Stock returns during religious holidays: The role of culture and belief

This research investigates the effects of culture and belief on stock returns in Asia and Europe during religious holidays. Culture was proxied by power distance, individualism, uncertainty avoidance, and long-term orientation. Belief was proxied by government regulation, government favoritism, and social regulation. Seventeen stock indices were selected, and the data employed in this research are stock returns during religious holidays commemorated by each country listed in the top world indices from 2016 to 2020. A quantitative method was employed and the data analysis was done using a multiple linear regression method with panel data. This research shows that individualism, government regulation, favoritism, and social regulation positively affect stock returns during religious holidays. This implies that investors recognize stock market characteristics to facilitate investment decision-making. It is recommended that investors maximize positive stock returns found in individualistic countries and countries with high government regulation, favoritism, and social regulation.