scholarly journals Seasonality in the Indian Stock Markets: A Study of Calendar Effects

2017 ◽  
Vol 4 (01) ◽  
Author(s):  
Harish Kumar ◽  
Mridul Dawar
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Estimation Procedure ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Relevant Information ◽  
Informational Efficiency ◽  
Stock Market Returns ◽  
Calendar Effects ◽  
Year Effect

Theoretical and technological advances in Behavioural Finance over the last decades seem to have shifted the paradigm away from the Efficient Market Hypothesis proposed by Fama in 1970s. The hypothesis implied that securities are always priced efficiently since all the relevant information is fully reflected in their prices. However, this normative statement comes under heavy scrutiny with the existence of seasonality in stock returns. This paper investigates seasonality in the Indian stock markets through the existence of calendar effects. Employing time series analysis on data from January 1999 to December 2015, the presence of calendar effects is studied in three BSE indices-Sensex, BSE200 and BSE 500 using a dummy variable regression model in both the daily returns (using EGARCH modelling process) and monthly returns (using OLS estimation procedure). It is found that the while the SENSEX index does not show any significant calendar effect, seasonality does manifest in the larger BSE 200 and BSE 500 indices in form of both days-of-the-week effect and month-of-the-year effect, thereby suggesting that Indian stock markets do not show informational efficiency even in the weak form. The study concludes that the observed patterns are useful in timing the deals by exploiting the observed irregularities in the Indian stock market returns.

scholarly journals Calendar Effects in the Stock Markets of Central European Countries

2020 ◽  
Vol 5 (350) ◽  
pp. 27-51
Author(s):  
Marek Szymański ◽  
Grzegorz Wojtalik
Keyword(s):  
Stock Markets ◽  
Efficient Market Hypothesis ◽  
European Countries ◽  
Efficient Market ◽  
Market Anomalies ◽  
Central European ◽  
Calendar Effects ◽  
Year Effect ◽  
Calendar Anomalies ◽  
Available Information

The efficient market hypothesis suggests that there are no opportunities to gain above‑normal profits using available information, because it is all reflected in the prices. However, calendar anomalies are found to contradict the efficient market hypothesis and enable investors to predict prices during specific days. Based on a review of papers on market efficiency and market anomalies, this paper examines and compares calendar effects known as ‘the month‑of‑the year effect’ and ‘the day‑of‑the‑week effect’ between the stock markets of three Central European countries: Poland, Hungary and the Czech Republic. The study has revealed the presence of calendar anomalies in the indexes representing small‑cap stocks listed on the Polish stock market and, to some extent, in the indexes used in the Hungarian and Czech stock markets.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Stock Market Efficiency in South Eastern Europe

2018 ◽  
pp. 214-237
Author(s):  
Vladimir Filipovski ◽  
Dragan Tevdovski
Keyword(s):  
Stock Markets ◽  
Ratio Test ◽  
Informational Efficiency ◽  
Eastern European ◽  
Dummy Variables ◽  
Calendar Effects ◽  
Random Walk Hypothesis ◽  
South Eastern ◽  
South Eastern Europe ◽  
Day Of The Week

The purpose of this chapter is to empirically test the informational efficiency and to examine the presence of the calendar effects in 10 South Eastern European (SEE) stock markets' daily returns during the period 2007–2014. The authors use variance ratio test for exploration of random walk hypothesis. Regarding the calendar effects, the authors focus on the day-of-the-week effect, the half-month effect, and the turn-of-the-month effect. The existence of each calendar effect is analyzed by applying regression models with dummy variables for the effects in the mean returns and GARCH (1,1) models with dummy variables for the effects in the volatility of returns. The results indicate that the day-of-the-week effects in both mean and volatility are present in nine SEE stock markets. Contrary, the half-month effect in mean returns is present only in one, while half-month effect in volatility is present in five SEE stock markets. The turn-of-the- month effect in mean returns is present in six, while the turn-of-the-month effect in volatility is present in all 10 SEE stock markets.

scholarly journals The Investigation of a Weak Form of the Efficient Market Hypothesis: Evidence From Stock Markets in the European Union

2019 ◽  
pp. 107-116
Author(s):  
Jacek Karasiński
Keyword(s):  
European Union ◽  
Random Walk ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Model ◽  
Stock Exchanges ◽  
Informational Efficiency ◽  
The European Union ◽  
Efficient Market ◽  
Research Period

The purpose of this article is to examine whether returns of main indexes of selected stock exchanges in the European Union are subject to the random walk model proposed by L. Bacheliere in 1900, which is considered by many researchers to be a synonym of a weak form of the efficient market. The research was conducted for the main indexes of eight selected European stock exchanges representing markets of a different capitalisation. In order to check whether the level of informational efficiency was stable in a whole research period, namely in the years 2000-2017, the research period was divided into three equal six years sub-periods. To test a weak form of the efficient market hypothesis (EMH), four different tests of returns distribution normality were done for daily, weekly, monthly and quarterly intervals. The conducted study allowed for rejecting the null hypothesis saying that returns are subject to the random walk model proposed by L. Bacheliere which leads to normal distribution. Moreover, some significant differences between the research periods occurred. Nonetheless as the random walk model seems to be too strict even for the biggest European markets, it is proposed to test whether the returns can be subject to other stable distributions like the Pareto distribution, which gives higher probability to extremely low and high returns of what resembles actual price fluctuations of financial markets.

