Is there a holiday effect on the performance of Shariah-compliant stocks compared to non-Shariah-compliant stocks on Bursa Malaysia?
Hani Nuri Rohuma Ph.D.

Abstract
This research examines whether the return of the Shariah-compliant portfolio (SCP) relative to the non-Shariah-compliant portfolio (NSCP) is subject to any holiday effect on Bursa Malaysia over the examination period from1 December 2005 to 30November 2017.For this research, a new portfolio (SCP–NSCP) that represented the monthly difference return between the SCPand NSCP is constructed. The regression was conducted by regressing the monthly returns of (SCP–NSCP) on the monthly returns of the Capital Asset Pricing Model (CAPM) factor with dummy variables and then, on the monthly returns of the Fama and French (1993) three-factor model (FF3M) factors with dummy variables.By employing the CAPM and FF3M, the results indicated that the performance of Shariah-compliant stocks relative to non-Shariah-compliant stocks does not subject to any holiday effect on Bursa Malaysia.Thus, there is no difference in the return performance betweenSCP and NSCP.

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