The Islamic Calendar Effect in Malaysian Stock Market

THE ISLAMIC CALENDAR EFFECT IN
MALAYSIAN STOCK MARKET
NURHIDAYAH BINTI AB KARIM
UNIVERSITI SAINS ISLAM MALAYSIA

THE ISLAMIC CALENDAR EFFECT IN MALAYSIAN STOCK MARKET
NURHIDAYAH BINTI AB KARIM
(1100425)
A THESIS SUBMITTED IN FULLFILMENT OF THE REQUIREMENTS FOR

THE BACHELOR OF SCIENCE WITH HONORS (FINANCIAL MATHEMATICS)
FACULTY OF SCIENCE AND TECHNOLOGY

UNIVERSITI SAINS ISLAM MALAYSIA
JANUARY 2014
I
AUTHOR DECLARATION
I hereby declare that the work in this thesis is my own unless specified and duly
acknowledge by quotation.
Date: 20 January 2014
Name: Nurhidayah Binti Ab Karim
Matrics. No: 1100425

II
APPROVAL FOR SUBMISSION
I certify that this project report entitled THE ISLAMIC CALENDAR EFFECT
MALAYSIAN STOCK MARKET was prepared by NURHIDAYAH BINTI AB
KARIM has met the requirements for the award of Bachelor of Science (Hons.) Financial
Mathematics.
Approved by,
..
KARMILA HANIM BINTI KAMIL
Faculty of Science and Technology
Universiti Sains Islam Malaysia
Date:
III
ACKNOWLEDGEMENTS
Praise to Allah SWT for giving me nimat Iman and Islam to us and Peace be upon Him
(Muhammad S.A.W.). Alhamdulillah, I was completed this study successfully. I hereby
dedicated my sincere appreciation to Prof Dr Bachok Bin M Taib, Dean of Faculty of
Science and Technology (FST) and to my supervisor, Madam Karmila Binti Kamil for their
great advices, patience, concern, and guidance from beginning until the end of this study.
Also special thank to all lecturers and staff of FST, for their help and cooperation. Doa and
jazakumullahukheir to my beloved parents, AbKarim Bin Shawab and Thuaibah Binti
Ibrahim, my grandfather Ibrahim Bin Kitang for the best teachers in my life that always
recommend me to do any things that can relate to Islam. Special thanks to my brothers and
sisters, my cousins, my aunts and aunties, for simply support me to complete this study.
Not forgetting to my friends, thank you for giving support me and strength.
IV
ABSTRACT
This study is an investigation about the Islamic Calendar effect in Malaysian Stock Market.
Previously, there had been quite a number of researchers arguing about this issue. Apart of
them claimed that there is Ramadhan effect in Islamic countrys stock market but still in
doubt for the remaining months of Islamic calendar. These issue concern by all investors
because their acts are base on all previous researches that has been made. Therefore, this
study use unconditional risk analyses to prove that there is Islamic calendar effect in
Malaysian stock market. By using this method, risk allow to vary across the month of
Islamic calendar. Three models will be used in this study. It conducts starting from simple
model of Islamic calendar effect to unconditional risk model. Different models produce
different results. From the results we found that which month in Islamic calendar having an
effect to stock market and which month having a relatively low risky market. This study is
using daily data from the Index FTSE Bursa Malaysia and selected market risk factor
Kuala Lumpur Interbank Offered rate (KLIBOR) start 31 December 2009 to 1November
2013 equivalently 1 Muharam 1430 H to 29 Zulhijjah 1434H. For easier configuration, the
final results are present in a separate table and figures which are show the exact Islamic
month effect in Malaysia stock market. Finally, this study shows the existence of Islamic
calendar effects in Muharam and Zulkaedah months. It means, there is Muharam and
Zulkaedah effect or we called it after eid effect. Conventional stock market having
relatively high risky market in Zulkaedah and Zulhijjah. The findings also prove that the
conventional and shariah-compliant stock market have similarities and differences towards
the Islamic calendar effect in Malaysian stock market.
Key Words: Islamic Calendar Effects, KLIBOR, FTSE Bursa Malaysia, Market risk factor.
V
ABSTRAK
Kajian ini bertujuan untuk mengkaji kesan kalendar Islam (Hijri) dalam pasaran saham di
Malaysia. Sebelum ini, terdapat beberapa kajian yang berkaitan dan sebahagian daripadany
menjumpai terdapatnya kesan bulan Ramadhan dalam pasaran saham di negara-negara
Islam yang lain. Tetapi berlaku keraguan terhadap beberapa bulan-bulan Islam yang lain.
Kajian ini menggunakan analisis risiko tidak bersyarat untuk membuktikan terdapatnya
kesan kalendar Islam di dalam pasaran saham di Malaysia. Dengan menggunakan cara
seperti ini, kehadiran risiko akan mempelbagaikan keputusan dan lebih tepat berbanding
tidak menggunakan risiko. 3 model digunakan dalam kajian ini. Bermula dengan model
yang mudah kepada model risiko yang tidak bersyarat. Kajian ini menggunakan data harian
yang di ambil daripada Indeks FTSE Bursa Malaysia dan Kadar penawaran faedah antara
bank Kuala Lumpur (KLIBOR) bermula daripada 30/12/2008 sehingga 1/11/2013
bersamaan 1 Muharam 1430 sehingga 29 Zulhijjah 1434. Untuk gambaran yang lebih
mudah, keputusan akhir akan ditunjukkan dalam jadual yang berbeza. Akhir sekali, kajian
ini menunjukkan wujudnya kesan kalendar Islam di bulan Muharam dan Zulkaedah.
Maknanya di sini, terdapat kesan selepas bulan Shawal dan Zullhijjah (Hari Raya dalam
Islam). Pasaran saham konvensional mempunyai pasaran saham yang berisiko tinggi di
dalam bulan Zulkaedah dan Zulhijjah berbanding pasaran saham Islam. Hasil kajian juga
membuktikan terdapat perbezaan kesan kalendar Islam di dalam pasaran saham shariah dan
juga bukan berdasarkan shariah.
Kata kunci : Kesan kalendar Islam, risiko tidak bersyarat, KLIBOR, FTSE Bursa Malaysia,
Risko pasaran saham.
VI
TABLE OF CONTENTS
CONTENT PAGE
Declaration VI
Approval for submission VI
Acknowledgement VI
Abstract VI
Abstrak VI
Table of contents VI- VI
List of figures VI
List of Tables VI
List of Abbreviations VI
List of appendixes XII
CHAPTER 1: INTRODUCTION
1.1 Introduction 1-2
1.2 Problem statements 3-4
1.3 Objectives of the study 5
1.4 Scopes and limitations 5
1.5 Significance of the study 6

VII
CHAPTER 2: LITERATURE REVIEW
2.1 Intoduction 17
2.2 Gregorian calendar studies 17
2.3 Islamic calendar studies 17-18
2.4 Market risk factors 19-20
2.5 Conclusion 20
CHAPTER 3: DATA AND METHODOLOGY
3.1 Data collection 21
3.2 Method of analysis 21
3.2.1 Descriptive analysis 22-23
3.2.2 Dummy regression analysis 23-28
CHAPTER 4: ANALYSIS AND FINDINGS
4.1 Descriptive statistical analysis 29-30
4.1.1 Average price return in FTSE Stock Market 31-32
4.1.2 Kurtosis 33-34
4.1.3 Skewness 35
VIII
4.2 Calendar dummies regression analysis 36
4.2.1 Islamic calendar effect: Conventional FTSE Stock Market 36-39
4.2.2 Islamic calendar effect: Shariah-Compliant FTSE Stock 40-43

Market
4.2.3 Islamic calendar effect and market risk factor: Conventional 44-47
FTSE Stock Market
4.2.4 Islamic calendar effect and market risk factor: Shariah- 48-51
Compliant FTSE Stock Market
4.2.5 Islamic calendar effect and market risk factor in calendar 51-55
dummies: Conventional FTSE Stock Market
4.2.6 Islamic calendar effect and market risk factor in calendar 55-58
dummies: Shariah-Compliant FTSE Stock Market.
4.3 Conventional and Shariah-compliant FTSE Stock market 59-61
CHAPTER 5: CONCLUSION AND RECOMMENDATION
5.1 Summary 62
5.2 Conclusion 62-63
5.3 Recommendation 63
REFERENCES 64-65
APPENDICES 66-85
IX
LIST OF FIGURES
FIGURE CAPTION PAGE
Figure 4.1: Movement of FTSE Stock price index return against time . 29
Figure 4.2: FTSE KLCI Price return Index against Time 66
Figure 4.3: FTSE EMAS Price return Index against Time 66
Figure 4.4: FTSE HIJRAH-Shariah Price return Index against time 67
Figure 4.5: FTSE EMAS-SHARIAH Price return Index against Time 67

X
LIST OF TABLES
TABLE CAPTION PAGE
Table 3.1: The selected FTSE Stock Market Table 21
Table 4.1: Minimum and maximum FTSE Stock Market Price return. 30
Table 4.1.1: Average price return in FTSE Stock Market. 31
Table 4.1.2: Kurtosis and Skewness for FTSE Stock Market Price 33
index return (Selected months)
Table 4.2.1: Model 1 Islamic calendar effect: Conventional FTSE 36

Stock Market
Table 4.2.2: Model 1 Islamic calendar effect Shariah-Compliant FTSE 40

Stock Market:
Table 4.2.3: Model 2 Islamic calendar effect: Conventional FTSE Stock 44

Market and market risk factor
Table 4.2.4: Model 2 Islamic calendar effect and market risk factor: 48
Shariah-Compliant FTSE Stock Market
Table 4.2.5: Model 3 Islamic calendar effect and market risk factor 51
in calendar dummies: Conventional FTSE Stock Market
XI
LIST OF ABBREVIATIONS
FTSE Financial Times and Stock Exchange
KLCI Kuala Lumpur Composite Inde
EMSYA EMAS-Shariah
RM Ringgit Malaysia
pp. Pages
Vol Volume
XII
LIST OF APPENDICES
Appendix CAPTION PAGE
Figure 4.2: FTSE KLCI Price return Index against Time 66
Figure 4.3: FTSE EMASI Price return Index against Time 66
Figure 4.4: FTSE HIJRAH-Shariah Price return Index against Time 67
Table 4.1: Minimum and maximum FTSE Stock Market Price return 67
Table 4.1.2: Kurtosis and Skewness for FTSE Stock Market Price index 68
return (Selected months)
Appendix 1 Regression analysis from Model 1 69-74

I
1
CHAPTER 1
INTRODUCTION
1.1 Background
Calendar are usually used by the investors as a guide to buy and sell stocks. Many
researches investigate the calendar which are based on Gregorian calendar. However,
different countries and societies also follow their own calendar which is based on religion.
For example, Jewish society follow Hebrew calendar which strictly based on luni-solar, the
Christian society follows Gregorian calendar, which is based on Solar. Muslim society
follows the Islamic Calendar which is based on a lunar calendar, referred to as the Hijri
Calendar. Islamic calendar contains 12 months that start with the appearance of new moon.
The average days in a lunar month contain only 29.53 days and that is why Islamic year is
approximately 11 days shorter than the Gregorian year.
As we know, Malaysia is one of the Islamic countries that use Islamic calendar and
Gregorian Calendar. However, only few researcher investigate the effect of Islamic
calendar in Malaysian stock market. According to the special days and months, Christian
society celebrated Christmas days, Deepavali by Hindu society, and Wesak day by
Buddhist. Like Muslim society, they also observed and celebrated the religious month like
as Ramadhan, Shawal and Zulhijjah.
Ramadhan is the ninth month in the Islamic calendar. In the month of Ramadhan, it
is the month of fasting in which prohibition of eating, drinking and smoking in daytime
starting from subuh in the morning until maghrib in evening. Hotels and restaurants are
closed in day times. This month, muslim is motivated towards the religious activity. Most
of the time spends on solat sunnah, recitation of Al-quran, participation in social services.
In the last tenth of Ramadhan, most of muslims sit in mosque for itikaf to search
LailatulQadr. Some people visit to Makkah to perform umrah.
2
Fasting is one of the alternative to refrain from hunger and thirst, and refrain from
doing any bad things according to their desires (nafs).According to a study done by
Norhanani and Ahmad Azam (2012), in the month of Ramadhan and Shawal 2007-2010,
the stock market is at stable level for non-occurrence of high volatility. This study proved
most investors do not tend to involve in speculating in month of Ramadhan.
As a result, people improve their affilitation to Allah, i.e. fearness of Allah. Muslim
avoid from sin and wrongdoing such riba, gambling and speculation which is obviously
prohibited in Islam. The working hours of the offices or any sector and business activity,
were reduces. Due to the changes in Ramadhan as compared to other month, it is interesting
to study the behavior of trading activity before and during Ramdhan.
After Ramadhan, muslim society celebrated eidulfitri. It comes immediate end of

