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Behavior of Islamic and Conventional Holiday-Effect and Adaptive Market Hypothesis: A Firm Level Evidence from Emerging Market of Asia

This study enhances the existing literature on the Adaptive Market Hypothesis (AMH) and calendar anomalies. The study is a first attempt to link the Islamic and conventional Holidays’ effect with the Adaptive Market Hypothesis that allows the performance of well-known Holiday Effect to fluctuate over time. To fulfil the purpose of the study, the daily returns of 107 individual firms listed in Pakistan Stock Exchange over the period of 20 years (from January 1996 to December 2015) are observed. To explore the varying degree of return predictability of Holiday Effect, the research utilizes four different subsamples comprising an equal length of observations of five years each. It is found that the behavior of the Holiday Effect evolves over time as the performance of this effect varies occasionally and is consistent with AMH. Finally, the paper proposes that the Adaptive Market Hypothesis is a well elucidation of the behavior of the Holiday Effect than traditional Efficient Market Hypothesis (EMH).