Cross-cultural differences in seasonality

Jorg Bley*, Mohsen Saad

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

35 Citations (Scopus)


This paper analyzes daily market index and company level stock return data across the Gulf Cooperation Council (GCC) region in search of calendar effects well documented in many international stock markets. The presence of day-of-the-week anomalies suggests the existence of a global phenomenon. In spite of the unique status of the Gulf region as a tax haven, company level data shows spill-over effects of tax-selling that can be used to identify market segments with a high presence of foreign investors trying to reduce the home tax burden as traces of the January effect are found in these segments. Lastly, the magnitude of the holiday effect depends not only on the cultural/religion setting of a country market but on the cultural/religious background of its participants. If a local market is dominated by foreign investors, their belief system, even if different from that of local investors, is reflected in the return behavior of the local market.

Original languageEnglish
Pages (from-to)306-312
Number of pages7
JournalInternational Review of Financial Analysis
Issue number4
Publication statusPublished - Sept 2010
Externally publishedYes


  • Emerging markets
  • Market efficiency
  • Return seasonality


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