نماذج العوائد الموسمية Calendar Anomalies في سوق الأسهم السعودية

Abstract EN

Seasonal (calendar) anomalies are one prominent puzzling issue in finance and have been increasingly attracting attention from researchers and practitioners, as well as academics.

One reason is its potential for exploiting these anomalies to outperform the market and achieve abnormal returns.

In This study, we investigate daily stock market anomalies in the Saudi stock market using its major stock index (TASI) for the period 1994-2013.

The results of the study shed some light on the degree of market efficiency in an emerging capital market which uses at rading calendar different from most stock markets around the world.

Saudi Stock Market follows a Hijri Calendar in its trading days and holidays, which might produce anomalies different from many other markets.

We document calendar effects, specifically day-of-the-week effect (Saturday) and monthly effects in some Hijri months in the Saudi market.

We also produce new results relating to salary period, which we call "salary effect.