Lunar Effect on Stock Returns and Volatility: An Empirical Study of Islamic Countries

• 발행기관: 한국유통과학회
• 저자명: Nur Liyana MOHAMED YOUSOP Wan Mohd Farid WAN ZAKARIA Zuraidah AHMAD Nur’Asyiqin RAMDHAN Norhasniza MOHD HASAN ABDULLAH Sulistya RUSGIANTO
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.5, 533~542쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.05.30

영문 초록

The main objective of this article is to investigate the existence of the lunar effect during the full moon period (FM period) and the new moon period (NM period) on the selected Islamic stock market returns and volatilities. For this purpose, the Ordinary Least Squares model, Autoregressive Conditional Heteroscedasticity model, Generalised Autoregressive Conditional Heteroscedasticity model and Generalised Autoregressive Conditional Heteroscedasticity-in-Mean model are employed using the mean daily returns data between January 2010 and December 2019. Next, the log-likelihood, Akaike Information Criterion and Schwarz Information Criterion value are analyzed to determine the best models for explaining the returns and volatility of returns. The empirical results have deduced that, during the NM period, excluding Malaysia, the total mean daily returns for all of the selected countries have increased mean daily returns in contrast to the mean daily returns during the FM period. The volatility shocks are intense and conditional volatility is persistent in all countries. Subsequently, the volatility behavior tends to have lower volatility during the FM period and NM period in the Islamic stock market, except Malaysia. This article also concluded that the ARCH (1) model is the preferred model for stock returns whereas GARCH-M (1, 1) is preferred for the volatility of returns.

목차

1. Introduction

2. Literature Review

3. Data and Methodology

4. Empirical Results and Discussion

5. Conclusion

키워드

Behavioral Finance Calendar Anomaly Islamic Stock Market Lunar Effect Autoregressive Conditional Heteroscedasticity