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A New Look at Calendar Anomalies: Multifractality and Day-of-the-Week Effect [PDF]
Entropy, 2022 Stock markets can become inefficient due to calendar anomalies known as the day-of-the-week effect. Calendar anomalies are well known in the financial literature, but the phenomena remain to be explored in econophysics.
Darko Stosic +4 more
doaj +4 more sources
The Montenegrin capital market: Calendar anomalies [PDF]
Ekonomski Anali, 2011 Many researchers have shown that capital markets in CEE countries are weakly efficient in terms of calendar anomalies. The goal of this paper is to investigate whether the capital market in Montenegro is efficient regarding some of these anomalies ...
Karadžić Vesna +1 more
doaj +5 more sources
Calendar anomalies in the Russian stock market [PDF]
Russian Journal of Economics, 2017 This research note investigates whether or not calendar anomalies (such as the January, day-of-the-week and turn-of-the-month effects) characterize the Russian stock market, which could be interpreted as evidence against market efficiency.
Guglielmo Maria Caporale +1 more
doaj +8 more sources
Calendar Anomalies in Islamic Frontier Markets
SAGE Open, 2022 This study investigates calendar anomalies in eight Islamic frontier markets. Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019.
Faheem Aslam +4 more
doaj +4 more sources
Islamic calendar anomalies: Pakistani practitioners’ perspective [PDF]
Qualitative Research in Financial Markets, 2018 Purpose Studies on Islamic calendar anomalies in financial markets tend to apply quantitative analysis to historic share prices. Surprisingly, there is a lack of research investigating whether the participants of such markets are aware of these anomalies and whether these anomalies affect their investment practice.
Nongnuch Tantisantiwong +2 more
exaly +7 more sources
Calendar anomalies in African stock markets [PDF]
Cogent Economics & Finance, 2021 In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars.
El Mehdi Ferrouhi +3 more
doaj +3 more sources
Calendar Anomalies in NFT Coins
Ekonomi, Politika & Finans Araştırmaları DergisiThis study examines the effect of day-of-the-week, month-of-the-year, and turn-of-the-month anomalies on NFT coins (Stacks, Tezos, and Decentraland) and Bitcoin. To this end, the generalized autoregressive conditional heteroscedasticity (GARCH) model was
Zeliha Can Ergün
doaj +2 more sources
Rise and Fall of Calendar Anomalies over a Century [PDF]
SSRN Electronic Journal, 2019 In this paper, we conduct a comprehensive investigation of calendar anomaly evolution in the US stock market (given by the Dow Jones Industrial Average) for the 1900 to 2018 period. We employ various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis and Mann-Whitney tests) and the trading simulation approach to ...
Plastun, Alex +3 more
openaire +5 more sources
Calendar anomalies in the Ukrainian stock market [PDF]
Investment Management and Financial Innovations, 2016 This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test for the presence of the following anomalies: day-of-the ...
Guglielmo Maria Caporale, Alex Plastun
openaire +9 more sources
REVISITING CALENDAR ANOMALIES IN BRICS COUNTRIES
Buletin Ekonomi Moneter dan Perbankan, 2019 We use a GARCH-dummy approach to analyze the influence of calendar anomalies on conditional daily returns and risk for BRICS countries’ stock markets during 1996 to 2018.
Harald Kinateder +2 more
doaj +3 more sources