• The Journal of Asian Finance, Economics and Business
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• v.8 no.7
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• pp.11-19
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• 2021

The study aims to investigate the impact of seasonality in Gulf Cooperation Council (GCC) countries' share market during the month of Ramadan. It helps in finding the opportunities for stock market investors to earn abnormal (returns) gain by investing during Ramadan in GCC stock markets. This study uses stock returns data of GCC countries (Saudi Arabia, Bahrain, Qatar, Kuwait, Dubai, and UAE) from January 2004 to November 2019. Stock prices indexes of GCC stock markets have been obtained from Datastream. The ARCH-GARCH model is used to study the impact of the Ramadan month on the return and volatility of the stock market in GCC countries. The results showed that the Ramadan month has a significant impact on share market prices in Saudi Arabia and the United Arab Emirates. However, Ramadan has an insignificant impact on share market prices in Bahrain and Oman. The study found no evidence of serial correlational between residuals in Kuwait; meaning that stock return was not dependent on the prior stock returns in Kuwait, therefore, we cannot go for forecasting. The ARCH-LM test statistic for Qatar does not fulfill the requirement of a good regression model; therefore, we cannot go for forecasting or testing the hypothesis of Qatar.