Ramadhan after maghrib. People purchase new cloth, buy ingredients to make cookies and
preparing the food for the guests at feast of Eidulfitri. It is observed that food prices, prices
of cloths and price of other commodities increase during this month. The activities in this
month, eventually impact on financial market trading activity. It decreases the volatility of
stock market in volume and stock returns in Pakistan (Hussain, 1998). This situation is not
observed in Pakistans financial market only, it also observed in Saudi Arabia stock market.
Seyyed, Abrahim and AlHajj(2005) founded that volatility and trading activity (volume as
well as return) decline in Saudi Arabia stock market during Ramadhan. Though
Hussain(1998) investigated the Ramadhan effect in Pakistan stock market and found less
volatility during Ramadhan but he cannot found the behavior of average return before and
after Ramadhan.
In month of Zulhijjah, people slaughtered the animal like cow, goat, camel, etc, to
follow the sunnah of prophet Ibrahim. It increases the consumption of people in Karachi,
which reduces the purchasing power hence saving decrease.(Khalid Mustafa 2008).
Based on the changes that occur in the months of Islam, it is interesting to further
investigate the behavior of trading activity in stock market.
3
1.2 Malaysian Stock Market
Before this, Malaysian stock market formally named as Malayan Stock Exchange
and was established in 1960 and that time, public trading of shares were launched.
Actually, Malayan Stock Exchange were established in 1930 which is the first formal
securities business, Singapore stockbrokers in Malaysia. It was re-registered as Malayan
Stockbrokers association in 1937. After few of year, the stock exchange Malaysia was
established in 1962. During the separation Singapore from Malaysia, it caused the Stock
exchange of Malaysia became known as the Stock Exchange of Malaysia and Singapore.
Due to the currency interchangeability between Malaysia and Singapore terminated in
1973, the Stock Exchange of Malaysia and Singapore was divided into the Kuala Lumpur
Stock Exchange Berhad (KLSE) and the Stock Exchange of Singapore. After a while, the
name was changed to Bursa Malaysia Berhad in 2004 and was listed on the Main Board of
Bursa Malaysia Securities Berhad in 2005.
1.2.1 Bursa saham and FTSE
FTSE Group and Bursa Malaysia partnered in 2006 purposely to provide a suite of
tradable and investable that indices for the Malaysian Market. This enabled the launch of a
comprehensive range of real-time indices, which covered all eligible companies listed on
the Bursa Malaysia Main and ACE Markets. The indices are designed to measure the
performance of the major capital segments of the Malaysian market, dividing it into large,
mid, small cap, fledgling and Shariah-compliant series, giving investors a wider selection
and the flexibility to measure, invest and create products in these distinct segments.
4
1.2.2 Shariah-compliant investment in FTSE
Shariah-compliant investment products such as FTSE Bursa Malaysia Hijarah

Shariah Index is the product that meet the screening requirements of International Islamic
investors. Companies in the index are screened by the Malaysian Securities Commission's
Shariah Advisory Council (SAC) and the leading global Shariah consultancy, Yasaar Ltd,
against a clear set of guiding principles.
1.2.3 Market Risk Factor
Market risk factor is the factors that affect the financial markets. Market risk also
called as systematic risk which is cannot be eliminated through diversification but it can be
hedged. The example of market risk factor is interest rate, treasury bills, real effective rate,
and others.
1.3 Problem Statements
In order for malaysian investor to buy and sell stock, they will be interested to
investigate about the factor that would influence to Malaysian stock market. One of the
factors that would cause change in Malaysian stock market is Islamic calendar effect.
Previously, there were various researches on Islamic calendar effect. Even though many
investigations have been made on this issue, up until now, there were only few of
researchers in Malaysia have done the research on this topic. In addition, only few
researchers have initiative to study this issue. As a muslims we should to investigate the
useful of Islamic calendar in Malaysian stock market and at the same time we try to provide
the benefits to all muslim investor.
5
1.4 Objectives of the study
It so many research in Gregorian calendar but only few of research on Islamic

calendar. The objective of this study is to:
1) Identify which month in Islamic calendar effect to Malaysian stock market.
2) Identify which month in Islamic calendar having relatively high risky market ( negative
and significant in risk factor)
3) To investigate whether there is differences or similarities effects on Islamic calendar,

between Conventional and Shariah-compliant stock market.
1.5 Scopes and Limitations.
I assume that the variables under this study are measurable and the data used is
valid and reliable to calculate. To achieve the objective of this study, a number of stocks
taken from the Malaysian stock market, specifically from Kuala Lumpur Stock Exchange
(KLSE) library. This is due to the accuracy and sufficiency of data provided in order to
attain the best result.
Moreover, I assume that my results in this investigation will be relevant and it can
be used as a guidance for muslim investor to make a decision. The data will be used started
30 December 2013. Limitation of the data in that will be used until 1November 2013. This
result of this study can be used by muslim investors who are interested to invest in
Malaysia stock market. This result also can be used as a references for those who wants to
further his study in Islamic Calendar effect.
6
1.6 Significance of the Study.
A study is an important resource for the future generation to make reference in any
scope of study. Therefore, the significant of this study is that it will be a good reference for
future muslim investor to observe the performance of Malaysian stock market. Thus, it will
be easier for future muslim investor to make a decision and to identify which month in
Islamic calendar to invest in stock market. In addition, muslim investor can identify which
stock is more preferable to be invested, either in shariah index or composite index. Lastly,
study on this topic will help others to make further research on Islamic calendar effect in
Malaysian Stock market.
7
17
CHAPTER 2
LITERATURE REVIEW
2.1 Introduction
The Islamic calendar effect in Malaysian stock market has been an attention by
allinvestor, institutions or individuals. Thought a lot of attention has been investigated in
Gregorian calendar but only a few investigation on religious calendar.
2.2 Gregorian Calendar Studies
Research on Islamic calendar effect in Stock Market is rarely to be investigated.

There were various studies make on Gregorian calendar:Abounouri and Izadi (2005)
evaluate effect on stocks price in Tehran stocks exchange by using the model of time series
(Arch and Garch), Al-Rjub (2004) did a research on the effect of week days on Amman
stocks exchange (Jordan),Nassir and Mohamad (1987),and Wong et al. (1990) significantly
higher returns in Januray, whereas Ho (1990) found that there is February effect in the
Malaysian stock returns. Rick,Venus and Azizi (2006) found that the day-of-the week
effect exists in the Malaysian stock markets.
2.3 Islamic calendar Studies
From the previous studies, there are few research on Islamic calendar effect in stock
market. Research had been studied outside Malaysia: Alper and Aruoba (2001) analyzed
various macroeconomic variables in Turkey and show that the usual seasonal adjustment
procedures based on fixed holidays like Ramadhan, Husain (1998) analyzed the Ramadhan
effect in Pakistani stock market, Seyyed, Abraham and Al-Hajj (2005) ) investigated the
18
Ramadhan effect in Saudi Arabian stock market. All of the above studies do not find any
significant changes in the average returns during Ramadhan.
On the other hand, Khalid Mustafa (2006) used both conditional and unconditional
risk analyses to investigate the Islamic calendar effect in Karachi stock market. Zulqaedah
and Shawal effect are found in all models except Shawal and only one model has no effect.
It shows that, there is after Ramadhan effect in stock market. In this research, he founded
that Ramadhan month is relatively low risky in Karachi stock market.
Aliakbar, Abbasali and Hossein (2013) used Garch model to investigate the impact
of Ramadhan effect on Iran Stock Exhange Index. Results of this research showed that
there is positive and significant relationship between changes of stock exchange index with
Ramadhan, Shawal and Rabiul Awal months. However there is negative and significant
relationship between stock exchange index with Jamadil Akhir, Rabiul Akhir, Muharram
and Rejab months. Previous studies that have been mentioned above were not in Malaysia
area, it produced the difference results.
A few investigations are done by Malaysian researchers on Islamic calendar. Which

is the effect Shawal and Ramadhan in Malaysian stock market. Norhanani and Azam
(2011) analyzed the volatility of FTSE Bursa Malaysia Shariah Index on Islamic calendar
effect. In their research, they founded in Ramadhan and Shawal 2007-2010, stock market in
stable condition because in these months not occur high rate volatility.
Carl and Aizuddin (2010) founded that Shawal month on Islamic calendar for the
Shariah Index of Kuala Lumpur Stock exchange from year 2000 to 2003 and founded no
statistically significant effect. Using OLS analysis, the empirical results fail to detect
evidence that supports the presence of Eid al-Fitr effect in Malaysia. Due to the presence of
Bumiputera in the stock market is still relatively small and the practice of giving cash
bonuses during Eid al-Fitr celebrations is not of the same magnitude as the Chines New
Year. In short, the Eid al-Fitr festival is not significant event that can lead to a calendar
effect in Malaysia.
The result that founded by Carl and Aizuddin (2010) is different to Khalid Mustafa
(2006) and Aliakbar, Abbasali ,Hossein (2013). Due to the difference state of research, we
can conclude that results obtained by the researchers still in doubt.
19
2.4 Market Risk Factors.
Market Risk is also referred to as systematic risk or non-diversifiable risk. Khalid

Mustafa (2008) studied the Islamic calendar effect In Karachi Stock Market. He used the
conditional risk to vary across the month of Islamic calendar. He founded that during
Ramadhan is relatively high risky market.
Pettengill, Sundaram and Mathur (1995) and Jonathan Fletcher (2000) studied An
asymmetric relationship between stock returns and market risk. They founded that positive
market returns have a different impact on stock returns than do negative market returns.
Raphael and Hassan (2012) studied Interest Rate Risk of Stock Prices in
NigeriaEmpirical Test of the Duration and Convexity Model. The results provide empirical
support for the duration and convexity hypothesis of the existence of a non-linear
relationship between interest rate risk and stock prices in Nigeria.
Foo Zor Thang (2009) studied the Impact of Interest Rate and Exchange Rate on the
Stock Market Index in Malaysia. He used a cointegration analysis. He founded that the
interest rate and the exchange rate have negative impact on the stock market index in the
long run as well as the short run Raphael I. Udegbunam and Hassan (2012) and Foo Zor
Thang (2009) collected same results which is the interest rate give an impact to the stock
market. Only Foo Zor Thang (2009) founded that the exchange Rate give an impact to the
stock market
Mohamed Albaity and RubiAhmad(2008) used Kuala Lumpur Interbank Offer Rate
(KLIBOR) to represent the risk-free rate in their methodology. They suppose to see the
evidence of significant statistical differences in risk-adjusted returns between Islamic and
conventional stock market indices during 19992005. The results, however, provide no
evidence of significant statistical differences in risk-adjusted returns between Islamic and
conventional stock market indices during 19992005.
20
The previous studies guided me to use the KLIBOR as market risk factors because it
more precisely between conventional and shariah-compliant stock market. The previous
study that conducted by Mohamed Albaity and Rubi Ahmad(2008) is closely related to my
study.
2.5 Conclusions
Therefore this study aim to fill the gap from the literature by choosing the selected
month of Islamic calendar which are Muaharam,Syaaban,Ramadhan, Syawal, Zulkaedah,
and Zulhijjah. Moreover, this study try to make a comparison based on the results found in
2 different Stock Market index. Lastly, the new daily data and the new market risk factor
will be used in this study.
17
21
CHAPTER 3
DATA AND METHODOLOGY
3.1 Data collection
This study will be conducted using the daily data from the Index FTSE stock market start
1 November 2013 equivalently 1 Muharam 1430 until 29 Zulhijjah 1434H. The stock index for
each months will be compared for 5 years to examine whether it give an effect to Malaysian
stock market or not. The same data for both conventional and Shariah-compliant stocks were
collected to know whether both of the stocks have difference in Islamic calendar or not. The
selected FTSE were selected as followed:
Table 3.1: The selected FTSE Stock Market Table
No. Conventional FTSE Bursa Malaysia Stock Shariah-Compliant FTSE Bursa Malaysia
Market INDEX Stock Market INDEX
1 FTSE KLCI FTSE HIJRAH
2 FTSE EMAS FTSE EMAS SHARIAH
3.2 Method of Analysis
The methods of analysis consist of two which are as followed:
i. Descriptive statistics
ii. Dummy Regression Analysis

