Assessing the Impact of Islamic Religious Holiday Calendar Anomalies: Evidence from Borsa Istanbul

This study investigates the impact of Islamic calendar events on stock returns and volatility in the Turkish stock market (Borsa Istanbul) by focusing on both conventional indices (BIST 100, BIST 50, BIST 30) and Shariah-compliant participation indices (BISTP 100, BISTP 50, BISTP 30). The analysis employed an ARMA (2, 2)–EGARCH (1,1) framework to address asymmetric volatility responses and the persistence of return dynamics. The findings from the mean equation indicated that Ramadan, Eid al-Fitr, and Eid al-Adha did not have statistically significant effects on average returns across all indices, implying that Islamic religious observances did not consistently affect return behavior. In contrast, the variance equation revealed more nuanced dynamics. A significant decline in volatility during Ramadan was observed only for the BISTP 100 index, indicating an index-specific effect rather than a market-wide phenomenon. Notably, participation indices exhibited higher volatility and stronger persistence than their conventional counterparts, challenging the common assumption that Shariah-compliant equities were inherently more stable. The leverage effect was consistently negative and statistically significant across all indices, indicating that negative shocks exerted a greater influence on volatility compared to positive shocks of equivalent size. The findings indicated that the impact of the Islamic calendar on the Turkish stock market was restricted and primarily affected certain indices, whereas volatility exhibited significant persistence and marked asymmetry. Given the relatively short sample period and index-specific nature of the results, the findings warrant careful interpretation, and broader datasets are needed before drawing definitive conclusions.