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Testing the significance of calendar effects [PDF]

, 2003
When evaluating the significance of calendar effects, such as those associated with Monday and January, it is necessary to control for all possible calendar effects to avoid spurious results. The downside of having to control for a large number of possible calendar effects is that it diminish the power and makes it harder to detect real anomalies. This
Peter Hansen, Asger Lunde
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Calendar Effects on the Amsterdam Stock Exchange

De Economist, 2003
For daily data on a value-weighted index of all shares in the Netherlands (1981-1998), we find abnormally high returns in the pre-Christmas period of the second half of December and around the turn of the month, whereas returns are negative and volatility is relatively high on the Mondays where the previous week's return is below zero. Furthermore, our
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Calendar effects of the Chinese stock markets

International Journal of Business and Emerging Markets, 2013
Drawing upon extant literature on the impact of calendar effects (daily effect and monthly effect) on the stock markets, the authors employ regression analysis to test the relationship between mean daily returns of trading days and mean returns of the remaining trading days of the week (in effect, calendar effects), on the Chinese stock markets.
Jaw Kai Wang, Udechukwu Ojiako, Ling Wang   +2 more
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Calendar Effects in the Analysis of Seasonal Data

American Journal of Epidemiology, 1994
A variety of statistical methods exist for analyzing seasonal patterns in epidemiologic data. As a simplification in the calculations, these methods often do not explicitly take into account certain calendar effects, such as the variation in month length, the irregular number of weekend days in each month, and the occurrence of holidays.
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Calendar and reverse calendar effects: Time peaks in memory as a function of temporal cues

Memory, 2005
Prior research on autobiographical memory revealed that students typically report more memories from semester boundaries than from other times. Explanations for these calendar effects were examined in two experiments. In Experiment 1, temporal cues were eliminated from the memory cueing task, and an opposite outcome obtained: a greater amount of ...
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Calendar effects in monthly time series models

Journal of Systems Science and Systems Engineering, 2005
It is not unusual for the level of a monthly economic time series, such as industrial production, retail and wholesale sales, monetary aggregates, telephone calls or road accidents, to be influenced by calendar effects. Such effects arise when changes occur in the level of activity resulting from differences in the composition of calendar between years.
Gerhard Thury, Mi Zhou
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Calendar Anomalies:Daylights Savings Effect

2005
Academics and practioners analysed equity returns, trying to link anomalous returns with a recurring period of time, this bore a new research area: the so called calendar anomalies, where we should mean as an anomaly any such event that could not be explained using the efficient market theory, or any other ordinary theory prevailing in finance ...
BOIDO, CLAUDIO, FASANO A.
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Inference for calendar effects in microstructure noise

Journal of Time Series Analysis
We develop a statistical inference procedure for the ubiquitous calendar effects in microstructure noise using high frequency data. This is, to the best of our knowledge, the first inference theory ever built for noise calendar effect under the general semi‐martingale‐plus‐noise setup for prices contaminated with non‐stationary, endogenous, and ...
Yingwen Tan, Zhiyuan Zhang
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Calendar Effects on Stock Returns Across Multiple States

SSRN Electronic Journal, 2011
We test calendar effects on stock returns considering business and presidential cycles and volatility regimes and show evidence for eight financial market states. We jointly consider four types of seasonality: the day-of-the-week effect (DWE), the macroeconomic announcement effect (MAE), the January effect (JE) and the macroeconomic announcement ...
Henry Aray, Betty Agnani
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Cancer treatment and survivorship statistics, 2022

Ca-A Cancer Journal for Clinicians, 2022
Kimberly D Miller, Leticia M Nogueira, Angela B Mariotto   +2 more
exaly