22
3.2.1 Descriptive Statistics
Descriptive statistics describes the main features of a collection of data which provides a
summary of data that collected in this study. The descriptive statistics discussed in this chapter
are as followed:
a) Average return in Stock Market price
The average return in stock market were calculated for each selected months in Islamic
calendar. Return were calculated from this formula.
= /
Which are = Return for each month selected
= New Price
= Old Price

Average return= =
Which is = Return for each month selected
b) Skewness
Skewness is important to investing. Most sets of data, including returns stock price have
either positive or negative skew rather than following the balanced normal distribution
(skewnees is zero). By knowing which data is skewed, estimate the mean, whether it is more
or less than the mean. (investopedia)
23
c) Kurtosis
Kurtosis describes trends in charts. A high kurtosis describes a chart with fat tails and a low,
even distribution, whereas a low kurtosis describes a chart with skinny tails and a distribution
concentrated toward the mean. (Investopedia) If the value of kurtosis greater than 3, the data
not in normal distribution.
3.2.2 Dummy Regression Analysis
This study will be conducted using the methodology of Ariel (1987), Lakohishok and
Smidt(1988), Jaffe and Westerfield (1989) is used. However, some change has been proposed by
Khalid Mustafa, (2006). In this methodology.First model, the excess stock return ( ) will
regress on Muharam, Shaaban, Ramadhan, Shawal, Zulqaedah and Zulhijjah.
1) Islamic Calendar Effect
= + + + + + + (1)
Which are,
, ,, = , , ,
, , , = , , ,
=
24
2) Islamic Calendar Effect & Market risk factor with calendar dummies
= + + + + + + + (2)
, ,, = , , ,
, , , = , , ,
3) Islamic Calendar Effect & Market risk factor.
= + + + + + + = + (3)
Which are,
, ,, = , , ,
, , , = , , ,
=
=
25
Equation 1 to 3, shows the variation of model from simple to unconditional risk model. The
market risk factor only exist in equation 2 and 3. The existence of market risk factor is assumed
to have relationship on stock market returns.
In order to identify the Islamic Calendar Effect between the dependent variable and independent
(dummy and risk variable), an analysis description were conducted on several statistical tools of
the regression model. Which are:
a)
b) Coefficient of every independent variable
c) Standard Error
d) P-value
e) F-statistic
f) Test statistics (t-test)
a) R-squared (
To asses the utility of the regression, first we observed the outcome for the coefficient of
determination which is denoted by .The formula for is as the following:

=
+
Where:
Explained variation =
Unexplained variation=
Total variation = Explain variation + Unexplained variation

26
The value of represent the amount of total variation in the observed value of y that
explained by the predictor variable where the value of is always between 0 and 1.
b) Coefficient of independent variable.
The coefficient of independent variable represents the mathematical measure of the

relationship between a dependent variable and an independent variable. If the coefficient is
positive, it means dependent variable have positive relationship with dependent variable.
c) Standard Error
The standar error is an indication of the reliability of the mean. A small Standard error is
indicate that the sample mean is a more accurate reflects to the actual population mean. A
larger sample data mostly in smaller Standard deviation result.
The standard error are defined as follows:
= = (observed value of ) (predicted value of )
Where the predicted value of is calculated using the least squares prediction equation.
= + + + + + for Islamic calendar effect
= + + + + + + for Islamic calendar effect

and market risk factor
= + + + + + + = for Islamic calendar

effect and market risk factor with calendar dummies
d) P-Value
27
P-value is the probability that data collected would be at least this inconsistent with the
hypothesis, assuming the null hypothesis is true. When the p-value is less than the
significance level , the null hypothesis is rejected and the result is said to be statistically
significant
e) F-Test Value
By testing the significance of the regression analysis, we can use F-statistics. The formula for
F-test is as follow:

F(model) = )
(

Where:
n = Number of observations
Hypothesis testing:
: = ,there is no significant relationship between dependent variable and independent

variable.
: , there is a relationshop between dependent variable and independent variable.
We can reject if either of the following conditions were accepted. Which are:
F(model) > []
P-value <
The point is, if [] is based on the numerator (number of independent variable) and n-2
denominator degrees of freedom.When F(model) > [] it indicate that the independent
variable (dummy and market risk variable) is significantly affecting the return stock prices.
28
f) Test statistics (t-test)
Test statistics or t-test is used to test the significance of the coefficients for each independent
variable in regression. The statements for the hypothesis test as follow:
: = ,there is no significant relationship between dependent variable and independent

variable.
: , there is a relationshop between dependent variable and independent variable.
Test statistics formulated as:
Where:
= standard error of
The null hypothesis is rejected if the calculated value of the test statistics is greater than t-
table value. If is rejected, we have strong evidence that the independent variable is
significantly related to dependent variable in the regression model.
21
29
CHAPTER 4
ANALYSIS AND FINDINGS
4.1 Descriptive Statistical analysis
Figure 4.1: Movement of FTSE stock market price index return against time.
FTSE stock market price index return

0.2
0.15
0.1 KLCI
Price Return
0.05 EMAS
0 EMSYA
SHAWAL
SHAWAL
SHAWAL
SHAWAL
SHAABAN
SHAABAN
SHAABAN
SHAABAN
RAMADHAN
ZULKAEDAH
ZULKAEDAH
ZULKAEDAH
ZULKAEDAH
ZULHIJJAH
ZULHIJJAH
ZULHIJJAH
ZULHIJJAH
ZULHIJJAH
MUHARAM
MUHARAM
MUHARAM
MUHARAM
MUHARAM
RAMADHAN
RAMADHAN
RAMADHAN
-0.05 Hijrah
-0.1
-0.15
Figure above showed the movement of FTSE stock market price index return
against time which represented by FTSE Kuala Lumpur Composite Index (KLCI), FTSE
Bursa Malaysia EMAS, FTSE Bursa Malaysia EMAS-Shariah (EMSYA), FTSE Bursa
Malaysia HIJRAH-Shariah (HIJRAH). The FTSE Index categorized with two segment,
which are conventional and Shariah-compliant stock market. All the return stock price not
so much difference and merely similar.
It shows that the conventional stock market price index returns that represented by
stock market from FTSE KLCI and EMAS index have different return in stock market price
index. FTSE KLCI shows the minimum price return is -0.02499 and the maximum price
return is 0.029499. While FTSE EMAS index show the minimum price return is -0.02820
and maximum price return is 0.03115. Between both of these FTSE price return index, the
30
highest maximum stock market price index return is FTSE EMAS, and the lower minimum
stock market price index return is FTSE KLCI.
The Shariah-compliant stock market price index return that represented by stock
market from FTSE HIJRAH and EMAS-Shariah index have different return in stock price
index. FTSE HIJRAH-Shariah shows the minimum stock market price index return is -
0.02867 and the maximum stock market price index return is 0.04280. While FTSE EMAS-
SHARIAH (EMSYA) index show the minimum stock market price index return is -
0.02882 and maximum price return is 0.03757. Between both of these FTSE stock market
price index return, the highest maximum and minimum stock market price index return is
FTSE HIJRAH-Shariah.
Table 4.1: Minimum and maximum for FTSE stock market price index return.
KLCI EMAS HIJRAH EMSYA
MINIMUM -0.02499 -0.02820 -0.02867 -0.02882
MAXIMUM 0.029407 0.03115 0.04280 0.03757
By referring to the minimum and the maximum FTSE stock market price index
return from the table 4.1 above, the minimum is approximately the same, but the maximum
FTSE stock market price index return that represented by Shariah-compliant FTSE stock
market is higher than conventional FTSE stock market. (See figure 4.2, 4.3, 4.4, and 4.5
for better configuration).
31
4.1.1 Average stock market price index return in FTSE stock market.
Table 4.1.1: Average Price return for FTSE stock market.
MONTHS KLCI EMAS HIJRAH EMSYA
MUHARAM 0.00072 0.00142 0.00129 0.00137
SHAABAN 0.00022 0.00034 0.00036 0.00047
RAMADHAN 0.00039 0.00012 0.00014 -1E-04
SHAWAL -0.0002 -0.0004 -0.0004 -0.0007
ZULKAEDAH 0.00112 0.00123 0.00132 0.00146
ZULHIJJAH -0.0005 -0.0004 -0.0004 -0.0004
In stock market, FTSE stock market price index return is a variable which will
always fluctuate randomly based on the independent variable that affect the return stock
price index. Table above shows the average price index return for FTSE Bursa Malaysia
represented by conventional and Shariah-compliant stocks and classified by 6 selected
months in Islamic Calendar.
As for FTSE KLCI and EMAS index that represent conventional stock market, the
positive and high average price index return was discovered in Muharam and Zulkaedah
month. Whereas the negative and low average price index return were identified in Shawal
and Zulhijjah month. It shows, the investors gained the high average price index return in
Muharam and Zulkaedah month and also gained the low average price index return in
Shawal and Zulhijjah month.
As for FTSE HIJRAH and EMSYA index that represent Shariah-compliant stock
market, the positive and high average price index return was identified in Muharam and
Zulkaedah month. Whereas the negative and low average return were discovered in Shawal
and Zulhijjah month. It shows, the investors gained the high average price index return in
32
Muharam and Zulkaedah months and also gained the lowest average price return in Shawal
and Zulhijjah month.
Conventional and Shariah compliant for FTSE stock market having the same high
and low average price index return according to Islamic calendar. The high average price
index return for conventional and Shariah-compliant FTSE stock market were discovered in
Muharam and Zulkaedah months, whereas low average price index return were discovered
in Shawal and Zulhijjah months.
As a conclusion, from the analysis of average price index return, it implies that there
is after eidulfitri and eiduladha effect in Malaysian Stock Market. The reason is that, during
Eid, people are busy with their families to celebrate the Eid. Moreover, during eid the
consumption of people will increase because of people purchase new cloth, buy ingredients
to make cookies and preparing the food for the guests at feast of Eidulfitri. In month of
Zulhijjah, people buy and slaughtered the animal like cow, goat, camel, and etc. It increase
the consumption of people in Malaysia, which reduces the purchasing power and saving
will decrease. Due to that, they pay less attention to do an investment in stock market.
However, after Eid people more concentrate to do an investment in stock market.
33
Table 4.1.2: Kurtosis and Skewness for FTSE Stock market Price index return (Selected
months)
KLCI MUHARAM SHAABAN RAMADHAN SHAWAL ZULKAEDAH ZULHIJJAH
Kurtosis 2.13256 2.19195 1.77768 1.86206 1.33284 0.68880
Skewness 0.48903 -0.42020 -1.07881 -0.32337 -0.18240 -0.40047
EMAS MUHARAM SHAABAN RAMADHAN SHAWAL ZULKAEDAH ZULHIJJAH
Kurtosis 3.76936 2.74824 3.50344 2.49031 1.65756 0.92717
Skewness 0.68332 -0.89417 -1.49810 -0.52115 -0.13283 -0.44105
HIJRAH MUHARAM SHAABAN RAMADHAN SHAWAL ZULKAEDAH ZULHIJJAH
Kurtosis 7.08419 0.06995 3.68131 1.07840 2.46082 1.34006
Skewness 1.13627 0.00411 -1.22582 -0.36323 0.17619 -0.24657
EMSYA MUHARAM SHAABAN RAMADHAN SHAWAL ZULKAEDAH ZULHIJJAH
Kurtosis 5.47693 2.47257 5.344802 1.71729 2.544534 1.17296
Skewness 0.88322 -0.76771 -1.67808 -0.56301 0.23216 -0.34169
4.1.2 Kurtosis
a) Kurtosis for conventional FTSE stock market price index return.
As for FTSE KLCI, the positive and high kurtosis identified in Muharam, Shaaban
and Shawal months. Whereas the positive and low kurtosis discovered in Ramadhan,
Zulkaedah and Zulhijjah months. All kurtosis value less than 3, it means data in
normal distribution.
Besides that, as for FTSE EMAS, the positive and high kurtosis identified in
Muharam, Ramadhan and Shaaban months. Whereas, the positive and low kurtosis
discovered in Shawal, Zulkaedah and Zulhijjah months. The kurtosis value less than 3
34
are identified in Shaaban, Shawal, Zulkaedah, and Zulhijjah months. It means the data
in normal distributions. The remaining months which are Muharam and Ramadhan,
having the kurtosis value more than 3. It means the data is not in normal distributions.
Overall, the high positive kurtosis in Muharam appeared in both of FTSE KLCI and
EMAS. It shows that, the high positive Kurtosis in conventional FTSE stock market
price index return is Muharam month.
b) Kurtosis for Shariah-compliant FTSE stock market price index return (Selected
months).
As for FTSE HIJRAH-Shariah, the positive and high kurtosis identified in Muharam,
Ramadhan and Zulkaedah months. Whereas, the positive and low kurtosis discovered
in Shaaban, Shawal and Zulhijjah months. All kurtosis value less than 3,except
Muharam and Ramadhan. It means data in Muharam and Ramadhan is not in normal
distribution.
Besides that, as for FTSE EMAS-Shariah, the positive and high kurtosis discovered
in Muharam, Ramadhan and Zulkaedah months. Whereas the positive and low
kurtosis identified in Shaaban, Shawal and Zulhijjah months. The kurtosis value less
than 3 are founded in Shaaban, Shawal, Zulkaedah, and Zulhijjah months. It means
the data in normal distributions. The remaining months which are Muharam and
Ramadhan, having the kurtosis value more than 3. It means the data is not in normal
distributions.
Overall, the high positive kurtosis in Muharam and Zulkaedah appear in both of
FTSE HIJRAH-Shariah and EMAS-Shariah. It shows that, the high positive Kurtosis
in Shariah-compliant of FTSE Bursa Malaysia Price Index Return are Muharam and
Zulkaedah month.
35
4.1.3 Skewness
(Refer to table 4.1)
a) Skewness for conventional FTSE Stock market price index return (Selected
months).
As for FTSE KLCI, the positive skew and high skewness value only discovered in
Muharam month. However, the negative skew and low skewness value was
identified in remaining of selected months in Islamic calendar. Besides that, as for
FTSE EMAS, the results were obtained same with FTSE KLCI. The positive skew
and high skewness value only founded in Muharam month. Overall, positive skew
and high skewness resulted only in Muharam month.
b) Skewness for Shariah-Compliant FTSE stock market price index return (Selected
months).
As for FTSE HIJRAH-shariah, the positive skew and high skewness value were
discovered in Muharam, Shaaban, and Zulkaedah months. However, the negative
skew and low skewness value was founded in Ramadhan, Shawal, and Zulhijjah
months. Besides that, as for FTSE EMAS-Shariah, the positive skew and high
skewness value were identified in Muharam and Zulkaedah months. The negative
skew and low skewness value was identified in Shaaban, Ramadhan, Shawal, and
Zulhijjah months. Overall, positive skew and high skewness resulted for Shariah-
compliant FTSE Bursa Malaysia are resulted in Muharam and Zulkaedah month.
c) Kurtosis and Skewness relationship.
Higher kurtosis and higher positive skewness in any months indicates that investor
prefer to invest in that months. (Khalid Mustafa 2006). In conventional FTSE Bursa
Malaysia, Investor prefer to invest in Muharam months. Whereas in Shariah-
compliant FTSE stock market, investor prefer to invest in Muharam and Zulkaedah
months. It means that, there are differences in investing in months of Islamic
calendar between conventional and Shariah-compliant stock market.
36
4.2 CALENDAR DUMMIES REGRESSION ANALYSIS
Below are the results after analyzing the data of stock market price index return and
dummy variables using regression. The outcomes are as followed:
4.2.1 Islamic calendar effect: Conventional FTSE Stock Market
= + + + + + +
ISLAMIC CALENDAR EFFECT : CONVENTIONAL FTSE STOCK MARKET
COEFFICEINT KLCI 0.00072 0.00022 0.00038 -0.00024 0.00111 -0.00047

