Islamic calendar anomalies: evidence from ubiquitous Tunisian stock market
Mots-clés :
EMH, calendar anomalies, Islamic calendar, weekend effect, January effect, pre-holiday effect, full moon effect, new moon effect, religious holiday effect``, Hijri month effectRésumé
Some financial places worldwide are located in countries with dual cultures, Western and traditional. The ubiquitous participants in these financial markets are influenced by this dual affiliation, which can affect market reactions and efficiency. We analyse the weak form of informational efficiency in the Tunisian financial market, a place known for its cultural diversity. We study the behaviour of daily returns of the Tunis Stock Exchange index (Tunindex) over the period 1998–2019 by examining the effects of the Gregorian and lunar calendars. Next, we study the effects of the Islamic and civil calendars. Finally, we examine the interaction effects between the two types of calendars, which constitutes the originality of this paper.
First, the weekday effect, the month effect, and the pre-holiday effect were analysed according to the Gregorian calendar. Then, the effects of the full and new moon phases and the Islamic months were tested using the lunar calendar. Finally, the effects of the interaction between the January effect and the Islamic months, as well as the effects related to all holidays regardless of their origin (religious or otherwise), were studied. Using both parametric and non-parametric tests, we find evidence of the weekend effect, the January effect, and the pre-holiday effect in the daily returns of Tunindex. Lunar calendar anomalies are detected, including an effect of the full moon (FM) on the returns of Tunindex and a significant positive and high effect of the Hijri month Rabi' al-Thani, followed by the months of Sha'ban and Ramadan. The estimation results also show that the pre-holiday effects of Eid al-Fitr and Eid al-Adha are not significant.
The results of the combined effects reveal the persistence of the Thursday and Friday effect during the new moon phase. Similarly, the overlap of January with the months of Rabi' al-Thani, Ramadan, Sha'ban, and Shawwal eliminated the January effect on the returns of Tunindex, suggesting that the market has become more efficient.
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