Citation
Wasiuzzaman, Shaista (2017) Religious anomalies in Islamic stock markets: The Hajj Effect in Saudi Arabia. Journal of Asset Management, 18 (3). pp. 157-162. ISSN 1470-8272, 1479-179X Full text not available from this repository.
Official URL: https://link.springer.com/article/10.1057/s41260-0...
Abstract
This study focuses on the issue of religious anomalies, particularly the Hajj effect, influencing returns and volatility of the Saudi stock market (also known as the Tadawul All-Share Index). Using daily prices and trading volume of the index for a period of 9 years and the ARMA(1,1)–GARCH(1,1) model, it is found that returns are lower and volatility is higher during the Hajj period, although the effect is significant only for the volatility and not the returns.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Stock exchanges |
| Subjects: | H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges |
| Divisions: | Faculty of Management (FOM) |
| Depositing User: | Ms Suzilawati Abu Samah |
| Date Deposited: | 22 Jul 2020 00:59 |
| Last Modified: | 22 Jul 2020 00:59 |
| URII: | http://shdl.mmu.edu.my/id/eprint/6961 |
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