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The Month-of-the-Year Effect in the European, American, Australian and Asian Markets [PDF]
Economies, 2021 This paper examines the existence of the month-of-the-year effects in four different continents, namely Europe, Asia, America, and Oceania. Nine indexes were analyzed in order to verify differences between monthly returns from January 1990 to December ...
Gualter Couto +3 more
doaj +3 more sources
Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market [PDF]
Asia-Pacific Financial Markets, 2022 The present study aims to examine the existence of month-of-the-year effects in the Indian stock market. For analysis, we selected the BSE Ltd and NSE broad market cap indices, namely S&P BSE 500 and NIFTY 500, which are a comprehensive representation of the Indian stock market. The time selected for this study is from April 1, 2011, to March 31, 2021 (
Elangovan R, Irudayasamy F, Parayitam S.
europepmc +3 more sources
Capturing the month of the year effect in the Indian stock market using GARCH models [PDF]
Vilakshan (XIMB Journal of Management), 2022 Purpose – In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to make predictions about the possible future movement by the investors.
Pramath Nath Acharya +2 more
doaj +2 more sources
Month of the Year Effect pada Pasar Obligasi di Indonesia
Jurnal Ekonomi dan Bisnis, 2017 This study examines the month-of-the-year effect on the bond returns in Indonesia. I use the monthly closing price index (Indonesia Bond Indexes / INDOBeX) data for the periods of July 2003-July 2017 from Bloomberg.
Robiyanto Robiyanto
doaj +2 more sources
Month of the year effect in the cryptocurrency market and portfolio management
European Journal of Management Issues, 2019 Purpose – to investigate the Month of the year effect in the cryptocurrency market. Design/Method/Research Approach. A number of parametric and non-parametric technics are used, including average analysis, Student's t-test, ANOVA, Kruskal-Wallis ...
Alex Plastun +2 more
doaj +4 more sources
Day-of-the-Week and Month-of-the-Year Effects in the Cryptocurrency Market
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi DergisiThis study examines the day-of-the-week (DoW) and month-of-the-year (MoY) effects in the cryptocurrency market, with a focus on Bitcoin (BTC) and Ethereum (ETH). Due to the absence of a specific closing time in the cryptocurrency market, the closing time
İbrahim Korkmaz Kahraman, Dündar Kök
doaj +3 more sources
Month of the year and pre-holiday effects in African stock markets
South African Journal of Economic and Management Sciences, 2013 This paper investigates the existence of two anomalies in African stock returns: the month of the year and the pre-holiday effects, and their implications for stock market efficiency.
Paul Alagidede
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Day-of-the-Week-Effect and Month-of-the-Year-Effect on Carbon Emissions Contract Trading
Journal of Management and Entrepreneurship ResearchObjective: This study aims to examine whether there is a potential Day-of-the-Week-Effect and Month-of-the-Year-Effect on carbon emissions trading. Research Design & Methods: This research uses secondary data obtained through the Investing.com website ...
Kezia Maylani Azalia +1 more
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Month of the Year Effect: An Empirical Evidence from Muscat Securities Market
مجلة جامعة دمشق للعلوم الاقتصادية و السياسية, 2021 This paper explores the existence of a calendar seasonality at Muscat Securities Market (MSM) that is the month-of-the-year effect. It employs Ordinary Least Squares (OLS) and estimates dummy variables for the whole sample period of January 2005 to July
Dr. Sulaiman Mouselli
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The month-of-the-year effect in corporate lending
Finance Research Letters, 2021 Abstract We investigate the existence of calendar effect in corporate lending decisions. We show that the loan amount granted by banks significantly varies across months. We find a positive effect of quarter-end and year-end months on the loan amount. We attribute these effects to trade loading behavior, according to which banks would inflate granted
Bertrand, Jérémie +2 more
openaire +2 more sources