Impact of Muslim Holy Days on Asian stock markets: An empirical evidence

Figures & data

Table 1. Summary of financial markets data

Country	Muslim (%)	Index	Head office	Start date	End date	Obs.
Pakistan	96.3	Karachi S.E 100 Index	Karachi	01 January 2001	31 December 2014	3,443
Bahrain	90.4	Bahrain S.E All Share Index	Manama	24 May 2010	31 December 2014	1,155
Saudi Arabia	100	Tadawul S.E All Share Index	Riyadh	03 December 2001	31 December 2014	3,487
Turkey	99.8	Istanbul S.E All Share Index	Istanbul	14 March 2001	31 December 2014	3,466
Total						11,551

Source: https://nosharia.wordpress.com/list-of-muslim-majority-countries-with-sectstategovernment/ (for Muslim percentage) and “http://www.investing.com"www.investing.com (for daily stock prices of all markets).

Figure 1. Mean daily returns on Holy days and All other days.

Table 2. Regression results for Muslim Holy Days on stock return of Asian markets

	Model 2.1	Model 2.2	Model 2.3	Model 2.4	Model 2.5	Model 2.6	Model 2.7	Model 2.8	Model 2.9	Model 2.10
Ashura	−0.0268					−0.0164	−0.0339	−0.1202	0.2517	0.2503
Eid Milad-un-Nabi (SAW)		0.1080				0.1170	0.0063	−0.0466	0.1415	0.0948
Ramadan			0.0381**			0.0210	0.0048	−0.0030	0.0237	0.0118
Eid-ul-Fitr				0.5555***		0.5518***	0.5870	0.6004***	0.5529***	0.4866***
Eid-ul-Adha					0.3436***	0.3508***	0.1115	0.3937***	0.2289**	0.1487
Lag Ret-1							0.0557**	0.0546**	0.0549**	0.0550**
Lag Ret-2							0.0006	−0.0000	0.0000	0.0006
Monday							−0.1090			−0.0979
Friday								0.1349***		0.1057***
January									0.0236	0.0199
Constant	0.0549	0.0538	0.0515	0.0502	0.0518	0.0448	0.0716	0.0329	0.0422	0.0529
Hausman test	0.29	0.29	0.28	0.29	0.29	0.80	0.99	0.99	0.87	0.99
Observations	10,322	10,314	11,173	10,318	10,320	11,551	11,286	11,387	11,499	11,350
Panel	4	4	4	4	4	4	4	4	4	4

Notes: Model 2.1–2.5 show the results of all Muslim Holy Days investigated individually without controlling Day of the week, turn of the year effects, etc. Model 2.6 shows the results of all Muslim Holy Days investigated together without controlling day of the week, turn of the year effects etc. Similarly, Models 2.7–2.9 show the results for all Muslim Holy Days controlling with Monday, Friday and January effects respectively. Model 2.10 is the final model, revealing the results of al Muslim Holy Days controlling with Monday, Friday and January effects together.

^** p < 0.05.

^*** p < 0.01.

Table

Country	Ashura	Eid Milad-un-Nabi (SAW)	Ramadan	Eid-ul-Fitr	Eid-ul-Adha	Total
Bahrain	10	8	108	10	10	146
Saudi Arabia	28	26	277	28	28	387
Pakistan	30	28	275	28	30	391
Turkey	30	28	289	28	28	403
Total	98	90	949	94	96	1,327

Table

Holy days	Obs.	Mean (%)	Std. dev (%)	Min (%)	Max (%)
Ashura	98	0.05	0.16	−7.71	3.96
Eid Milad-un-Nabi (SAW)	90	0.17	0.15	−4.52	8.51
Ramadan	949	0.09	0.44	−7.60	11.65
Eid-ul-Fitr	94	0.63	0.20	−10.33	8.57
Eid-ul-Adha	96	0.41	0.15	−6.73	4.01
All Other Days	10,224	0.05	1.48	−13.05	12.07