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Examination of Day-of-Week Effect Patterns during the Ramadan and Non-Ramadan Periods

Abstracts


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.

References


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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.

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