractional variable to capture Ramadan to overcome the asynchronicity of time between Ramadan fasting (which is based on the Islamic lunar calendar) and the movement in prices (which follows the Gregorian solar calendar). To capture the seasonality of sugar production, the data on sugar price span 34 years so that the Islamic calendar makes a complete cycle of the Gregorian calendar. The empirical model is estimated using both autoregressive integrated moving average model and unobserved components model.

The results show that monthly raw sugar prices in the global market increases by roughly 6.06 per cent (or $17.78 per metric ton) every year ahead of Ramadan.

The study illustrates the implications of the results for the consumption of imported sugar in Bangladesh.

The study uses a broader set of Ramadan indicators in its empirical models and checks the robustness of its baseline model using the unobserved components model. It also performs seasonal unit root tests on the global raw sugar prices.

This study aims to investigate the dependence structure and volatility spillovers among two strategic commodities (crude oil and gold) and a set of Islamic and conventional regional stock market indices, while examining the Ramadan effect

The empirical strategy consists of two complementary measures of dependence and connectedness. This study first uses copulas to examine the dependency between the markets considered, then spillovers compute the magnitude of the connectedness among them.

The copulas analysis shows that Frank’s copula appears to better capture the relationship between most asset returns and highlights the almost absence of extreme dependence and, therefore, the existence of diversification opportunities. Moreover, the connectedness analysis suggests that gold is a net volatility receiver and provides, thereby, greater diversification benefits compared to crude oil. In addition, the high levels of time-varying connectedness support strong integration among the financial markets studied, specifically during the COVID-19 crisis period. Furthermore, the connectedness among the markets studied increases during the Ramdan subperiods, supporting shift contagion among financial markets considered during this religious holiday.

The results provide investors with a better understanding of the nature as well as the magnitude of the interdependences between commodity markets and a set of Islamic and conventional regional stock markets. Indeed, it is of paramount importance for investors to clearly understand how Islamic and conventional markets are segmented or integrated during stress and stress-free periods, as well as the effect of the month of Ramadan on the interdependence among markets, to better assess risks, diversify portfolios and implement more effective hedging strategies.

While a considerable body of literature examines financial contagion and volatility transmission between financial markets, there is still much to be said regarding connectedness among commodity and stock markets, particularly when it comes to studying the effects of religious holidays on the interaction between conventional and Islamic assets. This paper fills in this gap by focusing on the dependence structure as well as the connectedness between Islamic stock indices, conventional stock indices, gold and crude oil for six different regions, while examining the Ramadan effect.

The purpose of the paper is to show that order flows determine exchange rate dynamics because they carry information about nonfundamental factors besides macroeconomic fundamentals.

To understand the role of nonfundamental factors in driving order flows, this study uses two approaches. Initially, Evans and Rime (2016) VAR framework is followed to study the incremental information transmitted by order flow compared to macroeconomic variables. Then, the study uses the settings in which Rime et al. (2010) conduct their empirical work, which gives the researcher more latitude in specifying the identity of the factors that drive order flows.

The findings evidence that order flows explain the dynamics of the TND/USD exchange rate. The results highlight that order flows convey information about technical strategies, the currency systematic factors and political risk. This study also documents the presence of a Ramadan effect in exchange rates and order flows.

This study makes four contributions to the literature. First, it complements the literature on the FX microstructure of emerging markets. The study investigates the information content carried by order flows, while the previous literature has focused solely on examining the explanatory power of order flows to explain exchange rates in emerging countries. The second contribution is that the study demonstrates formally that order flows determine exchange rates because they transmit information about nonfundamental factors. Third, this study is the first to examine whether order flows convey information about technical analysis. Four, the study relates order flow to nontraditional factors that are relevant to the Tunisian FX market.

