scholarly journals Stock returns and calendar anomalies on the London Stock Exchange in the dynamic perspective of the Adaptive Market Hypothesis: A study of FTSE100 & FTSE250 indices over a ten year period

2020 ◽  
Vol 4 (1) ◽  
pp. 121-147 ◽  
Author(s):  
Lucrezia Rosini ◽  
◽  
Vijay Shenai ◽  
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
London Stock Exchange ◽  
Dynamic Perspective ◽  
Calendar Anomalies

An examination of calendar anomalies: evidence from the Thai stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Rattaphon Wuthisatian
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
January Effect ◽  
Content Type ◽  
Current State ◽  
Managerial Implications ◽  
Monthly Pattern ◽  
Calendar Anomalies ◽  
Daily Stock Returns

PurposeThe study examines the existence of calendar anomalies, including the day-of-the-week (DOW) effect and the January effect, in the Stock Exchange of Thailand.Design/methodology/approachUsing daily stock returns from March 2014 to March 2019, the study performs regression analysis to examine predictable patterns in stock returns, the DOW effect and the January effect, respectively.FindingsThere is strong evidence of a persistent monthly pattern and weekday seasonality in the Thai stock market. Specifically, Monday returns are negative and significantly lower than the returns on other trading days of the week, and January returns are positive and significantly higher than the returns on other months of the year.Practical implicationsThe findings offer managerial implications for investors seeking trading strategies to maximize the possibility of reaching investment goals and inform policymakers regarding the current state of the Thai stock market.Originality/valueFirst, the study investigates calendar anomalies in the Thai stock market, specifically the DOW effect and the January effect, which have received relatively little attention in the literature. Second, this is the first study to examine calendar anomalies in the Thai stock market across different groups of companies and stock trading characteristics using a range of composite indexes. Furthermore, the study uses data during the period 2014–2019, which should provide up-to-date information on the patterns of stock returns in Thailand.

scholarly journals Media Coverage and Stock Returns on the London Stock Exchange, 1825–70*

2017 ◽  
Vol 22 (4) ◽  
pp. 1605-1629 ◽  
Author(s):  
John D Turner ◽  
Qing Ye ◽  
Clive B Walker
Keyword(s):  
Stock Returns ◽  
Media Coverage ◽  
Stock Exchange ◽  
London Stock Exchange

scholarly journals Profits From Buying Losers And Selling Winners In The London Stock Exchange

2011 ◽  
Vol 1 (11) ◽  
Author(s):  
Antonios Antoniou ◽  
Emilios C. Galariotis ◽  
Spyros I. Spyrou
Keyword(s):  
Market Efficiency ◽  
Stock Returns ◽  
Stock Exchange ◽  
London Stock Exchange ◽  
Stock Portfolios ◽  
Contrarian Strategies ◽  
Subsequent Period ◽  
Investor Optimism ◽  
Investor Behaviour ◽  
Market Capitalisation

<p>DeBondt and Thaler (1985) have challenged the notions of market efficiency and of rational investor behaviour. According to their findings stock portfolios that experience negative returns tend to outperform portfolios that experience positive returns, during the subsequent period. In other words, stock returns may be predictable, and this may be due to excessive investor optimism and pessimism. This paper investigates the existence of such contrarian profits for stocks listed in the London Stock Exchange. The results indicate that contrarian strategies are profitable for UK stocks and more pronounced for extreme market capitalisation stocks. These profits persist even after the sample is adjusted for market frictions, and irrespective of whether raw or risk-adjusted returns are used.</p>

Stock Market Calendar Anomalies: Evidence from Tehran Stock Exchange (TSE)

2013 ◽  
Author(s):  
Mohsen Khotanlou ◽  
Mahdi Mahdavikhou ◽  
Pezhman Etemadfuroghi
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Calendar Anomalies
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