Introduction
Financial and non-financial events significantly affect the performance of stock markets. Some of the non-financial events that affect the stock market include religious events such as Christmas, Good Friday, Hajj, and Ashoura festivals. Bialkwoski et al. (2012) note that religious events affect investors’ moods and emotions, which subsequently affect their judgments, preference for risks, decision making, and response to uncertainties in the market. In Muslims-majority countries, religious events such as Ramadan, Ashoura, and Hajj can lead to high levels of seasonality in their capital markets. The analysis of the Saudi Arabia Tadawul All Share Index (TASI), shows that although this market experiences seasonality following a major Islamic holy day, the significance, and effects of each event on the market varies due to the emotions and willingness to take the risk that it creates on the investors.
Ramadan is one of the most important Muslim holidays and is separated by over 1.5 billion Muslims globally (Bialkwoski et al., 2012). From a psychological perspective, Ramadan makes Muslims be optimistic and more willing to invest since they expect blessings during and after this event (Beit-Hallahim & Argyle, 1997). Hajj is the second largest Muslim annual festival in the world. It is a pilgrimage held in Mecca, Saudi Arabia, and is held from the 8th to the 12 date of the Dhu-al-Hijjah. Muslim faithful’s usually expect blessings and forgiveness of their sins after going for Hajj (Al-Islam.org, 2018). Ashoura is marked by sadness among all Muslims. Shi’a Muslim mourn the death of Hussein Ibn Ali on the battle of Karbala on Ashoura. Sunni Muslims, on the other hand, commemorate the day of Israelites liberation from Pharaoh (Schwartz, 2015).
 
 
Methods
Daily data from January 1998 to December 217 of the Tadawul All-Share Index (TASI) was used to establish whether there was increased volatility in the market during Ramadan, Hajj, and Ashoura. The data was also examined to show if there were changes in volumes traded or the returns from the index. Bollerleve (1986) GARCH model (1, 1) was used in this test. The estimates for Ramadan, Ashoura, and Hajj effects were modeled using dummy variables. Where 0 were days with no event and 1 days with the event. The autoregressive (AR) and moving average (MA) effects were captured using the lagged values of the return variables and the lagged error values respectively. EViews Student Version (SV) was used in this analysis.
Estimate Equation for Ramadan Ashoura and Hajj (Returns)

 
 
 
 
 
 
 
The solution for the Estimate Equation of Ramadan, Ashoura, Hajj Returns
 
Estimate Equation for Ramadan, Ashoura, Hajj (Volume)
 
The solution for Estimate Equation for Ramadan, Ashoura, Hajj (Volume)
Conclusion
The research showed that there are significant changes in returns of the TASI during Ramadan when compared to other times of the year. With all factors being held constant, returns in the TASI increase by 0.001768 during Ramadan when compared to non-holiday days. The Durbin-Watson statistic of 1.7249 for returns and 2.664 for volumes showed there was no significant difference in volatility during Ramadan when compared to other non-holiday days in the year. The analysis also showed that there is a significant change in volumes of the TASI during Ramadan when compared to other periods of the year. Holding other factors constant, volumes traded increased by 0.047824 during Ramadan when compared to non-holiday days.
It was also established that there is a significant change in returns of the TASI during Ashoura when compared to periods in the rest of the year. In particular, the returns decreased by 0.007116 during Ashoura when compared to non-holiday days. There was also no significant differences in volatility in the TASI during Ashoura when compared to other periods of the year, which was shown by the Durbin-Watson statistic of 1.7249 for returns and 2.664 for volumes. It was also established that there is no significant change in volumes of the TASI during Ashoura when compared to other periods of the year. With all factors being held constant, volumes increased by 0.16659 during Ashoura when compared to non-holiday days.
In Hajj, it was observed that there are no significant changes in returns when compared to other periods of the year. Holding other factors, the returns decreased by 0.00765 during Hajj when compared to non-holiday days. It was also established that there are no significant differences in volatility in the TASI during Hajj when compared to other periods of the year, which is shown by a Durbin-Watson statistic of 1.7249 for returns and 2.664 for volumes. Finally, it was established that there are no significant changes in volumes of the TASI during Hajj when compared to other periods of the year. Holding other factors constant, it was established that volumes increase by 0.117604 during Hajj when compared to other periods of the year.
The lack of significant changes in returns in Ramadan can be explained by the presence of foreign international investors, who trade even in holidays, in the TASI (Bialkwoski et al., 2012). The presence of foreign investors can also be associated with lack of volatility of the TASI. From the research findings, investors can exploit the TASI by buying the TASI index a few days before the start of the religious festivals and sell a few days or immediately after the end. A more conservative approach is always buying the index before the start of the holidays (Ramadan, Ashoura, and Hajj) or selling after the end. Noteworthy, these strategies cannot guarantee an investor success since financial markets are extremely volatile and seasonal effects cannot fully explain all market trends.
 
References
Al-Islam.org, 2018, 4. Sa’y of Safa and Marwah, Retrieved from https://www.al-islam.org/rites-of-umrah-al-mufradah-nasir-makarim-shirazi/4-say-safa-and-marwah
Beit-Hallahmi, B & Argyle, M., 1997, The psychology of religious behaviour, belief and experience. Routledge, London.
Bialkowski, J., Etebari, A & Wisniewski, T 2012, ‘Fast profits: Investor sentiment and stock returns during Ramadan.’ Journal of Banking and Finance, vol. 36, pp. 835–845.
Bollerslev, T 1986, ‘Generalized autoregressive conditional heteroscedasticity.’ Journal of Econometrics, vol. 31, no. 3, pp. 307–327.
Schwartz, S 2015, Ashura in the shadow of new terrorism. Viewed 5 March 2018 < https://www.huffingtonpost.com/stephen-schwartz/ashura-in-the-shadow-of-n_b_6080320.html>