Results 231 to 240 of about 5,603 (270)
The Nepalese Stock Market: Efficient and Calendar Anomalies [PDF]
NRB Economic Review, 2005 After describing the various forms of efficiency and calendar anomalies observed in many developed and emerging markets according to the existing literature, the present study examines this phenomenon empirically in the Nepalese stock market for daily data of Nepal Stock Exchange Index from February 1, 1995 to December 31, 2004 covering approximately ...
Fatta Bahadur K.C. Ph. D. +1 more
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2014
Seasonality in financial market returns is not only limited to the day of the week effect; calendar anomalies recur periodically on particular days of the month for both price dynamics and trade volumes (Pettengill and Jordan, 1988). The most important anomalies on a monthly time horizon relate to the existence of special closing days (holidays) or ...
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Seasonality in financial market returns is not only limited to the day of the week effect; calendar anomalies recur periodically on particular days of the month for both price dynamics and trade volumes (Pettengill and Jordan, 1988). The most important anomalies on a monthly time horizon relate to the existence of special closing days (holidays) or ...
openaire +2 more sources
2014
The yearly seasonality of financial market returns exists in almost all countries and the difference between months is widely studied in the literature to provide useful guidelines for investment strategies (e.g., Gultekin and Gultekin, 1983). The empirical analysis of seasonality identified in any market is affected by the time horizon, the approach ...
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The yearly seasonality of financial market returns exists in almost all countries and the difference between months is widely studied in the literature to provide useful guidelines for investment strategies (e.g., Gultekin and Gultekin, 1983). The empirical analysis of seasonality identified in any market is affected by the time horizon, the approach ...
openaire +2 more sources
Calendar Anomalies: Abnormal Returns at Calendar Turning Points
Financial Analysts Journal, 1988(1988). Calendar Anomalies: Abnormal Returns at Calendar Turning Points. Financial Analysts Journal: Vol. 44, No. 6, pp. 28-39.
Bruce I. Jacobs, Kenneth N. Levy
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Calendar anomalies and dividend announcements effects on the stock markets returns [PDF]
Review of Quantitative Finance and AccountingIn this study, we extend the existing literature around dividend signaling theory and calendar anomalies by addressing the question of whether calendar anomalies, including Halloween, Turn-of-the-Month (TOM), January, Monday, and Friday effects, have any
Fakhrul Hasan +2 more
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Calendar Anomalies in the Ghana Stock Exchange
Journal of Emerging Market Finance, 2009Both the day of the week and the month of the year effects are examined for the Ghana Stock Exchange. The latter is an interesting case because (a) it operates for only 3 days per week during the sample period and (b) the increased focus that African stock markets have received lately from both academics and practitioners.
Paul Alagidede, Theodore Panagiotidis
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Calendar anomalies in Russian stocks and bonds
Managerial Finance, 2013Purpose– The paper aims to examine the Russian stock and bond markets for evidence of calendar anomalies in the first decade of the twenty-first century including a monthly seasonality, weekday seasonality, and a turn-of-the-month (TOM) seasonality. The study is motivated by interest in the Russian transition to a free market economy and provides an ...
William Compton +2 more
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Calendar Anomalies at Borsa Istanbul
2013The aim of the study is to find out the presence of abnormal day of the month return at Borsa Istanbul (BIST) and to make investors have higher returns from these anomalies. Daily percentage returns between January 4, 2000 and December 31, 2012 are used for the study.
AKKAYA, G. Cenk, CIMEN, Aysegul
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Calendar anomalies in REITs: international evidence
Journal of Property Investment & Finance, 2012Purpose – The purpose of this paper is to determine the relative magnitude of calendar anomalies in international Real Estate Investment Trusts (REITs). The anomalies are the prior day effect, the Monday effect, the turn‐of‐the‐month effect and the January effect. The results are based on 14 countries.
Mohammed S. Khaled, Stephen P. Keef
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Calendar Anomalies in Stock Index Futures
SSRN Electronic Journal, 2011There exist a large and increasing number of papers that describe different calendar anomalies in stock markets. Although empirical evidence suggests that seasonal effects disappeared after the early 1990s, new studies and approaches assert the continuation of some anomalies in stock indexes.
Oscar Carchano, Ángel Pardo Tornero
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