Islamic Calendar Anomaly and Market Return Behavior: Empirical Evidence from Eight Islamic Economies

This study is aimed to explore the Islamic calendar anomaly or lunar effect over the period of eleven years commencing from Zilhajj 1429 (January 2007) to Muharram 1440 (September 2018) on daily historical returns. This study has identified the essence of weak-form Efficient Market Hypothesis Fama (1965) in Pakistan, Turkey, Malaysia, Bangladesh, Iran, Egypt, Saudi Arabia, and Dubai. Moreover market return behavior and seasonal effects are identified by using the dummy regression model. It is identified that anomalous behavior is reality in long run aptitude in all Islamic economies and the average behavior is reflecting that markets have been inspired by the seasonal effects. Overall the market behavior reflects weak form of efficiency except Iran and Bangladesh. It is identified that the Gregorian Calander is static but the lunar calendar is dynamic and go across all the weathers. Weathers and temperatures may affect perception and psychology of investor.