Results 11 to 20 of about 5,603 (270)
A Review on the Evolution of Calendar Anomalies
Studies in Business and Economics, 2017 In this article, we provide a detailed review on the behavior of calendar anomalies (day–of–the–week, January and turn–of–month in particular) to understand their evolution over time. The research in the area of stock market indicates negative returns on
Kumar Satish
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Behavior of Calendar Anomalies, Market Conditions and Adaptive Market Hypothesis: Evidence from Pakistan Stock Exchange [PDF]
Pakistan Journal of Commerce and Social Sciences, 2017 The current study investigates Adaptive Market Hypothesis (AMH) via five different calendar effects in Pakistan stock market. For the purpose we examine daily returns of KSE-100 index. The sample comprises 24 years over the period from January 1992 to
Muhammad Naeem Shahid (Corresponding author)
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Calendar Anomalies: A Case Study of the Vietnam’s Stock Market [PDF]
International Journal of Management, Accounting and Economics, 2023 This study empirically investigated the existence of Calendar effects by using closing daily data for the Vietnam index (VN-index) before and during the Covid-19 pandemic.
Hoang Thi Du, Nguyen Xuan Tho
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Calendar Anomalies in African Stock Markets: Does the Effect of Covid-19 Pandemic Matter? [PDF]
Organizations and Markets in Emerging EconomiesThe Covid-19 pandemic profoundly disrupted global economies and financial systems, altering investor behavior and challenging traditional market dynamics.
Fouzia Alloul, El Mehdi Ferrouhi
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Improved calendar time approach for measuring long-run anomalies [PDF]
Cogent Economics & Finance, 2015 Although a large number of recent studies employ the buy-and-hold abnormal return (BHAR) methodology and the calendar time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms.
Anupam Dutta
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Calendar anomalies: a survey of the literature
International Journal of Behavioural Accounting and Finance, 2015 Nikunj Patel
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Further evidence on calendar anomalies [PDF]
European Financial Management, 2021 AbstractThis study aims to investigate the day‐of‐the‐week effect of cross‐market leveraged exchange‐traded funds (LETFs) in the Taiwanese stock market. We find that Wednesday's overnight returns are significantly positive for bull 2X LETFs tracking major stock indices of the Chinese market, whereas no such an effect is found for ETFs tracking local or
Hsu, Yuan-Teng +3 more
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Another look at calendar anomalies [PDF]
The Quarterly Review of Economics and Finance, 2021 Abstract We employ daily aggregate and sectoral S&P500 data to shed further light on the day-of-the-week anomaly using GARCH and EGARCH models. We obtain the following results: First, there is strong evidence for day-of-the-week effects in all sectors, implying that these effects are part of a wide phenomenon affecting the entire market structure ...
Evanthia Chatzitzisi +2 more
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Analysing the Evolvement of the Presence of Calendar Anomalies in Borsa Istanbul Over Time
İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 2023 The Efficient Market Hypothesis has become controversial in the finance literature for some time. It can be said that one of the reasons for these discussions is the findings reached from the research on calendar anomalies.
Erdinç Altay, Durmuş Fatih Aygün
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Polityki Europejskie, Finanse i Marketing, 2023 Practice and empirical observations prove that achieving above-average returns on the stock market is possible. It is possible to achieve both higher and lower returns than those resulting from the fundamental value of the companies being valued.
Tomasz Pawlonka, Paweł Sypniewski
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