This study aims to investigate the Hijri calendar effect in Borsa Istanbul (BIST) precious metal market and foreign exchange market (Dollar and Euro market) of Turkey.
The data of BIST gold market index and foreign exchange market are used for the period of 4 March 2003-30 September 2016 (1 Muharram 1424 – 28 Dhu al-Hijja 1437) in the study. These data are analyzed by using the dummy variable regression model and Kruskal–Wallis (KW) test.
The results of the regression models and KW test indicate that there is a Ramadan effect in the gold market and after-Ramadan effect in the Euro market. On the other hand, the Hijri month effect does not exist in the Dollar market.
This is the first paper that investigates the Hijri calendar effect in gold and foreign exchange markets of Turkey other than the stock market.
