Abstract
The vast majority of empirical research on calendar anomalies has studied financial markets in countries where the Western calendar is used. This article investigates day of the week effects in Saudi Arabia’s stock market, where an Islamic calendar is used and where Saturday is the first working day of the week over the sample period considered. The Saudi stock market is the largest in the Gulf region, and we consider both total market data (the TASI index) and data for 15 sector indices. Our investigation reveals the existence of a positive Saturday effect, which contrasts with the results on first day of the week effects that are typically obtained for Western calendar markets.
Notes
1 See the Tadawul reports and the Capital Market Authority websites for further details on market size: http://www.tadawul.com.sa/wps/portal/!ut/p/_s.7_0_A/7_0_49I; http://www.cma.org.sa/cma_en/subpage.aspx?secserno=20&mirrorid=278&serno=20