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Month-of-the-Year, Heavy-Spending Holiday and Firm Size Effect: Asian Evidence
SSRN Electronic Journal, 2012The results of this study indicate that the January effect has been replaced by a February effect in emerging Asian stock markets. The February effect may be a phenomenon reflecting investors’ response to the need for liquidity before the heavy-spending characteristic of the Chinese New Year, which requires investors to raise cash to finance their ...
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Day-of-the-Week and Month-of-the-Year Effect on the Kenyan Stock Market Returns
Eastern Africa Social Science Research Review, 2009Capital markets are normally assumed to be efficient in relation to the instantaneous incorporation of all known and new arriving information into prices of securities. Studies assessing the efficiency of capital markets have reported mixed results, some of which are against the efficient markets theory.
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Month of the Year Effect in Istanbul Stock Exchange
2014Bu çalışmada, İstanbul Menkul Kıymetler Borsasında Yılın Ayı Etkisi’nin varlığı araştırılmıştır. İkinci seans günlük kapanış değerleri kullanılarak IMKB-100 endeksinin günlük logaritmik getirileri, 20002010 dönemi için hesaplanmıştır. Söz konusu dönem 2000-2005 ve 2006-2010 alt dönemlerine ayrılmıştır.
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International Journal of Finance & Economics, 2001
AbstractThis paper investigates seasonal anomalies in the mean stock returns of Germany, the UK and the US during pre‐World War I (WWI) period. The anomalies studied are month of the year effect and the January effect. The empirical research is conducted using a non‐linear GARCH‐t model, and monthly returns.
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AbstractThis paper investigates seasonal anomalies in the mean stock returns of Germany, the UK and the US during pre‐World War I (WWI) period. The anomalies studied are month of the year effect and the January effect. The empirical research is conducted using a non‐linear GARCH‐t model, and monthly returns.
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An Examination of the Month-of-the-year Effect at Damascus Securities Exchange
2016This paper explores the existence of the month-of-the-year effect in a newly established exchange of Damascus Securities Exchange (DSE). It employs Ordinary Least Squares Estimates (OLS) and dummy variables for the whole working period of the exchange from 2010 to 2015.
MOUSELLİ, Sulaiman, SAMMAN, Hazem Al
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Asian Journal of Research in Banking and Finance, 2017
This paper empirically investigates the day-of-the-week and month-of-the-year effect for Indian stock markets. The dummy variable regression model has been used to examine the existence of anomalies for BSE 100 index over the period 1st Jan 1993 to 31st March 2015. The study uses monthly and daily data on BSE 100 to examine month-of-the-year and day-of-
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This paper empirically investigates the day-of-the-week and month-of-the-year effect for Indian stock markets. The dummy variable regression model has been used to examine the existence of anomalies for BSE 100 index over the period 1st Jan 1993 to 31st March 2015. The study uses monthly and daily data on BSE 100 to examine month-of-the-year and day-of-
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The Month-of-the-Year Effect in Post-Communist East European Stock Markets [PDF]
, 2014 This paper studies the month-of-the-year (MOY) effect between 2004 and 2014, also considering the impact of the 2008 crisis. MOYis present in most East European countries, but the patterns changebetween countries and, also, as a result of the crisis.Thus, markets should be analyzed separately and periodically, especially after important events, as ...
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Analysing Month-of-the-Year Effect in the Indian Stock Market: A Special Reference to NSE
INTERNATIONAL JOURNAL OF AGRICULTURAL AND STATISTICAL SCIENCES, 2023Devangi Hazarika Singha +1 more
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