CALENDAR ANOMALIES WITHIN SHARIAH-COMPLIANT MALAYSIAN STOCK MARKET

Abstract

This study delves into calendar anomalies within the Shariah-compliant Malaysian stock market with a focus on the day-of-the-week (DOW), month-of-the-year (MOY), turn-of-the-month (TOM), and turn-of-the-year (TOY) effects starting from 22 January 2007 until 31 October 2023. The study aims to ascertain the presence of anomalies and their implications towards the overall stock market efficiency. Notably, the study confirmed the significant DOW effect in the FBM EMAS (FBMEMS) and FBM Hijrah (FBMHS) Shariah-compliant indices, characterized by negative returns on Mondays, even after accounting for volatility. In contrast, monthly effects (MOY) exhibit variability in both indices, specifically in April, July, October, and December, posing challenges for investors attempting to strategically plan their portfolios. However, the absence of significant TOM and TOY effects suggests potential efficiency in these aspects of the Shariah-compliant indices. The existence of calendar anomalies, particularly the DOW Effect, suggests that the Malaysian Shariah-compliant indices are not weak form efficient as per the Efficient Market Hypothesis. These findings can help policymakers avoid excessive stock market fluctuations by helping them understand the various patterns in the market over time while examining their policies. It also tells fund managers, traders and individual investors about specific quirks or unusual behaviours and suggests they might need to adjust their investment strategies accordingly to exploit the market opportunities.