Articles
The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching
The objective of this paper is to study the impact of conventional stock market return and volatility and various macroeconomic variables (including inflation rate, short-term interest rate, the slope of the yield curve and money supply) on Islamic stock markets returns for twenty developed and emerging markets using Markov switching regression models. The empirical results for the period 2002–2014 show that both developed and emerging Islamic stock indices are influenced by conventional stock indices returns and money supply for both the low and high volatility regimes.
Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey
Recent literature shows that the holy month of Ramadan exerts a positive influence on investor sentiment in predominantly
The anomalies that aren't there: The weekend, January and pre-holiday effects on the all gold index on the Johannesburg Stock Exchange 1987-1997
This paper investigates the existence of the Weekend, January and Pre-Holiday effects in the All Gold Index on the Johannesburg Stock Exchange over an 11- year period; 5 January 1987 through 15 May 1997, and for three sub-samples of equal length. These results are in severe contrast to the overwhelming international evidence documented for the stock markets of many other countries, be they developed or emerging markets: there appears to be no Weekend, January or Pre-Holiday effects, present in the All Gold Index.
Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic Middle Eastern markets
The holy month of Ramadan is usually a time of celebration and renewal in
Day of the week effect on the Greek stock market
Evidence is presented concentrating on the day of the week effect on the Greek stock market, which is currently in a transitory stage. The analysis carried out takes into account that the variance is dependent over time, while an EGARCH-M model investigates the volatility which is considered non-constant over time.