Author(s): Omar K. Gharaibeh, Saqer Al-Tahat, Mohammad Alafeef
This paper examines four calendar effects including the day-of-the-week, month-of-the-year, season and day-of-the-month effects on Egyptian stock market (EGX) returns using MSCI EGX 30 daily index from January 2012 to August 2019. Using the GARCH (1, 1) model, this paper found that the four calendar effects are present in every dimensions of time frequency. The results have showed positive and significant weekday effects on Tuesday and Thursday. This study also has showed positive and significant January and winter effects. The effect of a day-of-the-month was significant at the level of 3 days in the (2nd, 7th and 10th) at the beginning of each month. The calendar effect patterns in return may enable a rational financial decision maker to take advantage of the relatively regular changes in the market by designing and implementing trading strategies accordingly.