EMAS 0.00142 0.00034 0.00012 -0.00042 0.00123 -0.00042
STANDARD KLCI 0.00061 0.00061 0.00061 0.00061 0.00061 0.00061

ERROR EMAS 0.00062 0.00062 0.00062 0.00062 0.00062 0.00062
t-value KLCI 1.17509 0.36515 0.63198 -0.39301 1.80931 -0.7688

EMAS 2.27623 0.55011 0.1999 -0.68403 1.96107 -0.66884
p-value KLCI 0.24042 0.71512 0.52764 0.69445 0.07090 0.44227
EMAS 0.02318 0.58244 0.84162 0.49421 0.05033 0.50385
KLCI 0.00987
EMAS 0.01699
Significance-F KLCI 0.43184
EMAS 0.11524
Table 4.2.1: Model 1 Islamic calendar effect: Conventional FTSE Stock Market
*1% level significant
a) An analysis for FTSE KLCI stock market
From table 4.2.1, The value of is 0.00987 which means that only 0.99% price index
return explained by the independent variable. Since the value of is low, it means the
FTSE KLCI stock market price index return are not depending on the selected months in
Islamic calendar only, but there have other independent variables or factors that affect the
FTSE KLCI stock market price index return.
37
To test the significant of the regression analysis between the dependent and independent
variable, F significance was interpreted from table 4.2.1. The results show the F-
significance is 0.43184 which is greater than =0.1. Since the F-significance greater than
0.1, we accept . It proves that the Islamic calendar effect is not significantly affecting the
FTSE KLCI price index return.
From table 4.2.1, the parameter (dummy for Muharam) obtained is 0.00072. From
the result, we can interpret that average FTSE KLCI price index return is 0.00072 as we
invest in month of Muharam. Next, the parameter (dummy for Shaaban), the parameter
(dummy for Ramadhan), the parameter (dummy for Shawal), the parameter (dummy for
Zulkaedah), the parameter (dummy for Zulhijjah), were obtained is 0.00022, =
0.00038, = -0.00024, = . , = -0.00047 respectively. It shows the average
FTSE KLCI stock market price index return is RM 0.00022, RM 0.00038, -RM 0.00024,
RM . , -RM0.00047 as we invest in month of Shaaban, Ramadhan, Shawal,
Zulkaedah, and Zulhijjah respectively.
To test the significance of the parameter, we used p-value. By using =0.1 as the
benchmark for the level of significance 0.1, the p-value obtained as:
p-value=0.24042 > 0.1
Since the t-value obtained in parameter (dummy for Muharam) is 1.17509, which is
greater than 0.1, we accept . From p-value, we can conclude that the month of Muharam
is insignificantly related to the FTSE KLCI stock market price index return. By refer to
table 4.2, we can see only the p-value in dummy for Zulkaedah is 0.07090, which is less
than 0.1. From p-value, we can conclude that the month of Zulkaedah is significantly
related to the FTSE KLCI stock market price index return.
As a results that we identified from above description, we can conclude that only
the month of Zulkaedah can be accept to describe the average FTSE KLCI stock market
price index return is RM . as we invest in month of Muharam, but the F-test shows
the Islamic calendar Effect is not significantly affecting the FTSE KLCI price index return.
When there is not significantly affecting the FTSE KLCI stock market price index, the
significance of Zulkaedah months also failed to describe the average FTSE KLCI price
index return is RM0.00111 as we invest in Zulkaedah months. Overall, all the selected
38
months in Islamic calendar is not significant for FTSE KLCI stock market price
index.
b) An analysis for FTSE EMAS stock market
From table 4.2.1, The value of is 0.01699 which means that only 1.69% price
index return explained by the independent variable. Since the value of is low, it means
the FTSE EMAS price index return are not depending on the selected months in Islamic
calendar only, but there have other independent variables or factors that affect the FTSE
EMAS price index return.
To test the significant of the regression analysis between the dependent and
independent variable, F significance was interpreted from table 4.2. The results show the F-
0.1, we accept . It proves that the Islamic calendar Effect is not significantly affecting
the FTSE EMAS price index return.
From table 4.2, the parameter (dummy for Muharam) obtained is 0.00142. From
the result, we can interpret that average FTSE EMAS price index return is RM 0.00142 as
we invest in month of Muharam. Next, the parameter (dummy for Shaaban), the parameter
(dummy for Ramadhan), the parameter(dummy for Shawal), the parameter (dummy for
Zulkaedah), the parameter (dummy for Zulhijjah), were obtained is 0.00034,
=0.00012, =-0.00042, =0.00123, = -0.00042 respectively. It shows the average
FTSE EMAS price index return is RM0.0003440, RM0.0003861, -RM0.0004256,
RM0.00123, -RM0.00042 as we invest in month of Shaaban, Ramadhan, Shawal,
Zulkaedah, and Zulhijjah respectively.
p-value= 0.02318 <0.1
Since the p-value obtained in dummy for muharam is 0.02318, which is less than
0.1, we reject . From p-value, we can conclude that the month of Muharam is
significantly related to the FTSE EMAS price index return. By refer to table 4.2.1, we can
39
see the p-value dummy for Muharam and p-value dummy for Zulkaedah are less than 0.1.
From p-value, we can conclude that the month of Muharam and Zulkaedah is significantly
related to the FTSE EMAS price index return.
As a results that we discovered from above description, we can conclude that only
the month of Muharam and Zulkaedah can be accept to describe the average FTSE EMAS
price index return is RM 0.00142 and RM0.00123 as we invest in month of Muharam and
Zulkaedah respectively. Unfortunately, the F-test shows the Islamic calendar Effect is not
significantly affecting the FTSE EMAS price index return. When there is not significantly
affecting the FTSE EMAS price index, the significance of Muharam and Zulkaedah months
also failed to describe the average FTSE EMAS price index return is RM 0.00142 and
RM0.00123 as we invest in Muharam and Zulkaedah months respectively. Overall, all the
selected months in Islamic calendar is not significant for FTSE EMAS stock market
price index.
40
4.2.2 Islamic calendar effect: Shariah-Compliant FTSE Stock Market
Table 4.2.2: Model 1 Islamic calendar effect: Shariah-Compliant FTSE Stock Market
= + + + + + +
ISLAMIC CALENDAR EFFECT : SHARIAH-COMPLIANT FTSE STOCK MARKET
MHRM SBAN RAMDHN SWAL Z-KAEDAH Z-HIJJAH
HIJRAH 0.00129 0.00035 0.00013 0.00044 0.00132 0.00035
COEFFICEINT EMSYA 0.00137 0.00046 -9.84305E-0 -0.00067 0.00145 -0.00423
STANDARD HIJRAH 0.00065 0.00065 0.00065 0.00065 0.00065 0.00065
ERROR EMSYA 0.00064 0.00064 0.00064 0.00064 0.00064 0.00064
HIJRAH 1.98288 0.55003 0.21476 -0.68847 2.01331 -0.53932
t-value EMSYA 2.12835 0.72250 -0.15316 -1.05611 2.24567 -0.65191
HIJRAH 0.04783 0.58250 0.830025 0.49142 0.04453 0.58986
p-value EMSYA 0.03371 0.47027 0.87832 0.29134 0.02509 0.51471
HIJRAH 0.01506
EMSYA 0.01921
HIJRAH 0.17022
Significance-F EMSYA 0.07190
*1% level significant

41
a) An analysis for FTSE HIJRAH-Shariah stock market
FTSE HIJRAH price index return are not depending on the selected months in Islamic
HIJRAH price index return.
the FTSE HIJRAH price index return.
the result, we can interpret that average FTSE HIJRAH price index return is RM 0.00129 as
we invest in month of Muharam.
p-value= 0.04783 < 0.1
Since the p-value obtained in dummy for Muharam is 0.04783, which is less than
significantly related to the FTSE HIJRAH price index return. By referring to table 4.2, we
can see only the p-value dummy for Muharam and the p-value dummy for Zulkaedah is less
than 0.1. From p-value, we can conclude that the month of Muharam and Zulkaedah is
significantly related to the FTSE HIJRAH price index return.
As a results that we identified from above description, we can conclude that only
the month of Muharam and Zulkaedah can be accept to describe the average FTSE
HIJRAH price index return is RM . 949 and RM0.00132 as we invest in month of
Muharam and Zulkaedah. Unfortunately, the F-test shows the Islamic calendar Effect is not
significantly affecting the FTSE HIJRAH price index return. When there is no significantly
42
affecting the FTSE HIJRAH price index, the significance of Muharam and Zulkaedah
months also failed to describe the average FTSE HIJRAH price index return is
RM . 9 and RM0.00132 as we invest in Muaharam and Zulkaedah months
respectively. Overall, all the selected months in Islamic calendar is not significant for
FTSE HIJRAH stock market price index.
b) An analysis for FTSE EMSYA-SHARIAH (EMSYA) stock market
the FTSE EMSYA price index return are not depending on the selected months in Islamic
EMSYA price index return.
significance is 0.07190 which is lessr than =0.1. Since the F-significance less than 0.1, we
reject . It proves that the Islamic calendar Effect is significantly affecting the FTSE
From table 4.2.2, the parameter (dummy for Muharam) obtained is 0.00137.
From the result, we can interpret that average FTSE EMSYA price index return is RM
0.00137 as we invest in month of Muharam.
To test the significance of the parameter, we used t-test. By using =0.1 as the
benchmark for the level of significance 0.1, the t-value obtained as:
p-value= 0.03371 <0.1
Since the p-value obtained in parameter (dummy for muharam) is 0.03371, which is
less than 0.1, we reject . From p-value, we can conclude that the month of Muharam is
significantly related to the FTSE EMSYA price index return. By refer to table 4.2.2, we can
see only the p-value dummy for Muharam and p-value dummy for Zulkaedah are less than
0.1. From p-value, we can conclude that the month of Muharam and Zulkaedah is
significantly related to the FTSE EMSYA price index return.
43
As a results that we discovered from above description, we can conclude that only
the month of Muharam and Zulkaedah can be accept to describe the average FTSE EMSYA
price index return is RM 0.0014235 and RM0.00123 as we invest in month of Muharam
and Zulkaedah respectively. Fortunately, the F-test shows the Islamic calendar Effect is
significantly affecting the FTSE EMSYA price index return. When there is significantly
affecting the FTSE EMSYA price index, the significance of Muharam and Zulkaedah
months also success to describe the average FTSE EMSYA price index return is RM
0.00137 and RM 0.00132 as we invest in Muharam and Zulkaedah months respectively.
Overall, the month of Muharam and Zulkaedah is significant for FTSE EMAS
Shariah stock market price index.
44
4.2.3: Islamic calendar effect and market risk factor: Conventional FTSE Stock Market
Table 4.2.3: Model 2 Islamic calendar effect and market risk factor: Conventional FTSE
Stock Market
= + + + + + + +
ISLAMIC CALENDAR EFFECT AND MARKET RISK FACTOR:

