تقویم ناهنجاری ها در بازارهای سهام شورای همکاری خلیج فارس

We examine calendar anomalies in Gulf Cooperation Council (GCC) stock markets and document a Friday-type effect that occurs on the last trading day of the week and which we call “Wednesday effect”, since Wednesday is the last day before the weekend in the leading market for the region. This effect, however, is more pronounced outside the month of Ramadan. We also find a statistically significant positive December effect, contrary to the January effect documented in Western countries. The presence of such anomalies may provide money managers with opportunities to optimally time their trades based on daily and monthly price fluctuations.

The Gulf Cooperation Council (GCC) region is gaining increasing attention on a global scale.2 The region has weathered well the global financial crisis, and the leading economic GCC country, Saudi Arabia, which is a member of the G20, has announced the largest fiscal stimulus plan as a percentage of GDP. Other developments have also positioned this region on a global scale. Prior to 2008, GCC member countries had witnessed an unprecedented economic boom ignited by high oil prices and resulting in excess liquidity in the form of petrodollars since the turn of the century. GCC Sovereign Wealth Funds have become predominant on the international arena, undertaking strategic investments in different crisis-afflicted industries throughout the world. Additionally, GCC countries have set the course for regional economic and monetary integration among member states, increasing their potential collective role as a global economic player. More importantly, all GCC countries have gained accession to the World Trade organization (WTO) and they are gradually opening up their markets to foreign investors. Broad-ranging structural reforms and regulations have recently provided greater foreign investors access to GCC financial markets, which had previously remained unknown to institutional investors. A substantial body of evidence analyzing correlation in returns across regional and international markets provides evidence that GCC markets might provide an important venue for international portfolio diversification (Al Janabi et al., 2010, Assaf, 2003, Bley and Heng Chen, 2006, Hammoudeh and Aleisa, 2004, Hammoudeh and Choi, 2005 and Hammoudeh and Choi, 2007).3 In this paper, we examine whether GCC markets are weakly efficient through the presence of seasonal patterns that can be employed to realize abnormal returns.4 We focus on two major calendar anomalies that are reported in different stock markets across the globe, the day-of-the-week or Monday effect and the month-of-the-year or January effect. The Monday effect happens when returns are lower or negative on Mondays in comparison with the returns on other days of the week. The month-of-the-year or January effect, which is generally a characteristic of small stocks, occurs when returns are abnormally higher in January compared to other months of the year. Our motivation is that GCC stock markets are unique in their trading days and holidays. Specifically, they observe different trading days and non-overlapping holiday periods compared to most countries so that calendar anomalies, if any, are likely to be different from those reported for other economies. Monday does not represent the first day of the week in any of the GCC countries and there is no basis for international investors to expect negative returns on that day similar to those documented for other stock markets. Also, the last trading day of the week for the leading regional market or Tadawul in Saudi Arabia falls on Wednesday, and events affecting that market on a particular day may be expected to spill over to other GCC countries, especially in light of increased regional integration and projected monetary union ( Bley and Heng Chen, 2006). If the day-of-the-week effect reported for other stock markets holds for the GCC region, we expect positive (negative) returns on the last (first) trading day of the week, or Wednesdays (Saturdays). Furthermore, religious holidays and activities for GCC nationals follow the Hijri calendar year that is based on lunar months, notwithstanding the use of the Gregorian calendar by businesses and governments. The observed holidays do not coincide with other non-Muslim religious holidays, and one example is Eid-El-Fitr that marks the end of the holy month of Ramadan. Ramadan bears a special significance to GCC investors because Muslims are required to fast during this month and to show care for the less fortunate in society, in addition to exercising spirituality. As a result, the trading activity of GCC investors is likely to be reduced during Ramadan, and a month-of-the-year effect, if present, may be associated with the occurrence of this month. The study of calendar anomalies in the context of GCC countries has received little attention in the academic literature, generally focusing on a single member country and not the region as a whole. For example, Seyyed et al. (2005) investigate seasonality in return volatility associated with the month of Ramadan for the Saudi Tadawul stock market, and they document a systematic declining pattern of volatility that reflects reduced trading activity during the fasting period. Al-Saad and Moosa (2005) report a July effect for the Kuwait Stock Exchange which they characterize as a “summer holiday effect”; Al-Saad (2004) also examines the Kuwait Stock Exchange but his results do not show the presence of any holiday effect, although stock returns are significantly higher post liberation of Kuwait following the Iraqi invasion. More recently, Al-Khazali (2008) finds no evidence in support of a day-of-the-week effect in the United Arab Emirates (UAE) stock markets, suggesting that these markets are to a certain extent efficient. Al-Barrak (2009) examines the day-of-the-week effect in three GCC markets (Saudi Arabia, Kuwait, and Dubai) and reports that a daily anomaly exists only in Kuwait stock market. Finally, Bley and Saad (2010) examine three market anomalies in the context of GCC countries; namely day-of-the-week, month-of-the-year, and holiday effects. They find evidence of a day-of-the-week effect in most GCC stock markets, but occurring on days that are different from Friday and Monday. However, they report no month-of-the year or January effect as is the case for a number of Western countries. Bley and Saad (2010) also find that the magnitude of the holiday effect depends on both the culture and religion of the market and of its participants. We also investigate the presence of a day-of-the-week and month-of-the-year effect, but we extend our coverage of calendar anomalies to all six GCC stock markets, which operate under a unique environment that is different from advanced and other emerging markets (as discussed in more detail in Section 2). For example, these stock markets have unique settlement procedures, trading days, and they prohibit short selling due to religious underpinnings.5 Trading activity is still dominated by small home country investors, and there are resilient restrictions on non-GCC ownership of shares, whether individual or institutional. Further, all GCC countries operate under a no-income tax and no-capital gain tax setting; therefore, the tax-induced January effect that prevails in the US should not exist in GCC markets. In light of these specificities, it is unlikely that the traditional Monday and January effects prevail in those markets. Should other calendar anomalies be present, they also cannot be attributed to the explanations previously provided by the literature for other countries. We find that returns are significantly positive during the last trading day of the week in GCC stock markets, similar to the results reported for other markets. However, that day coincides with Wednesday and not Friday, suggesting the presence of a “Wednesday effect” for GCC capital markets. However, the “Wednesday effect” is more pronounced outside the month of Ramadan. We also test for the presence of a month-of-the-year effect, but do not find evidence to suggest that investors' behavior is altered for any Gregorian or Hijri month of the year, despite a significant drop in market volatility during Ramadan. The results of this study are valuable to money managers, institutional investors, and sophisticated investors since the knowledge of anomalous behavior of stock returns is a vital piece of information when adopting strategies to structure optimal portfolios. These strategies include market timing, short selling, and tax savings that are all based on taking advantage of the seasonality behavior of stock prices. The rest of the paper is organized as follows. Section 2 presents an overview of GCC stock markets. Section 3 describes our data and methods. Section 4 discusses the empirical results, and Section 5 summarizes and concludes.

