تفاوتهای بین فرهنگی فصلی

This paper analyzes daily market index and company level stock return data across the Gulf Cooperation Council (GCC) region in search of calendar effects well documented in many international stock markets. The presence of day-of-the-week anomalies suggests the existence of a global phenomenon. In spite of the unique status of the Gulf region as a tax haven, company level data shows spill-over effects of tax-selling that can be used to identify market segments with a high presence of foreign investors trying to reduce the home tax burden as traces of the January effect are found in these segments. Lastly, the magnitude of the holiday effect depends not only on the cultural/religion setting of a country market but on the cultural/religious background of its participants. If a local market is dominated by foreign investors, their belief system, even if different from that of local investors, is reflected in the return behavior of the local market.

Since the preliminary observations of Wachtel (1942), evidence of stock return seasonality has been documented in abundance for developed and to a much lesser extent for developing and emerging markets. Among the most widely documented seasonality effect are the Monday effect (day-of-the-week effect), the January effect, and the Holiday effect. This paper analyzes daily stock market returns across the widely untapped GCC region1 in search of all three return anomalies.

The analysis of calendar effects in the stock markets of the GCC region reveals the presence day-of-the-week anomalies that are well documented in other markets around the world, suggesting the existence of a global phenomenon. The unique status of the Gulf region as a tax haven makes year-end tax-loss selling for local investors redundant. It is therefore not surprising that the market index data shows no signs of the January effect. Company level data shows spill-over effects of tax-selling and can be used to identify market segments with a high presence of foreign investors trying to reduce the home tax burden. In these segments, traces of the January effect are found. Lastly, the magnitude of the holiday effect depends not only on the cultural/religion setting of a country market but the cultural/religious background of its market participants. If a local market is dominated by foreign investors, their belief system, even if different from the local investors, is reflected in the return behavior of the local market.