CONVENTIONAL FTSE STOCK MARKET
KLCI Coefficients Standard Error t Stat P-value

0.00399 0.00184 2.16178 0.03103
0.00346 0.00183 1.89177 0.05900
0.00364 0.001841 1.98137 0.04801
0.00301 0.001836 1.64026 0.10148
0.00436 0.00183 2.37670 0.01778
0.00276 0.00183 1.50888 0.13185
-0.00114 0.00060 -1.87758 0.06092
Significance- F 0.22208
R Square 0.01571
EMAS Coefficients Standard Error t Stat P-value
0.00444 0.00188 2.36009 0.01859

0.003333 0.00186 1.786821 0.074476
0.003135 0.00187 1.670854 0.095277
0.002575 0.00187 1.376481 0.169191
0.004232 0.00187 2.260470 0.024153
0.002566 0.00186 1.375950 0.169355
-0.00105 0.00061 -1.70047 0.089564
R Square 0.02175
*1% significant level
FTSE KLCI price index return are not depending on the selected months in Islamic
KLCI price index return.
45
independent variable, F significance was interpreted from table 4.2.3. The results show the
F-significance is 0.22208 which is greater than =0.1. Since the F-significance greater than
the FTSE KLCI price index return.
From the result, we can interpret that average FTSE KLCI price index return is RM0.00399
as we invest in month of Muharam. It different to parameter (Market risk Factor), the
parameter for market risk factor is -0.00114 shows the decrease in FTSE KLCI price index
return by 0.00114 as one unit of KLIBOR increase.
To test the significance of the parameter, we look at the p-value. By using =0.1 as
P= 0.01859 < 0.1
Since the p-value obtained in parameter (dummy for Muharam) is 0.03103 which is
less than 0.1, we reject . From p-value, we can conclude that the month of Muharam is
significantly related to the FTSE KLCI price index return. By referring to table 4.2.3, we
can see the p-value dummy for Muharam, Shaaban, Ramadhan, and Zulkaedah including
market risk factor (KLIBOR) are greater than 0.1. From p-value, we can conclude that
Muharam, Shaaban, Ramadhan and Zulkaedah and Market risk factor (KLIBOR) is
significantly related to the FTSE KLCI price index return. The coefficient of risk factor is
negative and significant. It indicates that FTSE KLCI is relatively high risky market during
the selected Islamic months.
As a results that we identified from above description, we can conclude that all the
selected month can be accept to describe the average FTSE KLCI price index for every
parameter that we obtained, the parameter for market risk factor shows the decrease in
FTSE KLCI price index return by 0.00114 as one unit of KLIBOR increase. Unfortunately,
the F-test shows the Islamic calendar Effect is not significantly affecting the FTSE KLCI
price index return. When there is not significantly affecting the FTSE KLCI price index,all
the significance months and market risk factor (KLIBOR) also failed to all the selected
46
months in Islamic calendar is not significant for FTSE KLCI stock market price
index.
b) An analysis for FTSE Bursa Malaysia EMAS stock market
the FTSE EMAS price index return are not only depending on the selected months in
Islamic calendar, but there have other independent variables or factors that affect the FTSE
F-significance is 0.06925 which is less than =0.1. Since the F-significance less than 0.1,
we reject . It proves that the Islamic calendar Effect is significantly affecting the FTSE
From the result, we can interpret that average FTSE EMAS price index return is RM
0.00444 as we invest in month of Muharam. It different to parameter (Market risk Factor),
the parameter for market risk factor is -0.00105 shows the decrease in FTSE EMAS price
index return by 0.00105 as one unit of KLIBOR increase.
To test the significance of the parameter, we look at the p-value. By using

=0.1benchmark for the level of significance 0.1, the p-value obtained as:
0.01859 < 0.1
Since the p-value obtained in dummy for Muharam is 0.01859, which is less than
0.1, we reject t . From p-value, we can conclude that the month of Muharam is
significantly related to the FTSE EMAS price index return. By referring to table 4.2.3, we
can see all the p-value dummy for Muharam, Shaaban, Ramadhan, and Zulkaedah
including market risk factor (KLIBOR) are less than 0.1, From p-value, we can conclude
that Muharam,Shaaban, Ramadhan and Zulkaedah and Market risk factor (KLIBOR) is
significantly related to the FTSE EMAS price index return. The coefficient of risk factor is
47
negative and significant. It indicates that FTSE EMAS have risky market during the
selected Islamic months.
As a results that we obtained from above description, we can conclude that the
month of Muharam, Shaaban, Ramadhan and Zulkaedah and risk market factor can be
accept to describe the average FTSE EMAS price index return as we invest in that months.
Fortunately, the F-test shows the Islamic calendar Effect is significantly affecting the FTSE
EMAS price index return. When there is significantly affecting the FTSE EMAS price
index, the significance of Muharam, Shaaban, Ramadhan and Zulkaedah months success to
describe the average FTSE EMAS price index return as we invest in that months and the
parameter for market risk factor is -0.0010535 shows the decrease in FTSE EMAS price
index return by 0.0010535 as one unit of KLIBOR increase. Overall, in Muharam,
Shaaban, Ramadhan, Zulkaedah and KLIBOR were significance for FTSE EMAS.
48
4.2.4: Islamic calendar effect and market risk factor: Shariah-Compliant FTSE Stock
Market
Table 4.2.4: Model 2 Islamic calendar effect and market risk factor: Shariah-Compliant
FTSE Stock Market
= + + + + + + +
ISLAMIC CALENDAR EFFECT AND MARKET RISK FACTOR:
SHARIAH-COMPLIANT FTSE STOCK MARKET
Standard
HJRAH Coefficients Error t Stat P-value
0.00280 0.00197 1.42135 0.15573
0.00184 0.00195 0.94733 0.34385
0.00164 0.00196 0.83541 0.40381
0.001048 0.00195 0.535503 0.59250
0.002816 0.00195 1.43779 0.15101
0.001134 0.00195 0.58139 0.56119
-0.00052 0.00064 -0.81001 0.41825
Significance-
F 0.20554
R Square 0.01614
Standard
EMSYA Coefficients Error t Stat P-value
0.00349 0.00194 1.79300 0.07348
0.00256 0.00192 1.32783 0.18474
0.00201 0.00194 1.03668 0.30030
0.00142 0.00193 0.73622 0.46188
0.00355 0.00193 1.83866 0.06646
0.00167 0.00192 0.86583 0.38692
-0.00073 0.00064 -1.15241 0.24961
Significance-
F 0.07440
R Square 0.02140
49
the FTSE HIJRAH price index return are not depending on the selected months in Islamic
F-significance is 0.20554 which is greater than =0.1. Since the F-significance greater than
From the result, we can interpret that average FTSE HIJRAH price index return is
RM0.00280 as we invest in month of Muharam. It different to parameter (Market risk
Factor), the parameter for market risk factor is -0.00052 shows the decrease in FTSE
HIJRAH price index return by 0.00052 as one unit of KLIBOR increase.
P= 0.15573 > 0.1
Since the p-value obtained in dummy for muharam is 0.15573 which is greater than
0.1, we accept . From p-value, we can conclude that the month of Muharam is
insignificantly related to the FTSE HIJRAH price index return. By refer to table 4.2.4, we
can see the p-value dummy for all selected months including market risk factor (KLIBOR)
are greater than 0.1. From p-value, we can conclude that all selected months in Islamic
calendar and market risk factor (KLIBOR) is insignificantly related to the FTSE HIJRAH
price index return.
As a results that we identified from above description, we can conclude that all the
selected month and market risk factor (KLIBOR) failed to describe the average FTSE
50
HIJRAH price index return that we obtained from every parameter.Overall, all the selected
months in Islamic calendar is not significant for FTSE HIJRAH stock market price
index
b) An analysis for FTSE Bursa Malaysia EMSYA stock market
the FTSE EMSYA price index return are not only depending on the selected months in
Islamic calendar, but there have other independent variables or factors that affect the FTSE
From table 4.2.4, the parameter (dummy for Muharam) obtained is

0.003492342. From the result, we can interpret that average FTSE EMSYA price index
return is RM 0.00349 as we invest in month of Muharam. It different to parameter (Market
risk Factor), the parameter for market risk factor is -0.00073 shows the decrease in FTSE
HIJRAH price index return by 0.00073 as one unit of KLIBOR increase.
p-value= 0.07348< 0.1
Since the p-value obtained in dummy for muharam is 0.07348, which is less than
significantly related to the FTSE EMSYA price index return. By refer to table 4.2.4, we can
see all the p-value dummy for Muharam, and Zulkaedahare less than 0.1, From p-value, we
can conclude that Muharam and is significantly related to the FTSE EMSYA price index
return. The others are insignificant related to the FTSE EMSYA price index return.
51
As a results that we discovered from above description, we can conclude that the
month of Muharam and Zulkaedah can be accept to describe the average FTSE EMSYA
price index return as we invest in that months. Fortunately, the F-test shows the Islamic
calendar Effect is significantly affecting the FTSE EMSYA price index return. When there
is not significantly affecting the FTSE EMSYA price index, the significance of Muharam
and Zulkaedah months success to describe the average FTSE EMSYA price index return as
we invest in that months. Overall in Muharam and Zulkaedah months is significant to
the FTSE EMAS-SHARIAH.
4.2.5: Islamic calendar effect and market risk factor in calendar dummies: Conventional
FTSE Stock Market.
Table 4.2.5: Model 3 Islamic calendar effect and market risk factor in calendar dummies:
Conventional FTSE Stock Market.
= + + + + + + = +
ISLAMIC CALENDAR EFFECT AND MARKET RISK FACTOR WITH

CALENDAR DUMMIES: CONVENTIONAL FTSE STOCK MARKET
Standard
KLCI Coefficients Error t Stat P-value
0.00269 0.00429 0.62622 0.53140
0.00204 0.00448 0.45570 0.64876
0.00939 0.00465 2.01988 0.04384
0.00863 0.00455 1.89724 0.05828
-0.00123 0.00455 -0.27191 0.78578
0.001139 0.00354 0.32139 0.74802
-0.00068 0.001483 -0.46312 0.64344
-0.00064 0.00156 -0.40957 0.68226
-0.00315 0.00161 -1.95372 0.05120
-0.00311 0.00158 -1.96772 0.04956
0.00082 0.00158 0.52197 0.60188
-0.00056 0.00123 -0.46219 0.64410
Significance-
F 0.02405
R Square 0.27225
52
EMAS Coefficients Standard Error t Stat P-value