Market efficiency suggests that price of the security must reflect its intrinsic value by impounding all the available and accessible information. Asset pricing in capital markets has been an exceptionally dynamic area of scholarly research and is considered as a barometer for assessing market efficiency. This phenomenon was very well explained by several market pricing models and theories over the last few decades. However, several anomalies, which cannot be explained by the traditional asset pricing models due to seasonal and psychological factors, were observed historically. The same has been studied by several researchers over the years and is well captured in the literature pertaining to market asset pricing. The purpose of this paper is to revisit the research studies related to a few asset pricing anomalies, collectively referred to as “calendar anomalies”, such as – day-of-the-week, turn-of-the-month, turn-of-the-year and the holiday effects. In this pursuit, a thorough survey of literature in this area, published over the last 80 years (from 1934 to 2016) across 24 prominent journals, has been made and presented in a comprehensive, structured and chronologically arranged major findings and learnings. This literature survey reveals that the existing literature do provide a great depth of understanding around these calendar anomalies often with reference to specific markets, the size of the firm and investor type. The paper also highlights a few aspects where the existing literature is silent or provides little support leaving a gap that needs to be addressed with further research in this area.

The goal of the study requires a comprehensive review of the past literature related to calendar anomalies. As a consequence, to identify papers which sufficiently represent the area of study, the authors examined the full text of articles within EBSCOHost, Elsevier-Science direct, Emerald insight and JSTOR databases with calendar anomalies related keywords for articles published since inception. Further, each article was classified based on the anomaly discussed and the factors used to sub-categorize the anomaly. Once all the identified fields were populated, we passed through another article by constantly updating the master list till all the 99 articles were populated.

It is also important to understand at this juncture that most of the papers surveyed discuss the persistence of the asset pricing anomalies with reference to the developed markets with a very few offering evidences from emerging markets. Thus leaving a huge scope for further research to study the persistence of asset pricing anomalies, the degree and direction of the effect on asset pricing among emerging markets such as India, Russia, Brazil vis-a-vis the developed markets. Further, regardless of the markets with reference to which the study is conducted, the research so far appears to have laid focus only on the overall market returns derived from aggregate market indices to explain the asset pricing anomalies. Thus leaving enough scope for further research to study and understand the persistence of these anomalies with reference to various strategic, thematic and sectoral indices in various markets (developed, emerging and underdeveloped countries) across different time periods. It will be also interesting to understand how, some or all of, these established asset pricing anomalies behave over a certain time period when markets move across the efficiency maturity model (from weak form to semi-strong to strong form of efficiency).

The main purpose of the study entails a detailed review of all the past literature pertinent to the calendar anomalies. In order to explore the prior literature that sufficiently captures the research area, various renowned databases were examined with keywords related to the calendar anomalies under scope of current study. Furthermore, based on the finalized articles, a comprehensive summary table was populated and provided in the Appendix which gives a snapshot of all the articles under the current assessment. This helps the readers of the article to directly relate the findings of each article with its background information.

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.

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.

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.

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.

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.

The present study aims to examine the effects of the Islamic sacred months, namely, Muḥarram, Rajab, Dhu al-Qaʿdah and Dhu al-Ḥijjah, on stock prices on the Iran and Iraq Stock Exchanges.

Using the infrastructure models of the capital market, the daily stock prices were calculated for the sacred and non-sacred months. As the data of this study are non-stationary, the AMIRA time-series model was used for better understanding of the model or future projections. The dependent variables of this study are the daily stock indexes for Iranian and Iraqi Stock Exchanges, and independent ones are the sacred and non-sacred months of a lunar year. Data were gathered daily from the financial statements of Iranian and Iraqi Stock Exchanges websites. To test the hypotheses under study, a five-year period from 2012 to 2016 was considered for both Iraqi and Iranian Stock Exchanges, which corresponds with the lunar calendar from 1433-1437AH.

