This study investigates the existence of the effect of Holy Days (the feast of Ramadan and the feast of Sacrifice) on stock returns at the Istanbul Stock Exchange (ISE) for the period between 1988 and 1999. It is the first comprehensive attempt to analyse the performance of ISE with respect to Holy Days. For this purpose, both ISENational 100 Composite Index and 30 stocks of ISE, for which trade volume is the highest, are examined. The analysis of ISE National 100 Composite Index reveals strikingly high returns on Day -2 (two days before religious holidays). The analysis of ISE 30 stocks displays that the average return on Day -2 is about seven times higher than the average return on other days with statistically significant results for 17 of the stocks. It is also observed that the daily return performance for 21 of the ISE 30 stocks is even more than 2 per cent on this special day.
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