0.00368 0.00437 0.84122 0.40056
0.00258 0.00456 0.56622 0.57145
0.00916 0.00473 1.93634 0.05330
0.00940 0.00463 2.03147 0.04265
-0.00283 0.00463 -0.61248 0.54045
0.00018 0.00360 0.052172 0.95840
-0.00078 0.00150 -0.52114 0.60246
-0.00079 0.00159 -0.49551 0.62042
-0.00316 0.00164 -1.92669 0.05449
-0.00345 0.00161 -2.14268 0.03254
0.001429 0.00161 0.88670 0.37559
-0.00021 0.00125 -0.17126 0.86407
Significance-
F 0.07060
R Square 0.03281
* 1% significant level
the FTSE KLCI price index return are not depending on the selected months in Islamic
independent variable, F significance was interpreted from table 4.2.5 The results show the
From the result, we can interpret that average FTSE KLCI price index return is RM0.00269
as we invest in month of Muharam. It different to parameter (Market risk Factor with
dummies calendar), The parameter for market risk factor with dummies calendar of
Muharam is -0.00068 shows the decrease in FTSE KLCI price index return by 0.00068 as
one unit of KLIBOR in the months of muharam increase.
53
P-value = 0.53140> 0.1
Since the p-value obtained in parameter (dummy for muharam) is 0.53140 which is
greater than 0.1, we accept . From p-value, we can conclude that the month of Muharam
is insignificantly related to the FTSE KLCI stock market price index return. By refer to
table 4.2.5, we can see the p-value dummy for Ramadhan, Shawal, Ramadhan with market
risk factor and Shawal with market risk factor are less than 0.1. From p-value, we can
conclude that Ramadhan, Shawal, Ramadhan with market risk factor and Shawal with
market risk factor is significantly related to the FTSE KLCI stock market price index
return.
As a results that we obtained from above description, we can conclude that all
Ramadhan and Shawalcan be accept to describe the average FTSE KLCI price index for
every parameter that we obtained. Ramadhan with market risk factor and Shawal with
market risk factor describe the parameter for Ramadhan with risk factor and Shawal with
risk factor market shows the decrease in FTSE KLCI stock market price index return by
0.00315 and 0.00311 as one unit of Ramadhan and Shawal with KLIBOR increase.
Fortunately, the F-test shows the Islamic calendar Effect is significantly affecting the FTSE
KLCI price index return. Overall, Ramadhan, Shawal, Ramadhan with market risk
factor and Shawal with market risk factor is significant to FTSE KLCI stock market
price return.
b) An analysis for FTSE Bursa Malaysia EMAS stock market
From table 4.2.5, The value of is 0.03281 which means that only 3.28 % price index
FTSE EMAS price index return are not only depending on the selected months in Islamic
calendar, but there have other independent variables or factors that affect the FTSE EMAS
price index return.
54
significance is 0.07060 which is less than =0.1. Since the F-significance less than 0.1, we
the result, we can interpret that average FTSE EMAS price index return is RM 0.00368 as
we invest in month of Muharam. It different to parameter (Market risk Factor with dummy
calendar), which is -0.00078 shows the decrease in FTSE EMAS price index return by
0.00078 as one unit of KLIBOR increase.
To test the significance of the parameter, we look at the p-value. By using

=0.1benchmark for the level of significance 0.1, the p-value obtained as:
0.53140 > 0.1
Since the p-value obtained in dummy for muharam0.53140, which is l greater than
insignificantly related to the FTSE EMAS price index return. By refer to table 4.2.5, we can
see all the p-value dummy for Ramadhan, Shawal, Ramadhan with market risk factor, and
Shawal with market risk Factor are less than 0.1, From p-value, we can conclude that
Ramadhan, Shawal, Ramadhan with market risk factor, and Shawal with market risk Factor
is significantly related to the FTSE EMAS price index return.
As a results that we identified from above description, we can conclude that the
month of Ramadhan, Shawal, Ramadhan with market risk factor, and Shawal with market
risk factor can be accept to describe the average FTSE EMAS price index return as we
invest in that months. Fortunately, the F-test shows the Islamic calendar Effect is
significantly affecting the FTSE EMAS price index return. When there is significantly
affecting the FTSE EMAS price index, the significance of Ramadhan, Shawal, Ramadhan
with market risk factor, and Shawal with market risk Factor success to describe the average
FTSE EMAS price index return as we invest in that months and the parameter for
Ramadhan with market risk factor shows the decrease in FTSE EMAS price index return as
one unit of KLIBOR increase. Overall, Ramadhan, Shawal, Ramadhan with market
55
risk factor, and Shawal with market risk factor is significance to FTSE EMAS stock
market return.
4.2.6: Islamic calendar effect and market risk factor in calendar dummies: Shariah-
Compliant FTSE Stock Market.
Table 4.2.6: Model 3 Islamic calendar effect and market risk factor in calendar dummies:
Shariah-Compliant FTSE Stock Market.
= + + + + + + = +
ISLAMIC CALENDAR EFFECT AND MARKET RISK FACTOR WITH CALENDAR

DUMMIES: SHARIAH-COMPLIANT FTSE STOCK MARKET
HIJRAH Coefficients Standard Error t Stat P-value

-0.00084 0.00458 -0.18535 0.85301
0.00226 0.00478 0.47444 0.63535
0.00763 0.00495 1.54062 0.12394
0.00656 0.00485 1.35281 0.17663
-0.00360 0.00485 -0.74266 0.45798
0.00041 0.00378 0.10901 0.91322
0.00074 0.00158 0.47276 0.63655
-0.00067 0.00167 -0.40311 0.68700
-0.00262 0.00171 -1.52563 0.12763
-0.00246 0.00168 -1.45816 0.14532
0.00172 0.00168 1.02439 0.30607
-0.00027 0.001313 -0.20578 0.83703
R Square 0.02488
56
EMSYA Coefficients Standard Error t Stat P-value

0.00309 0.00452 0.68392 0.49429
0.00332 0.00472 0.70369 0.48190
0.00764 0.00489 1.56163 0.11891
0.00701 0.00479 1.46239 0.14416
-0.00426 0.00479 -0.88925 0.37422
-0.00043 0.00373 -0.11566 0.90795
-0.00060 0.00156 -0.38422 0.70094
-0.00100 0.00165 -0.61065 0.54166
-0.00271 0.00169 -1.59549 0.11113
-0.00269 0.00166 -1.61856 0.10607
0.002009 0.00166 1.20437 0.22892
3.11176E-06 0.00129 0.00239 0.99808
R Square 0.03095
*1% Level significant
FTSE HIJRAH price index return are not depending on the selected months in Islamic
57
From table 4.2.6, the parameter (dummy for Muharam) obtained is -0.00084. From
the result, we can interpret that average FTSE HIJRAH price index return is -
RM0.00084938 as we invest in month of Muharam. It different to parameter (Market risk
Factor with calendar dummy), the parameter for market risk factor is 0.00074 shows the
increase in FTSE HIJRAH price index return by RM0.00074 as one unit of KLIBOR in
month of Muharam increase.
P-value= 0.85301 >0.1
Since the p-value obtained in dummy for muharam is 0.85301 which is greater than
insignificantly related to the FTSE HIJRAH price index return. By refer to table 4.2.6, we
can see the p-value for all selected months including market risk factor (KLIBOR) with
dummy calendar are greater than 0.1. From p-value, we can conclude that all selected
months in Islamic Calendar and market risk factor (KLIBOR) with dummy calendar is
insignificantly related to the FTSE HIJRAH price index return.
As a results that we founded from above description, we can conclude that all the
selected month and market risk factor (KLIBOR) with dummy calendar failed to describe
the average FTSE HIJRAH price index return that we obtained from every parameter.
Overall, all the selected months in Islamic calendar is not significant for FTSE HIJAH
stock market price index.
b) An analysis for FTSE Bursa Malaysia EMSYA stock market
FTSE EMSYA price index return are not only depending on the selected months in Islamic
calendar, but there have other independent variables or factors that affect the FTSE
58
significance is 0.09656 which is less than =0.1. Since the F-significance less than 0.1, we
the result, we can interpret that average FTSE EMSYA price index return is RM 0.003096
as we invest in month of Muharam. It different to parameter (Market risk Factor with
dummy calendar), The parameter for market risk factor with dummy calendar is -0.00060
shows the decrease in FTSE HIJRAH price index return RM 0.00060 as one unit of
KLIBOR increase.
p-value= 0.49429 >0.1
Since the p-value obtained in dummy for muharam is 0.49429, which is greater than
insignificantly related to the FTSE EMSYA price index return. By referring to table 4.2.6,
we can see all the p-value in dummy for selected months and all market risk factor with
dummies calendar are greater than 0.1, From p-value, we can conclude that all the selected
months and all market risk factor with dummies calendar is not significantly related to the
FTSE EMSYA price index return. As a results that we identified from above description,
we can conclude that the month dummy for selected months and all market risk factor with
dummies calendar were failed to describe the relationship with FTSE EMSYA price index
return. Overall, all the selected months in Islamic calendar is not significant for FTSE
EMAS SYARIAH stock market price index
59
4.3 Conventional and Shariah-compliant FTSE Stock market
Table 4.3: Result of Overall Simple Linear Regression Analysis.
= + + + + + +
ISLAMIC CALENDAR EFFECT : FTSE STOCK MARKET INDEX
Conventional FTSE Index Shariah-Compliant FTSE Index
Significant All months no significant All months not
findings KLCI at all. HIJRAH significant at all.
Significant in month of
Significant All months not significant Muharam and
findings EMAS at all. EMSYA Zulkaedah.
= + + + + + + +
ISLAMIC CALENDAR EFFECT AND MARKET RISK FACTOR
Conventional FTSE Index Shariah-Compliant FTSE Index

Significant All months not significance All months not
findings KLCI at all. HIJRAH signinificant at all.
Significant in Muharam,
Significant Shaaban, Ramadhan, Significant in Muharam
findings EMAS Zulkaedah and KLIBOR. EMSYA and Zulkaedah months.
= + + + + + + = +
ISLAMIC CALENDAR EFFECT AND MARKET RISK FACTOR WITH

CALENDAR DUMMIES: SHARIAH-COMPLIANT FTSE STOCK MARKET INDEX
Conventional Shariah-Compliant
Significant in Ramadhan,
Shawal, Ramadhan with
Significant risk factor and Shawal with FTSE HIJRAH not
findings KLCI risk factor. HIJRAH significant at all.
Significant in Ramadhan,
Shawal, Ramadhan with
market risk factor, and FTSE EMAS-
Significant Shawal with market risk SHARIAH is not
findings EMAS factor. EMSYA significant at all.
60
The results of simple Islamic calendar was shown in table 4.3. The results indicates
that the Month of Muharam and Zulkaedah give effect to FTSE EMAS-Shariah stock
Index, while no significant results in FTSE KLCI stock Index. It implies that, the Muharam
and Zulkaedah effect were discovered in Shariah-compliant FTSE stock Index. The results
shows there is no Islamic calendar effect were found in Conventional FTSE stock Index.
Both of conventional FTSE stock produced insignificant results at all.
The results of ISLAMIC CALENDAR EFFECT AND MARKET RISK FACTOR

shown in table 4.3. The results indicates that the Month of Muharam, Shaaban, Ramadhan,
Zulkaedah and Market Risk Factor (KLIBOR) give effect to FTSE EMAS, While, no any
significant results discovered in FTSE KLCI stock Index. It implies that, the Muharam,
Shaaban, Ramadhan, and Zulkaedah effect and market risk factor were identified in
conventional FTSE stock Index. The results insignificant at all months shows that, there is
no Islamic calendar effect in FTSE HIJRAH. However, the results produced in FTSE
EMAS-Shariah significant in Month of Muharam and Zulkaedah. It indicates, the Muharam
and Zulkaedah effect were found in Shariah-compliant FTSE Stock Index.The coefficient
of risk factor is negative and significant indicates that FTSE KLCI is relatively high risky
market than FTSE EMAS during the selected Islamic months. The description of market
risk factor, resulted the risky market were founded in conventional FTSE Stock Index.
The results of ISLAMIC CALENDAR EFFECT AND MARKET RISK FACTOR

with CALENDAR DUMMIES shown in table 4.3. The results indicates that the Month of
Ramadhan, Shawal, Ramadhan with market risk factor and Shawal with market risk factor
(KLIBOR) give effect to FTSE KLCI and FTSE EMAS. It implies that, the month of
Ramadhan, Shawal, Ramadhan with market risk factor and Shawal with market risk factor
were found in conventional FTSE stock Index. The results shows there is no Islamic
calendar effect were found in Shariah-compliant FTSE stock Index. Both of conventional
FTSE stock produced insignificant results at all.
61
Table 4.4: Combination of R-squared Regression analysis.
Model 1 2 3
R-SQURED 0.009872691 0.015714311 0.27225435
KLCI 0.99% 1.57% 27.23%
R-SQURED 0.016991857 0.021754016 0.032814825
EMAS 1.7% 2.18% 3.28%
R-SQURED 0.015061756 0.016148513 0.024881721
HIJRAH 1.51% 1.61% 2.49%
R-SQURED 0.019217963 0.021405907 0.030959054
EMSYA 1.92% 2.14% 3.1%
Unconditional risk is allowed to vary across the months of Islamic calendar.

