AN INVESTIGATION OF CALENDAR ANOMALIES IN ISLAMIC STOCK MARKETS: THE DAY-OF-THE-WEEK EFFECT

The aim of this study is to investigate the day-of-the-week effect of calendar anomalies on the All Country World Index (ACWI), which represents the global capital index from Morgan Stanley Capital International (MSCI) Islamic indices. For this purpose, MSCI Islamic ACWI index was analyzed by EGARCH method developed by Nelson (1991), one of the conditional heteroscedasticity models. As a result of the study, the day-of-the-week effect in the MSCI Islamic ACWI index was found only on Monday. This result also shows that there is no effect of Friday, which is considered to be more important for Muslims. Thus, it can be considered that this market deviates from the theory of Efficient Markets Hypothesis (EMH), and it is possible to obtain an extraordinary return in this market with appropriate investment timing.