Calendar anomalies and their impact on selected GCC stock market returns

• This study investigates day-of-the-week, month, and holiday anomalies in GCC Islamic stock markets. • Uses GARCH and EGARCH models over a 20-year period (2003–2023). • Findings show persistent anomalies, especially in Saudi Arabia, UAE, and Bahrain. • Eid ul-Fitr exhibits significant holiday effects in UAE and Qatar. • Results provide insights for investors, policymakers, and regulators to enhance market efficiency. This study explores the presence and impact of calendar anomalies on stock market returns in the Gulf Cooperation Council (GCC) countries: Bahrain, Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates. Utilizing daily and monthly stock return data from September 25, 2003, to September 24, 2023, the study applies Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, with Exponential GARCH (EGARCH) used for robustness checks. The findings reveal significant calendar anomalies, including the day-of-the-week, month-of-the-year, and holiday effects, suggesting that stock returns exhibit predictable patterns tied to specific days and months. These anomalies challenge the Efficient Market Hypothesis (EMH) and offer opportunities for investors to develop strategic trading approaches. The study highlights the need for improved market transparency and regulatory measures to enhance market efficiency and curb unfair practices in the region’s stock markets.