主題瀏覽
- 期刊
Examination of Day-of-Week Effect Patterns during the Ramadan and Non-Ramadan Periods
摘要
This study employs the stochastic dominance approach from 2000 to 2017 to examine day-of-week (DOW) effect patterns in the Jakarta Composite Index and Jakarta Islamic Index during Ramadan and non-Ramadan periods. The results indicate that Monday returns are dominated by the other weekday returns and that Friday returns outperform Thursday returns for the two indices during the entire sample and non-Ramadan periods. Furthermore, the results reveal that Tuesday, Wednesday, and Thursday returns outperform Monday returns for the two indices during the Ramadan period. Accordingly, our evidence documents that DOW effect patterns exist during the Ramadan and non-Ramadan periods.
參考文獻
Abadir, K.M. and L. Spierdijk (2005), “Liquidity Constraints and the Demand for Assets: An Application to the Festivity Effect,” Working paper.
Abul Shamsuddin, A. (2014), “Are Dow Jones Islamic Equity Indices Exposed toInterest Rate Risk?,” Economic Modelling, 39, 273–81.
Binmahfouz, S.S. (2012), “Investment Characteristics of Islamic Investment: Evidence from Saudi Mutual Funds and Global Indices,” Durham University.
Chiang, R., and T. C. Tapley, (1983), “The Day of the Week Effect in the Futures Market,” Review of Research in Futures Markets, 2(4), 356-410.
Cross, F. (1973), “The Behavior of Stock Prices on Fridays and Mondays,” Financial Analysts Journal, 29(6), 67-69.
延伸閱讀
- Otaibi, S. A., Osmani, M., & Price, A. D. F. (2013). A Framework for Improving Project Performance of Standard Design Models in Saudi Arabia. Journal of Engineering, Project, and Production Management, 3(2), 85-98. https://www.airitilibrary.com/Article/Detail?DocID=22238379-201307-201310020006-201310020006-85-98
- Rabiei, M., & Dadkhah, H. (2014). Effects of R&D Expenditure on the Profitability of Iran Industrial Firms. Research Journal of Applied Sciences, Engineering and Technology, 7(14), 2846-2850. https://www.airitilibrary.com/Article/Detail?DocID=20407467-201404-201507060016-201507060016-2846-2850
- Esfahani, A. N. E., Khoshtinat, V., Amini, M., & Ghoreishian, S. A. (2012). The Effect of Justice Administration Criteria on the Efficiency of Payame Noor University (PNU); using Fuzzy Theory. Research Journal of Applied Sciences, Engineering and Technology, 4(10), 1395-1402. https://www.airitilibrary.com/Article/Detail?DocID=20407467-201205-201510220011-201510220011-1395-1402
- Rahman, E. A., Hamzah, F. M., Latif, M. T., & Dominick, D. (2022). Assessment of PM_(2.5) Patterns in Malaysia Using the Clustering Method. Aerosol and Air Quality Research, 22(1), 1-15+ap1+s1-11-008. https://doi.org/10.4209/aaqr.210161
- 林效全（2003）。The Study of Emancipation and Constraint of Islam Women from Qur'an and Haddith in Seventh Century。史學研究，(17)，25-43。https://doi.org/10.29438/THR.200307.0002