Cross-cultural differences in seasonality

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.