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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 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
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The impact of weather anomalies on shallot seed production in West Lombok, Indonesia [PDF]
E3S Web of Conferences, 2023 Shallot (Allium cepa L.) is one of the strategic commodities in Indonesia, where the Province of West Nusa Tenggara (NTB) is the third largest shallot-producing area.
Hidayah B.N. +3 more
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January effect: 200 years of evolution in the us stock market [PDF]
Geopolitics under Globalization, 2018 This paper is a comprehensive investigation of the January Effect evolution in the US stock market over the period 1791–2015. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, Mann-Whitney test) and a trading ...
Alex Plastun, Vyacheslav Plastun
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Agricultural commodity markets and the Turn of the month effect
Agricultural Economics (AGRICECON), 2023 The Turn of the month (ToM) effect is a calendar anomaly when the majority of returns of an asset are concentrated into several days around the end of the old month and the start of the new one.
Peter Árendáš, Jana Kotlebová
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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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ASAD: Adaptive Seasonality Anomaly Detection Algorithm under Intricate KPI Profiles
Applied Sciences, 2022 Anomaly detection is the foundation of intelligent operation and maintenance (O&M), and detection objects are evaluated by key performance indicators (KPIs). For almost all computer O&M systems, KPIs are usually the machine-level operating data. Moreover,
Hao Wang +8 more
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Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados [PDF]
RAC: Revista de Administração Contemporânea, 2015 The aim of this paper was to analyze the relationship between Mondays and the profitability provided by Brazilian hedge funds. We used a data basis composed of 3,337 hedge funds, totaling 3,529,808 observations of daily data, during the period from ...
Rodrigo Fernandes Malaquias +1 more
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The Montenegrin capital market: Calendar anomalies [PDF]
Economic Annals, 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. The main characteristics of the Montenegrin capital market are briefly explained.
Vesna Karadžic, Tamara Backovic Vulic
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