The GCC region is receiving increased attention from international investors, not only due to the excess of liquidity from petrodollars and ensuing economic growth, but also because of greater resilience that these countries have so far shown to the global financial crisis compared to other economies. In this paper, we argue that GCC stock markets have certain specificities that render previously reported calendar anomalies for other markets not applicable. The scant earlier work investigates individual GCC countries separately, reports declining volatility during the month of Ramadan, and does not find calendar anomalies similar to those documented for other stock markets. We find that returns are positive and significant on the last trading day of the week, in line with the literature for Western markets. This calendar anomaly, however, does not occur on Fridays, but rather on Wednesdays, and it is more pronounced during non-Ramadan days. We attribute this outcome to investors' buying mood right before the weekend begins in an environment where short selling is not allowed and trading in derivatives is not available. The investors' mood hypothesis may also explain the significant positive December effect that we find across GCC stock markets. While we do not find any significant difference in returns across the Hijri lunar calendar months, we note that the volatility of returns is significantly reduced during the month of Ramadan. This behavior coincides with the fact that economic activity generally slows down during Ramadan, and that trading in securities and speculation are also considerably reduced. Overall, our results provide evidence to suggest that, similar to international markets, calendar anomalies prevail in GCC stock markets. This outcome may be due to a number of factors such as relatively inactive markets, low volume of trading and liquidity, and perhaps the presence of few sophisticated investors so that possible intra week arbitrage opportunities are totally exploited. It could be that active investment strategies might generate abnormal returns in these markets. However, this opportunity may be restricted to GCC nationals only, since there are still some resilient regulatory restrictions on stock ownership by non-GCC investors in those markets.