Different model produce different results. Unconditonal risk represents by 3 models that
give different R-squared. The value of R-squared increase as we use the next model.
Increasing in value of R-squared shows the improvement of the efficiency independent
variable in regression equations. Moreover, others factors and independent variable can
create in regression equation as the R-squared Increase by different model.
Descriptive of data was resulted, in conventional FTSE Bursa Malaysia, Investor

prefer to invest in Muharam months. Whereas inShariah-compliant Ftse Bursa Malaysia,
investor prefer to invest in Muharam and Zulkaedah months. It means that, there are
differences in investing in months of Islamic calendar between conventional and shariah-
compliant stock market.
29
62
CHAPTER 5
CONCLUSION AND RECOMMENDATION
5.1 Summary
From the overall obtained results, we can see that statistical tools came out with a
significant value where the values for 2 , F-Test and p-value are positive and negative. Thus, it
explained that the different model used is not truly affecting the return stock price. Even though
the results for all 2 are positive, the value is still low compared to normal 2 which usually
valued 0.5 and above. This indicate a poor fit in 3 model of dummy regression for conventional
and shariah-compliant stocks.
5.2 Conclusion
The issue regarding Islamic Calendar Effect in Malaysian Stock Market has been a
very great concern by all investors. The results were collected from this study, it is prove that the
using of unconditional risk model varified the results in Islamic calendar effects.Muharam and
Zulkaedah effect are founded common in 2 models by FTSE EMAS and EMAS-Shariah. Only
one model were founded the Ramadhan and Shawal Effect. It founded by conventional FTSE
stock Index in third model. It shows that, Muharam and Zulkaedah effect in Malaysian Stock
Market or it called after EID effects. Descriptive data also argue this effect. The high kurtosis
and high positive skewness shows the investors tend to do an investment in Zulkaedah and
Muharam months. By descriptive analysis data on the average return, it founded that, the high
average return is during the month of Zulkaedah and Muharam. There are several differences
results between conventional and Shariah-compliant FTSE Stock Index. However it is noted that
63
Malaysian Stock market is relatively high risky market in conventional Stock market (FTSE
EMAS) during Zulkaedah months.
5.3 Recommendation
In conclusion, it is recommended for the further study to use more data and various
independent variables in order to obtain higher value of R-squared, and at the same time the
value obtained for F-test and T-test will also increase. According to the results obtained from
second model, the coefficient risk factor (KLIBOR) for Shariah-compliant stock is not
significant. It shows, KLIBOR is not suitable to use as the risk factor for Shariah-compliant
Stock index. Further study about risk factor on FTSE HIJRAH-Shariah and FTSE EMAS-
Shariah should be conducted for easier the future research. In additional, it is suggested for
future researcher to continue this study using the conditional risk analysis by referring this study
and other related journal especially from The Islamic calendar effect in Karachi Stock Price
journal by Khalid Mustafa 2006.
62
64
REFERENCES
Aliakbar, Abbasali ,Hossein. 2013. The impact of Ramadhan effect on Iran Stock Exhange
Index.Volume(1), Issue (2), Pages(46-54), World of Sciences Journal ISSN: 2307-3071.
Ariel, R.A. 1990. High stock returns before holidays: existence and evidence on possible causes.
Journal of Finance 45, 1611-1626.
Carl, N.Aizuddin. 2010. Is there an eid-Al-fitr effect in Malaysia?. International business and
economics research Journal. Volume 9(4), 11-20.
FTSE Group 2013, 29 November 2013, FTSE FactSheet, FTSE Bursa Malaysia Hijrah-Shariah.
Foo ZorThang. 2009. Impact of Interest Rate and Exchange Rate on The Stock Market Index in
Malaysia: A cointegration Analysis. Project Paper Report UniversitiSains Malaysia.
Glenn N. Pettengill, Sridhar Sundaram,Ike Mathur. March 1995. The Journal of Financial and
Quantitative Analysis. Vol. 30, No.1, 101-116.
Husain F. 1998. A seasonality in the Pakistani Equity market: The Ramdhan Effect. Pakistan
Development review. 37:1, 77-81.
Jaffe, J. , R. Westerfield, R. 1989. Is there a Monthly effect in Stock Market Returns? Evidence
from Foreign Countries. Journal of Banking and Finance. 13,327-244.
Jaffe, J. and Westerfield R. 1985. Patterns in Japanese common Stock returns: Day of the week
and turn of the year Effects. Journal of Financial and Quantitative Analysis, 469-481.
Jonathan Fletcher. 2000. On the conditional relationship between beta and return in international
stock returns. International Review of Financial Analysis Volume 9, Issue 3, Autumn 2000,
Pages 235-245, ISSN 1057-5219,
(http://www.sciencedirect.com/science/article/pii/S1057521900000302)
65
Khalid Mustafa. 2006. The Islamic Calendar Effect in Karachi Stock Market. Journal of
economy.1-13.
Lakanishok, Levi. 1982. Weekend Effects in stock returns. A note, Journal of Finance, 37, 883-
889.
Lakonishok, J,,Shlifer, A., Thaler, R., and R. Vishny. 1991. Window dressing by pension fund
managers. American Economic review 81, 227-231.
Mohamed Albaiti, Rubi Ahmad. 2008. Performance of Syariah and composite Indices: Evidence
from Bursa Malaysia. Asian Academy of Management Journal of Accounting and finance,
AAMJAF, Vol. 4, No. 1, 2343, 2008.
Nurhanani, A.Azam. 2011. Volatility of FTSE Bursa Malaysia Syariah Index: Analysis of
Investor behavior in the month of Ramadhan and Syawal. Prosiding PERKEM VI, Jilid2,
385-394.
Raphael I. Udegbunam, Hassan E. Oaikhenan. 2012 Interest Rate Risk of Stock Prices in
Nigeria: Empirical Test of the Duration and Convexity Model. Journal of Emerging Market
Finance April 2012 11: 93-113, doi:10.1177/097265271101100104.
Ricky, Venus, Azizi, 2006. Calendar anomalies in the Malaysian Stock Market. Thesis UMS.1-
27.
Seyyed, F. J., Abraham, A., Al-Hajj, M..2005. Seasonality in stock returns and volatility: The
Ramadhan effect. Research in International Business and Finance, Forthcoming.
64
66
APPENDICES
Figure 4.2: FTSE KLCI Price return Index against Time
FTSE KLCI RETURN PRICE INDEX

0,06
ZULHIJJAH
0,04
ZULKAEDAH
Return Price
0,02
SHAWAL
0
RAMADHAN
1432
1430
1430
1430
1430
1431
1431
1431
1431
1432
1432
1432
1433
1433
1433
1433
1434
1434
1434
1434
-0,02
SHAABAN
-0,04
MUHARAM
-0,06
Figure 4.3: FTSE EMASI Price return Index against Time
FTSE EMAS Return Price Index

0,06 ZULHIJJAH
0,04
ZULKAEDAH
Return Price
0,02
SHAWAL
0
RAMADHAN
1432
1430
1430
1430
1430
1431
1431
1431
1431
1432
1432
1432
1433
1433
1433
1433
1434
1434
1434
1434
-0,02
SHAABAN
-0,04
-0,06 MUHARAM
67
Figure 4.4: FTSE HIJRAH-ShariahPrice return Index against Time
FTSE Hijrah Return Price Index

0,06 ZULHIJJAH
0,04
ZULKAEDAH
Return Price
0,02
SHAWAL
0
RAMADHAN
1432
1430
1430
1430
1430
1431
1431
1431
1431
1432
1432
1432
1433
1433
1433
1433
1434
1434
1434
1434
-0,02
SHAABAN
-0,04
-0,06 MUHARAM
Figure 4.5: FTSE EMAS-SHARIAH Price return Index against Time
FTSE EMAS-SHARIAH Return Price Index

0,06 ZULHIJJAH
0,04
ZULKAEDAH
Return Price
0,02
SHAWAL
0
RAMADHAN
-0,02 14 14 14 14 14
30 31 32 33 34 SHAABAN
-0,04
-0,06 MUHARAM
Table 4.1: Minimum and maximum FTSE Stock Market Price return.
KLCI EMAS HIJRAH EMSYA
MINIMUM -0.02499 -0.028202374 -0.028671059 -0.02882
MAXIMUM 0.029407 0.031157275 0.042803475 0.037572

68
Table 4.1.2: Kurtosis and Skewness for FTSE Stock Market Price index return (Selected
months)
KLCI MUHARAM SHAABAN RAMADHAN SHAWAL ZULKAEDAH ZULHIJJAH
Kurtosis 2.13256 2.19195 1.77768 1.86206 1.33284 0.68880
Skewness 0.48903 -0.42020 -1.07881 -0.32337 -0.18240 -0.40047
EMAS MUHARAM SHAABAN RAMADHAN SHAWAL ZULKAEDAH ZULHIJJAH
Kurtosis 3.76936 2.74824 3.50344 2.49031 1.65756 0.92717
Skewness 0.68332 -0.89417 -1.49810 -0.52115 -0.13283 -0.44105
HIJRAH MUHARAM SHAABAN RAMADHAN SHAWAL ZULKAEDAH ZULHIJJAH
Kurtosis 7.08419 0.06995 3.68131 1.07840 2.46082 1.34006
Skewness 1.13627 0.00411 -1.22582 -0.36323 0.17619 -0.24657
EMSYA MUHARAM SHAABAN RAMADHAN SHAWAL ZULKAEDAH ZULHIJJAH
Kurtosis 5.47693 2.47257 5.344802 1.71729 2.544534 1.17296
Skewness 0.88322 -0.76771 -1.67808 -0.56301 0.23216 -0.34169

69
Appendix 1
Regression analysis from Model 1
FTSE KLCI (MODEL1):
Regression Statistics
Multiple R 0.099361417
R Square 0.009872691
Adjusted R Square -0.000128379
Standard Error 0.006140833
Observations 601
ANOVA
Df SS MS F Significance F
Regression 6 0.000224 3.73E-05 0.988804035 0.431844726
Residual 595 0.022437 3.77E-05
Total 601 0.022661

70
Standard
Coefficients Error t Stat P-value
Intercept 0 #N/A #N/A #N/A
MUHARAM 0.000721606 0.000614 1.175095 0.240426715
SHAABAN 0.000224236 0.000614 0.365155 0.715125117
RAMADHAN 0.000386162 0.000611 0.63198 0.527642699
SHAWAL -0.000240143 0.000611 -0.39301 0.694453173
ZULKAEDAH 0.001116669 0.000617 1.809317 0.070906234
ZULHIJJAH -0.000474525 0.000617 -0.76886 0.442278826
FTSE EMAS (MODEL1):
R Square 0.01699185
Adjusted R Square 0.00705061
Observations 601
71
ANOVA
Significance
Df SS MS F F
Regression 6 0.000402245 6.7E-05 1.71415249 0.11524984
Residual 595 0.023270549 3.91E-05
Total 601 0.023672794
Standard
MUHARAM 0.00142351 0.000625381 2.27623 0.02318622
SHAABAN 0.00034403 0.000625381 0.55011 0.58244395
RAMADHAN 0.00012439 0.000622278 0.1999 0.84162695
SHAWAL -0.00042566 0.000622278 -0.68403 0.49421951
ZULKAEDAH 0.00123259 0.000628532 1.96107 0.05033641
ZULHIJJAH -0.00042038 0.000628532 -0.66884 0.50385491

72
FTSE HIJRAH (MODEL 1):
R Square 0.015061756
Observations 601
ANOVA
Significance
Df SS MS F F
Regression 6 0.000388 6.47E-05 1.516464745 0.170224201
Residual 595 0.025376 4.26E-05
Total 601 0.025764