The obtained results indicated that there is no significant difference in stock prices between the sacred months of Muḥarram, Rajab, Dhu al-Qaʿdah and Dhu al-Ḥijjah and other non-sacred months. However, the stock price in the Iranian Stock Exchange has a significant difference in Rajab and Dhu al-Qaʿdah with other non-sacred months.

The results of this study will reveal more than ever the role of Islamic sacred months for society and users of financial statements to make better financial decisions especially in Islamic emerging markets.

The purpose of this paper is to evaluate the effect of fasting on anthropometry and body composition in fasting obese and non‐obese subjects.

In total, 25 volunteers (male and female) were recruited during Ramadan. Age, sex, weight, height, waist and hip circumference and menstrual cycle status (in case of females) were recorded on day 1, and on day 21 weight and waist and hip circumference were also recorded. Similarly, bioelectrical impedance analysis (BIA) was performed on days 1 and 21 for the assessment of changes in body composition. From weight and height, basal metabolic Index (BMI) was determined. Waist‐hip ratio was determined from the waist and hip circumferences.

Weight was significantly (p<0.001) reduced in obese individuals on day 21 and accompanied by significant (p<0.01) reduction in waist hip ratios. BIA showed no significant change in the intra or extra cellular water. However, there has been shift of water between the two compartments and there was a strong positive correlation (r=0.9) between the fat free mass and total body water and negative association (r=−0.9) with total body water.

This study indicates that fasting could be a useful tool for the management of body weight without having a major shift in the body composition.

The stock market anomalies have been studied across the globe with intermingled results for individual markets. The present study has investigated the financial year effect for Indian stock markets by testing month-of-the-year-effect anomalies.

The oldest stock exchange's index returns (Bombay Stock Exchange [BSE]) have been tested using ordinary least squares (OLS) and autoregressive conditional heteroskedasticity in mean (ARCH-M) models with Student's t and Student's t-fixed distributions for the period between 1991 and 2019. The Glosten, Jagannathan and Runkle-generalised autoregressive conditional heteroskedasticity (GJR-GARCH) model has been further used to find out existence of the leverage effect in returns.

The findings indicated no evidence for anomalies in the Indian stock market which may be used by investors for making unusual returns. However, the volatility in returns has shown weak but significant results due to the financial year impact. The leverage effect has not been found in the financial year cycle change over. The Indian market may be said to be moving towards a state of efficiency, leaving no scope for investors to gauge bizarre profits.

The study has incorporated the Indian context for testing anomalies during the start and end of the financial year cycle. The model may be extended further to developed and developing nations’ markets for testing efficiency in their stock markets during the same cycle.

The paper may be the first of its kind to test for the financial year effect on standalone basis for Indian markets. The paper also adds to the existing literature on testing events’ effect.

The purpose of this paper is to detect quantitatively the existence of anchoring bias among financial analysts on the Tunisian stock market. Both non-parametric and parametric methods are used.

Two studies have been conducted over the period 2010–2014. A first analysis is non-parametric, based on observations of the sign taking by the surprise of result announcement according to the evolution of earning per share (EPS). A second analysis uses simple and multiple linear regression methods to quantify the anchor bias.

Non-parametric results show that in the majority of cases, the earning per share variations are followed by unexpected earnings surprises of the same direction, which verify the hypothesis of an anchoring bias of financial analysts to the past benefits. Parametric results confirm these first findings by testing different psychological anchors’ variables. Financial analysts are found to remain anchored to the previous benefits and carry out insufficient adjustments following the announcement of the results by the companies. There is also a tendency for an over/under-reaction in changes in forecasts. Analysts’ behavior is asymmetrical depending on the sign of the forecast changes: an over-reaction for positive prediction changes and a negative reaction for negative prediction changes.

The evidence provided in this paper largely validates the assumptions derived from the behavioral theory particularly the lessons learned by Kaestner (2005) and Amir and Ganzach (1998). The authors conclude that financial analysts on the Tunisian stock market suffer from anchoring, optimism, over and under-reaction biases when announcing the earnings.