ISSN: 2225-8329
Open access
This study aims to examine the impact of calendar anomalies, specifically the day of the week effect (DOW), on the returns of 10 Islamic stock markets over a 20-year period spanning from September 25, 2000, to September 24, 2020. The authors employed the generalized autoregressive conditional heteroskedasticity (GARCH) model to analyze the data, and the exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model was used as a robustness test. The findings indicated that the day-of-the-week effect had a significant influence on the returns of DJIM, Indonesia, and Pakistan's Islamic stock markets. This research contributes to the existing literature on Islamic stock markets by comprehensively understanding their potential behavior in response to calendar anomalies. Furthermore, it offers valuable insights for investors seeking to diversify their portfolios by investing in various sectors of Islamic stock markets.
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In-Text Citation: (Adam et al., 2023)
To Cite this Article: Adam, N. B., Yacob, N. B., & Musa, W. R. B. W. (2023). The Evidence of The Day of The Week Effect (Dow) on Islamic Stock Market Return in Relation to Calendar Anomalies. International Journal of Academic Research in Accounting Finance and Management Sciences, 13(2), 608–620.
Copyright: © 2023 The Author(s)
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