Average returns for small firm size portfolios tend to decrease during the week in January, with Monday returns highest and Friday lowest. More striking are the results after controlling for Mondays and Fridays in the first and the last 3 weeks of January. Monday returns in this first week are...

Purpose The present study aims to examine the effects of the Islamic sacred months, namely, Muḥarram, Rajab, Dhu al-Qaʿdah and Dhu al-Qaʿijjah, on stock prices on the Iran and Iraq Stock Exchanges. Design/methodology/approach Using the infrastructure models of the capital market, the daily...

Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserved...

This study analyzes the effect of Ramadan on the market index (Borsa Istanbul-BIST 100) and 23 BIST Sectoral Indices in Borsa Istanbul over the period between January 1997 and December 2015. According to the analysis, the average returns of tourism, service, transportation, electricity, and...