Results 11 to 20 of about 72,155 (291)

On monetary policy and stock market anomalies [PDF]

SSRN Electronic Journal, 2011
This study utilizes a macro-based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a differential manner by unexpected US monetary policy actions during ...
Alexandros Kontonikas, Alexandros Kostakis   +1 more
core   +2 more sources

Stock Market Calendar Anomalies: Evidence from ASEAN-5 Stock Markets [PDF]

Economics Bulletin, 2010
To challenge the appropriateness of the theory of the weak-form market efficiency, this study examines the day-of-the-week effect and the twist-of-the-Monday effect for the ASEAN – 5 stock markets for the period June 10, 2002 through August 21, 2009. Our
Ricky Chee-Jiun Chia, Shiok Ye Lim
core   +1 more source

Oil prices and stock market anomalies [PDF]

Energy Economics, 2018
This paper examines the relationship between oil prices and stock market anomalies in China, the largest oil importer country in the world. Prior literature documents both a positive and negative relationship between oil prices and the stock market.
Muhammad Ahmad Cheema, Frank Scrimgeour
openaire   +1 more source

January anomalies on CEE stock markets [PDF]

Investment Management and Financial Innovations, 2021
Numerous studies show that stock markets are often impacted by various calendar anomalies that disrupt the “random walk” behavior of stock prices. These anomalies contradict the Efficient markets theory and can be exploited to generate abnormal returns.
Peter Árendáš, Božena Chovancová, Jana Kotlebova, Martin Koren   +3 more
openaire   +1 more source

The Groundhog Day stock market anomaly [PDF]

Finance Research Letters, 2022
This paper discovers a distinct calendar anomaly on the US stock market associated with the Groundhog Day prognostication tradition across 1928-2021. There are significant positive abnormal returns around the “prediction” of an early spring, while buy-and-hold returns around the “prediction” of a long winter are 2.78% lower.
Shanaev, Savva, Shuraeva, Arina, Fedorova, Svetlana   +2 more
openaire   +1 more source

Calendar anomalies in African stock markets [PDF]

Cogent Economics & Finance, 2021
In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS regression with robust standard errors.
El Mehdi Ferrouhi, Omar Kharbouch, Samir Aguenaou, Muhammad Naeem   +3 more
openaire   +3 more sources

Calendar anomalies in the Ukrainian stock market [PDF]

Investment Management and Financial Innovations, 2016
This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test for the presence of the following anomalies: day-of-the ...
Guglielmo Maria Caporale, Alex Plastun
openaire   +6 more sources

Adaptive Market Hypothesis and Time-varying Contrarian Effect: Evidence From Emerging Stock Markets of South Asia

SAGE Open, 2022
This study contributes to the growing debate on the relation between varying stock market conditions and the profitability of stock market anomalies. We investigate the effect of changed market conditions on time-varying contrarian profitability in order
Ali Fayyaz Munir, Mohd Edil Abd. Sukor, Shahrin Saaid Shaharuddin   +2 more
doaj   +1 more source

THE OCCURRENCE OF STOCK MARKET ANOMALIES ON THE WARSAW STOCK EXCHANGE AS A SIGN OF INEFFICIENCY OF THE POLISH EQUITY MARKET

Research on Enterprise in Modern Economy Theory and Practice, 2020
The efficient market hypothesis, despite being the basis of modern economy, remains one of the most controversial and contested concepts. Efficient markets, i.e. markets which reflect available information in asset prices, can exist under the assumption
Kamil Lewandowski
doaj   +1 more source

Enhancing stock market anomalies with machine learning

Review of Quantitative Finance and Accounting, 2020
AbstractWe examine the predictability of 299 capital market anomalies enhanced by 30 machine learning approaches and over 250 models in a dataset with more than 500 million firm-month anomaly observations. We find significant monthly (out-of-sample) returns of around 1.8–2.0%, and over 80% of the models yield returns equal to or larger than our ...
Vitor Azevedo, Christopher Hoegner
openaire   +4 more sources