Are Gulf Cooperation Council Stock Markets Special?

The Gulf Cooperation Council (GCC) stock markets have received increased attention from international investors recently. We examine whether a day-of-the-week effect is present in those markets, and investigate whether the occurrence of the month of Ramadan has a special bearing on returns and on the day-of-the-week anomaly. We find a calendar effect that occurs on the last trading day of the week, which occurs on Wednesdays in the leading market of the GCC region. We call this a "Wednesday effect", and we find that it is more pronounced in the period leading up to the month of Ramadan rather than afterwards. This return pattern may be consistent with the explanation provided by the "Investors' Mood Hypothesis." However, we do not find that investor behavior is significantly altered during the month of Ramadan and relative to other months of the lunar calendar year.