73
Standard
MUHARAM 0.001294935 0.000653 1.982883 0.047839878
SHAABAN 0.000359206 0.000653 0.550037 0.582500095
RAMADHAN 0.000139557 0.00065 0.214763 0.830025398
SHAWAL -0.00044737 0.00065 -0.68847 0.491425938
ZULKAEDAH 0.001321433 0.000656 2.013316 0.044531233
ZULHIJJAH -0.00035398 0.000656 -0.53932 0.589866212
FTSE EMSYA (MODEL 1):
R Square 0.019217963
Adjusted R
Square 0.009295425
Observations 601
ANOVA
Significance
Df SS MS F F
Regression 6 0.000486 8.11E-05 1.943124 0.071905
Residual 595 0.02482 4.17E-05
Total 601 0.025306
74
Standard
MUHARAM 0.001374627 0.000646 2.128352 0.033718
SHAABAN 0.000466639 0.000646 0.722502 0.47027
RAMADHAN -9.84305E-05 0.000643 -0.15316 0.878323
SHAWAL -0.000678721 0.000643 -1.05611 0.291345
ZULKAEDAH 0.001457706 0.000649 2.245671 0.025091
ZULHIJJAH -0.000423164 0.000649 -0.65191 0.514713
Appendix 2 Regression analysis from Model 2
FTSE KLCI (MODEL 2)
R Square 0.015714311
Observations 601
ANOVA
Significance
df SS MS F F
Regression 7 0.000356 5.09E-05 1.354760688 0.222080095
Residual 594 0.022305 3.76E-05
Total 601 0.022661

75
Standard
MUHARAM 0.003996087 0.001849 2.161787 0.0310333
SHAABAN 0.003463783 0.001831 1.891777 0.059006854
RAMADHAN 0.003648794 0.001842 1.981372 0.048010226
SHAWAL 0.003011864 0.001836 1.640261 0.101480407
ZULKAEDAH 0.00436703 0.001837 2.376707 0.017783824
ZULHIJJAH 0.002761998 0.00183 1.508887 0.131859371
KLIBOR -0.00114161 0.000608 -1.87758 0.0609279
FTSE EMAS (MODEL 2):
R Square 0.021754016
Adjusted R
Square 0.010189242
Observations 601
76
ANOVA
Significance
Df SS MS F F
Regression 7 0.000514978 7.36E-05 1.887034219 0.069257401
Residual 594 0.023157815 3.9E-05
Total 601 0.023672794
Standard
MUHARAM 0.004445292 0.001883519 2.360099 0.018592397
SHAABAN 0.003333573 0.001865644 1.786821 0.07447618
RAMADHAN 0.003135235 0.001876426 1.670855 0.095277107
SHAWAL 0.002575377 0.001870986 1.376481 0.169191321
ZULKAEDAH 0.004232114 0.001872227 2.260471 0.024153186
ZULHIJJAH 0.002566358 0.001865153 1.37595 0.169355607
KLIBOR -0.001053508 0.000619536 -1.70048 0.089564412

77
R Square 0.016148513
Adjusted R
Square 0.004527117
Observations 601
ANOVA
Significance
Df SS MS F F
Regression 7 0.000416047 5.94E-05 1.392808 0.205548402
Residual 594 0.025347745 4.27E-05
Total 601 0.025763792

78
Standard
-
KLIBOR 0.000525028 0.000648168 -0.81002 0.418254
MUHARAM 0.002800872 0.001970566 1.421354 0.155739
SHAABAN 0.001849076 0.001951865 0.947338 0.343852
RAMADHAN 0.001640044 0.001963144 0.835417 0.403819
SHAWAL 0.001048223 0.001957453 0.535503 0.592502
ZULKAEDAH 0.002816277 0.001958751 1.437792 0.15102
ZULHIJJAH 0.001134497 0.001951351 0.581391 0.561198
FTSE EMSYA (MODEL 2):
R Square 0.021405907
Adjusted R
Square 0.009837617
Observations 601
ANOVA
Significance
Df SS MS F F
Regression 7 0.000542 7.74E-05 1.856177 0.074408
Residual 594 0.024765 4.17E-05
Total 601 0.025306
79
Standard
-
KLIBOR 0.000738317 0.000641 -1.15242 0.249613
MUHARAM 0.003492342 0.001948 1.793001 0.073481
SHAABAN 0.002561761 0.001929 1.327833 0.184743
RAMADHAN 0.002011621 0.00194 1.036689 0.300303
SHAWAL 0.001424459 0.001935 0.73623 0.461882
ZULKAEDAH 0.003559822 0.001936 1.838669 0.066463
ZULHIJJAH 0.001670002 0.001929 0.865837 0.386929
Appendix 3 Regression analysis from Model 3
FTSE KLCI (MODEL 3)
R Square 0.0240518
Observations 601
ANOVA
Significance
Df SS MS F F
Regression 12 0.000545 4.54E-05 1.209636438 0.27225435
Residual 589 0.022116 3.75E-05
Total 601 0.022661

80
Standard
SHAABAN 0.002044864 0.004487 0.455707 0.648768308
RAMADHAN 0.009395702 0.004652 2.019888 0.043847227
SHAWAL 0.008636851 0.004552 1.897245 0.058284434
-
ZULKAEDAH 0.001238018 0.004553 -0.27191 0.785784248
ZULHIJJAH 0.001139931 0.003547 0.321392 0.748027725
MUHARAM-R -0.00068712 0.001484 -0.46312 0.643448394
SHAABAN-R -0.00064249 0.001569 -0.40957 0.682268621
RAMADHAN-R -0.00315248 0.001614 -1.95373 0.051206337
SHAWAL-R -0.00311625 0.001584 -1.96773 0.049568247
ZULKAEDAH-R 0.000827027 0.001584 0.52197 0.601887167
ZULHIJJAH-R -0.00056946 0.001232 -0.4622 0.644108825

81
FTSE EMAS (MODEL 3):
R Square 0.032814825
Observations 601
ANOVA
Significance
Df SS MS F F
Regression 12 0.000776819 6.47349E-05 1.665307764 0.070609535
Residual 589 0.022895975 3.88726E-05
Total 601 0.023672794

82
Standard
MUHARAM 0.003680093 0.004374677 0.841226123 0.400562659
SHAABAN 0.002585175 0.004565667 0.566220643 0.571459466
RAMADHAN 0.009164557 0.004732905 1.936349107 0.05330298
SHAWAL 0.009409584 0.004631887 2.0314795 0.042654798
-
ZULKAEDAH -0.002837389 0.004632581 0.612485612 0.540452899
ZULHIJJAH 0.000188282 0.00360886 0.052172252 0.958409132
-
MUHARAM-R -0.00078673 0.001509612 0.521146887 0.602460326
-
SHAABAN-R -0.000790888 0.00159611 0.495510075 0.620424929
-
RAMADHAN-R -0.003163196 0.001641777 1.926690085 0.054499035
-
SHAWAL-R -0.003452642 0.001611364 2.142683288 0.032547714
ZULKAEDAH-R 0.001429484 0.001612128 0.886706161 0.375599019
ZULHIJJAH-R -0.000214695 0.001253608 -0.17126176 0.864076766

83
R Square 0.024881721
Observations 601
ANOVA
Significance
Df SS MS F F
Regression 12 0.000641047 5.34E-05 1.252441 0.243295263
Residual 589 0.025122744 4.27E-05
Total 601 0.025763792

84
Coefficients Standard Error t Stat P-value
MUHARAM -0.00084938 0.004582474 -0.18536 0.853014
SHAABAN 0.002269064 0.004782535 0.474448 0.635356
RAMADHAN 0.007637972 0.004957718 1.540623 0.123946
SHAWAL 0.006563746 0.004851901 1.352819 0.176632
ZULKAEDAH -0.00360387 0.004852628 -0.74266 0.457981
ZULHIJJAH 0.000412115 0.00378028 0.109017 0.913226
MUHARAM-R 0.000747593 0.001581318 0.472766 0.636555
SHAABAN-R -0.00067398 0.001671925 -0.40312 0.687009
RAMADHAN-R -0.00262373 0.001719761 -1.52564 0.127637
SHAWAL-R -0.00246124 0.001687903 -1.45816 0.145328
ZULKAEDAH-R 0.001729895 0.001688704 1.024392 0.306071
ZULHIJJAH-R -0.00027022 0.001313154 -0.20578 0.837032
FTSE EMSYA (MODEL 3)
R Square 0.030959054
Observations 601
85
ANOVA
Significance
df SS MS F F
Regression 12 0.000783 6.53E-05 1.568121 0.096565
Residual 589 0.024523 4.16E-05
Total 601 0.025306
Standard
MUHARAM 0.003096429 0.004527 0.683927 0.49429
SHAABAN 0.003325015 0.004725 0.703694 0.481901
RAMADHAN 0.007649154 0.004898 1.561638 0.11891
SHAWAL 0.007010164 0.004794 1.462396 0.144166
ZULKAEDAH -0.004263406 0.004794 -0.88926 0.374227
ZULHIJJAH -0.000431986 0.003735 -0.11566 0.907959
MUHARAM-R -0.000600286 0.001562 -0.38423 0.700949
SHAABAN-R -0.001008708 0.001652 -0.61066 0.541662
RAMADHAN-R -0.002710917 0.001699 -1.5955 0.111137
SHAWAL-R -0.002699167 0.001668 -1.61857 0.106076
ZULKAEDAH-R 0.002009402 0.001668 1.204376 0.228928
ZULHIJJAH-R 3.11176E-06 0.001297 0.002398 0.998087
Source: Microsoft excel, regression

66

The Islamic Calendar Effect in Malaysian Stock Market

Uploaded by

Document Information

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

The Islamic Calendar Effect in Malaysian Stock Market

Uploaded by

Copyright:

Available Formats

THE ISLAMIC CALENDAR EFFECT IN

MALAYSIAN STOCK MARKET

NURHIDAYAH BINTI AB KARIM

UNIVERSITI SAINS ISLAM MALAYSIA

NURHIDAYAH BINTI AB KARIM

A THESIS SUBMITTED IN FULLFILMENT OF THE REQUIREMENTS FOR

FACULTY OF SCIENCE AND TECHNOLOGY

Date: 20 January 2014

Name: Nurhidayah Binti Ab Karim

Matrics. No: 1100425

APPROVAL FOR SUBMISSION

KARMILA HANIM BINTI KAMIL

Faculty of Science and Technology

Universiti Sains Islam Malaysia

Approval for submission VI

Table of contents VI- VI

List of appendixes XII

1.1 Introduction 1-2

1.2 Problem statements 3-4

1.3 Objectives of the study 5

1.4 Scopes and limitations 5

1.5 Significance of the study 6

CHAPTER 2: LITERATURE REVIEW

2.2 Gregorian calendar studies 17

2.3 Islamic calendar studies 17-18

2.4 Market risk factors 19-20

CHAPTER 3: DATA AND METHODOLOGY

3.1 Data collection 21

3.2 Method of analysis 21

3.2.1 Descriptive analysis 22-23

3.2.2 Dummy regression analysis 23-28

CHAPTER 4: ANALYSIS AND FINDINGS

4.1 Descriptive statistical analysis 29-30

4.1.1 Average price return in FTSE Stock Market 31-32

4.1.2 Kurtosis 33-34

4.2 Calendar dummies regression analysis 36

4.2.1 Islamic calendar effect: Conventional FTSE Stock Market 36-39

4.2.2 Islamic calendar effect: Shariah-Compliant FTSE Stock 40-43

4.3 Conventional and Shariah-compliant FTSE Stock market 59-61

CHAPTER 5: CONCLUSION AND RECOMMENDATION

5.2 Conclusion 62-63

FIGURE CAPTION PAGE

Figure 4.2: FTSE KLCI Price return Index against Time 66

Figure 4.3: FTSE EMAS Price return Index against Time 66

Figure 4.4: FTSE HIJRAH-Shariah Price return Index against time 67

Figure 4.5: FTSE EMAS-SHARIAH Price return Index against Time 67

TABLE CAPTION PAGE

Table 3.1: The selected FTSE Stock Market Table 21

Table 4.1.1: Average price return in FTSE Stock Market. 31

Table 4.2.1: Model 1 Islamic calendar effect: Conventional FTSE 36

Table 4.2.2: Model 1 Islamic calendar effect Shariah-Compliant FTSE 40

Table 4.2.3: Model 2 Islamic calendar effect: Conventional FTSE Stock 44

FTSE Financial Times and Stock Exchange

KLCI Kuala Lumpur Composite Inde

Appendix CAPTION PAGE

Figure 4.2: FTSE KLCI Price return Index against Time 66

Figure 4.3: FTSE EMASI Price return Index against Time 66

Figure 4.4: FTSE HIJRAH-Shariah Price return Index against Time 67

Appendix 1 Regression analysis from Model 1 69-74

Appendix 2 Regression analysis from Model 2 74-79

Appendix 3 Regression analysis from Model 3 79-85

After Ramadhan, muslim society celebrated eidulfitri. It comes immediate end of

1.2 Malaysian Stock Market

1.2.1 Bursa saham and FTSE