Timing is Everything: An Empirical Investigation of Calendar Anomalies in Türkiye's Participation and Conventional Indices

This study investigates calendar anomalies and leverage effects in Türkiye by comparing conventional (BIST 30) and Islamic (Participation 30) indices from 2013 to 2021. While prior research highlights seasonal patterns in financial markets, empirical evidence remains inconclusive, particularly in emerging economies. Employing PARCH and TARCH volatility models, the analysis evaluates whether Islamic religious observances, including Ramadan and the Eid periods, systematically affect stock returns and volatility, and how leverage effects differ between conventional and Shariah-compliant stocks. The results provide no evidence of persistent return anomalies associated with religious events, indicating that such information is largely incorporated into prices and consistent with market efficiency. Nevertheless, notable differences emerge in volatility behavior. The Participation 30 index experiences a decline in volatility during the pre-Eid period, followed by a pronounced increase in the days immediately after Eid, a pattern not observed in the conventional index. Leverage effects are confirmed in both indices but are notably stronger in the conventional market, aligning with its higher debt sensitivity. However, because these asymmetries are identified through different volatility specifications, direct comparisons of their relative magnitude should be interpreted cautiously. These results underscore how financial structure and investor behavior shape market stability and suggest that Shariah-compliant frameworks may moderate extreme risk responses without generating systematic pricing inefficiencies.