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Seasonality Effect and Market Efficiency Anomalies in the Saudi Stock Market (Final)

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Saudi Stock Market 1
SEASONALITY EFFECT AND MARKET EFFICIENCY ANOMALIES IN THE
SAUDI STOCK MARKET

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Saudi Stock Market 2
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Saudi Stock Market SEASONALITY EFFECT AND MARKET EFFICIENCY ANOMALIES IN THE SAUDI STOCK MARKET 1 Saudi Stock Market Student’s Name Course Professor’s Name University City (State) Date 2 Saudi Stock Market 3 Abstract This study has examined the impact of Ramadan, Hajj, and Ashoura festivals on the Tadawul All-Share Index (TASI) from 1998-2018. It is widely accepted that seasonal effects, such as those caused by major religious ceremonies have a significant impact on the returns and volatility of financial markets. This research has established that there are no significant changes in returns of the TASI during Ramadan, Hajj, and Ashoura when compared to other periods of the year. There is also no significant differences in volatility in TASI during Ramadan, Ashoura, and Hajj when compared to other times of the year. Finally, there is no significant changes in volumes during Ashoura and Hajj when compared to other periods of the year. However, the research has shown that there are significant changes in volumes during Ramadan when compared to other periods of the year. Keywords: investment, volatility, returns, portfolio Saudi Stock Market 4 Table of Contents Abstract ........................................................................................................................................... 3 Chapter 1: Introduction ................................................................................................................... 8 Importance o ...
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