Calendar Anomalies or illusions? Evidence from Pakistan Stock Market

Purpose – This paper aims to examine the month and the trading month effects under changing financial trends. The Greek stock market was chosen to implement the authors' assumptions because during the period 2002-2012, there were clear and long-term periods of financial growth and recession. Thus, the authors examine whether the financial trends influence not only the Greek stock market’s returns, but also its anomalies. Design/methodology/approach – Daily financial data from the Athens Exchange General Index for the period 2002-2012 are used. The sample is separated into two sub-periods: the financial growth sub-period (2002-2007), and the financial recession sub-period (2008-2012). Several linear and non-linear models were applied to find which is the most appropriate, and the results suggested that the T-GARCH model better fits the sample. Findings – The empirical results show that changing economic and financial conditions influence the calendar effects. The trading month effect, especially, completely changes in each fortnight following the financial trend. Regarding the January effect, which is the most popular month effect, the results confirm its existence during the growth period, but during the recession period, we find that it fades. Therefore, by examining the aforementioned calendar effects in different periods, different conclusions may be reached, perhaps because the financial trends’ influence is ignored. Research limitations/implications – The empirical results confirm the authors' assumption that a possible explanation for the controversial empirical findings regarding the calendar anomalies may be the different financial trends. However, these are some primary results that are confirmed only for the Greek case. Further empirical research for deeper stock markets and/or a group of countries may be useful to reach conclusions regarding the financial trends’ influence on the calendar anomalies patterns. Practical implications – The findings are helpful to anyone who invests and deals with the Greek stock market. Moreover, they may pave the way for an alternative calendar anomalies research approach, proving useful for investors who take these anomalies into account when they plan their investment strategy. Originality/value – This paper contributes to the literature by presenting an alternative methodological approach regarding the calendar anomalies study and a new explanation for the calendar effects existence/fade through time by examining the calendar anomalies patterns under a changing economic environment and financial trends.

Download Full-text

The Disappearing Calendar Anomalies in the Singapore Stock Market

THE LAHORE JOURNAL OF ECONOMICS ◽

10.35536/lje.2006.v11.i2.a7 ◽

2006 ◽

Vol 11 (2) ◽

pp. 123-139 ◽

Cited By ~ 15

Author(s):

Wing-Keung Wong ◽

Aman Agarwal ◽

Nee-Tat Wong

Keyword(s):

Stock Market ◽

Efficient Market Hypothesis ◽

Stock Index ◽

January Effect ◽

Trading Behavior ◽

Recent Period ◽

Efficient Market ◽

Day Of The Week ◽

Calendar Anomalies ◽

Stock Index Returns

This paper investigates the calendar anomalies in the Singapore stock market over the recent period from 1993-2005. Specifically, changes in stock index returns are examined surrounding January (the January effect), on different days of the week (the day-of-the-week effect), around the turn of the month (the turn-of-the-month effect) and before holidays (the pre-holiday effect). The findings reveal that these anomalies have largely disappeared from the Singapore stock market in recent years. The disappearance of these anomalies has important implications for the efficient market hypothesis and the trading behavior of investors.

Download Full-text

Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence In Four European Countries

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v34i1.10111 ◽

2018 ◽

Vol 34 (1) ◽

pp. 183-192 ◽

Cited By ~ 8

Author(s):

Matteo Rossi ◽

Ardi Gunardi

Keyword(s):

Stock Market ◽

Stock Exchange ◽

Efficient Market Hypothesis ◽

Efficient Market ◽

Market Anomalies ◽

Equity Prices ◽

Company Value ◽

Calendar Anomalies ◽

The Garch Model ◽

New Millennium

The stock market efficiency is the idea that equity prices of listed companies reveal all the data regarding the company value (Fama, 1965). In this way, there isn’t possible to make additional returns. However, evidence against the Efficient Market Hypothesis is growing. Researchers studied Calendar Anomalies (CAs) that characterised financial markets. These CAs contradict the efficient hypothesis. This research studies some of the most important market anomalies in France, Germany, Italy and Spain stock exchange indexes in the first decade of new millennium (2001-2010). In this study, to verify the distribution of the returns and their auto correlation, we use statistical methods: the GARCH model and the OLS regression. The analysis doesn’t show strong proof of comprehensive Calendar Anomalies. Some of these effects are country-specific. Furthermore, these country-anomalies are instable in the first decade of new millennium, and this result demonstrates some doubt on the significance of CAs.

