Stock Market Anomalies: Case of Calendar Effects on the Tunisian Stock Market . Jihen Jbenieni Gouider Abstract- The aim of this work is to analyze the effect of financial market anomalies, specifically calendar anomalies, on the behavior of financial investors in terms of decisions and profit. This paper aims to investigate the calendar anomalies in Karachi Stock exchange by using KSE 100 index during the period of 2008 to 2012. The study examined the existence of week days, weekend and monthly seasonal anomalies. These calendar effects are examined by applying different statistical techniques. Stock market anomaly is defined as an unusual pattern of stock returns that exist within the stock markets. These anomalies can be broadly classified as calendar, fundamental and technical anomalies. The focus of this literature survey is to review various calendar anomalies that were observed over time in different stock markets Calendar market anomalies are the most famous among investors. The idea is that some months typically mean higher or lower stock returns compared to others. The most famous of these is the January Effect. The idea is that stocks that did poorly in the fourth quarter (October – December) tend to outperform in January. Unfortunately, this is the case for many calendar anomalies. The January effect may have the most valid explanation. It is often attributed to the turn of the tax calendar; investors sell off stocks at year's end to cash in gains and sell losing stocks to offset their gains for tax purposes. The present study examines calendar anomalies in the Russian stock market by incorporating transaction costs in the estimated models (following Gregoriou et al., 2004 and Caporale et al., 2016), and therefore, it expands previous studies on anomalies in this market, such as Compton et al. (2013), not taking into account transaction costs. Specifically, four models are estimated: OLS, GARCH, TGARCH and EGARCH.
Aug 3, 2018 The holiday effect, or pre-holiday effect, is a calendar anomaly that describes the tendency for the stock market to gain on the final trading day However, behavioral finance asserts that there are many anomalies in the market . The effects of days of the week, January effect and religious days on the returns
(2004) and Hui (2005) undertake international studies and show that this market anomaly is recently becoming weaker, particularly in developed markets. More. Dec 23, 2018 Calendar anomalies remain independent for stock and Commodity market. Inderscience Publishers - linking academia, business and industry Persistence of Calendar Anomalies: Insights and Perspectives on Month of the Year Effect in Indian Stock Markets. Meher Shiva Tadepalli,Ravi Kumar Jain. ABSTRACT : The existence of calendar anomalies is the violation of Efficient Market Hypothesis (EMH). Stock Market anomalies are the patterns that do seem to An Examination of the Calendar Anomalies on Emerging Central and. Eastern European Stock Markets. OVIDIU STOICA, DELIA-ELENA DIACONAȘU. Key words: calendar effects, African stock markets, month of the year and Broadly speaking, calendar anomalies refer to the tendency of financial asset returns
May 17, 2017 Calendar market anomalies are the most famous among investors. The idea is that some months typically mean higher or lower stock returns (2004) and Hui (2005) undertake international studies and show that this market anomaly is recently becoming weaker, particularly in developed markets. More. Dec 23, 2018 Calendar anomalies remain independent for stock and Commodity market. Inderscience Publishers - linking academia, business and industry Persistence of Calendar Anomalies: Insights and Perspectives on Month of the Year Effect in Indian Stock Markets. Meher Shiva Tadepalli,Ravi Kumar Jain. ABSTRACT : The existence of calendar anomalies is the violation of Efficient Market Hypothesis (EMH). Stock Market anomalies are the patterns that do seem to An Examination of the Calendar Anomalies on Emerging Central and. Eastern European Stock Markets. OVIDIU STOICA, DELIA-ELENA DIACONAȘU.
An Examination of the Calendar Anomalies on Emerging Central and. Eastern European Stock Markets. OVIDIU STOICA, DELIA-ELENA DIACONAȘU. Key words: calendar effects, African stock markets, month of the year and Broadly speaking, calendar anomalies refer to the tendency of financial asset returns Keywords: calendar anomalies, efficient market hypothesis, data mining, different stock markets, the economic significance of calendar effects is still debated. Nov 28, 2012 month effect, Amman stock exchange. 1. Introduction. The Efficient market hypothesis of Fama (1970) is beaten by several anomalies. Calendar Jun 1, 2010 In recent years the testing for market anomalies on stock returns has become an active field of research in empirical finance. Calendar effects. A calendar effect (or calendar anomaly) is any market anomaly, different behaviour of stock markets, or economic effect which appears to be related to the calendar, such as the day of the week, time of the month, time of the year, time within the U.S. presidential cycle, decade within the century,