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标题：Is There An Eid al-Fitr Effect In Malaysia?
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作者：Carl B. McGowan, Jr. ; Noor Azzudin Jakob
期刊名称：International Business & Economics Research Journal
印刷版ISSN：1535-0754
电子版ISSN：2157-9393
出版年度：2010
卷号：9
期号：4
语种：English
出版社：The Clute Institute for Academic Research
摘要：We test for the Eid al-Fitr Calendar Effect for the Syariah Index of the Kuala Lumpur Stock Exchange for the period from 2000 to 2003 and find no statistically significant effect. We examine the adjusted daily excess return and the cumulative adjusted daily excess return for the Syariah Index relative to the Kuala Lumpur Composite Index for the five Eid al-Fitr occurrences during the test period for the ninety day period about the Eid al-Fitr celebrations. The empirical evidence does not support the existence of this calendar effect in the Malaysian stock market.
关键词：Calendar Effects;Muslim calendar;stock returns;anomaly;Market Efficiency;Malaysia