Download Full-text

Stock Market Seasonality in an Emerging Market

Vikalpa The Journal for Decision Makers ◽

10.1177/0256090920040303 ◽

2004 ◽

Vol 29 (3) ◽

pp. 35-42 ◽

Cited By ~ 7

Author(s):

S N Sarma

Keyword(s):

Stock Market ◽

Stock Markets ◽

Abnormal Returns ◽

Market Returns ◽

Reform Era ◽

Stock Market Returns ◽

Active Strategy ◽

Calendar Anomalies ◽

Indian Stock Market ◽

Daily Returns

The objective of this paper is to explore the day-of-the-week effect on the Indian stock market returns in the post-reform era. Till the late seventies, empirical studies provided ample evidence as to the informational efficiency of the capital markets advocating futility of information in consistently generating abnormal returns. However, later studies identified certain anomalies in the efficient market postulate. One major anomaly brought forth was the calendar-related abnormal rates of return. Various studies in this domain empirically demonstrated, through parametric and non-parametric tests on the stock returns data, that turn of the year, month, week, and holidays have consistently generated abnormal equity returns in both the developed and emerging markets unrelated to the attendant risks. Studies on the Indian stock markets' calendar anomalies, especially in the post-reform era, are very few. In an attempt to fill this gap, this study explores the Indian stock market's efficiency in the 'weak form' in the context of calendar anomalies, especially in respect of the weekend effect. Daily returns generated by the SENSEX, NATEX, and BSE200 during January 1st 1996 to August 10th 2002 comprising a total of 1,667 observations for each of the indices are considered for testing the seasonality. While most of the studies have considered the returns of one of the major indices based on the closing values, this study examines the multiple indices for possible seasonality. An analysis of returns' pattern of multiple indices is helpful in identifying the presence or otherwise of the stock market seasonality associated with various portfolios and for testing the efficacy of investment game based on the observed patterns of the returns. This study employed the daily mean index value for generating the daily returns to relax the implied assumption of the earlier studies — by considering the closing values of the indices — that trading is done at the closing values. A non-parametric test — Kruskall-Wallis test using 'H' statistic — is employed for testing the seasonality in the Indian stock market returns. The null hypothesis tested is that there are no differences in the mean daily returns across the weekdays. The major findings of the study are as follows: The Indian stock markets do manifest seasonality in their returns' pattern. The Monday-Tuesday, Monday-Friday, and Wednesday-Friday sets have positive deviations for all the indices. The Monday-Friday set for all the indices has the highest positive deviation thereby indicating the presence of opportunity to make consistent abnormal returns through a trading strategy of buying on Mondays and selling on Fridays. The above-mentioned active strategy is found to be beneficial in case of SENSEX The above-mentioned active strategy is found to be beneficial in case of SENSEX alone during the study period while for the others — NATEX and BSE200 — a passive ‘buy and hold’ strategy is more effective. The study concludes that the observed patterns are useful in timing the deals thereby exploring the opportunity of exploiting the observed regularities in the Indian stock market returns.

Download Full-text

The Turn of the Month Effect on CEE Stock Markets

International Journal of Financial Studies ◽

10.3390/ijfs7040057 ◽

2019 ◽

Vol 7 (4) ◽

pp. 57

Author(s):

Peter Arendas ◽

Jana Kotlebova

Keyword(s):

Stock Market ◽

Stock Markets ◽

Price Volatility ◽

Eastern European ◽

Short Time Period ◽

Market Returns ◽

Stock Market Returns ◽

Time Period ◽

Calendar Anomalies ◽

Short Time

The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and the beginning of the new one, than during the remainder of the month. This paper investigates the presence of the Turn of the month effect in the stock markets of 11 Central and Eastern European (CEE) countries. We focused not only on the anomaly in returns, but also on the anomaly in price volatility. The results show that, during a 20-year period (1999–2018), a statistically significant Turn of the month effect was present in the stock markets of seven out of 11 investigated countries. However, the anomaly affected only the stock market returns, not price volatility.

Download Full-text