scholarly journals Efficient Market Hypothesis and Market Anomalies of LQ 45 Index in Indonesia Stock Exchange

2019 ◽  
Vol 3 (2) ◽  
pp. 107
Author(s):  
Helma Malini
Keyword(s):  
Stock Prices ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Share Price ◽  
Exchange Market ◽  
Efficient Market ◽  
Market Anomalies ◽  
Share Prices ◽  
Year Effect

The paper attempts to investigate the validity of the Efficient Market Hypothesis and the existence of calendar effect on Indonesia Stock Exchange Market. Initially, this paper discusses types of EMH also the literature available regarding this topic. The sample of research is twenty one securities listed in LQ 45 Index on the Indonesia Stock Exchange Market (IDX), this paper applies non parametric tests which are Run test, Kruskal-Wallis test, Mann-Whitney test  parametric test which are series correlation test, One-way Anova test and independent t-test two sample. Based on the results of the test of this paper, it can be concluded that Weak Form Efficient Market exists in LQ 45 Index of IDX while Day of the Week Effect and Month of the Year Effect are not found to exist in LQ 45 Index of IDX. In conclusion, it is observed that the effect of stock prices for the sample companies on future prices is very meager and an investor cannot reap profits by using the historical share price data as the current share prices already reflect the effect of past share prices data.

scholarly journals Test of Data Normality, Return Similarity and Variance Analysis in South Asian Stock Markets

2012 ◽  
Vol 1 (3) ◽  
pp. 13-25
Author(s):  
Damber S Kharka
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Data Distribution ◽  
Multiple Comparisons ◽  
Variance Analysis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Year Effect ◽  
Effect Difference ◽  
Kolmogorov Smirnov

This paper analyzes the data distribution on stock market returns in SAARC nations (Bhutan, India, Bangladesh, Nepal, Sri Lanka and Pakistan) for weekly data from January 2006 to December 2011 to see if market returns are normally distributed. Secondly we have also tested if returns are similar across different markets using pair sample t-tests. While comparing differences or similarities in returns we compare associated risks for each pair to see if there exist opportunity for similar returns at lower risk or higher returns at a given risk. Finally we analyzed variance analysis using one-way ANNOVA with multiple comparisons to find out if time varying effect is present in any of the stock market return. Our finding suggests that the data distributions on stock returns of all the markets in the region are not normal. We observe high skewness, kurtosis and further the hypothesis of normal distribution have been rejected based on Jarque-Bera test for full sample data of 2006 to 2011 for all countries although, the data of Bangladesh and India seems to possess lower levels of skewness and Jarque-Bera statistics indicating lesser degree of non-normality. When data was run after splitting the sample annually, we found that the distribution was normal for most years for majority of markets. This suggested impacts of sample size on data distribution. We crosschecked the results with non-parametric test using Kolmogorov-Smirnov (K-S) since it is one of the very popular tests statisticians would use. We found that the data distributions of Indian and Bangladeshi stock returns are normal and the rest are non-normal. While analyzing the return similarities/difference using paired sample t-tests, we found that there exits no statistical differences in the average returns between different pairs of stock returns except some difference with few pairs of returns when sample was split annually. We have observed difference in the levels of risks (standard deviation). This indicates opportunity for investors to earn similar returns at lower risks by changing their investment destinations. We conducted multiple comparisons of variances using annual, weekly and seasonal codes and found that some annual time effect with some stock returns. However, we found no week of the month effect and season of the year effect. Difference in time per se for entry into the stock market and exit from it does not provide extra benefits.

Relevance and evolution of adaptive markets hypothesis: a review

2016 ◽  
Vol 8 (3) ◽  
pp. 166-179 ◽  
Author(s):  
Raj S. Dhankar ◽  
Devesh Shankar
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Design Methodology ◽  
Efficient Market Hypothesis ◽  
Efficient Markets ◽  
Informational Efficiency ◽  
Market Behavior ◽  
Efficient Market ◽  
Content Type ◽  
Dynamic Perspective

Purpose The purpose of this paper is to discuss the relevance and evolution of adaptive markets hypothesis (AMH) that has gained traction in the recent years, as it provides a dynamic perspective to the concept of informational efficiency. Design/methodology/approach This paper discusses several issues related to the concept of informationally efficient markets that have indicated efficient market hypothesis to be an incomplete portrayal of stock market behavior. Findings The authors find that a strict and perpetual adherence to informational efficiency is highly unlikely, and AMH provides a much more plausible description of the behavior of stock markets. Originality/value The authors provide a description of studies that examine the testable implications of AMH.

scholarly journals Weak Form Efficiency of the Amman Stock Exchange: An Empirical Analysis (2000-2013)

2015 ◽  
Vol 11 (1) ◽  
pp. 173 ◽  
Author(s):  
Izz eddien N. Ananzeh
Keyword(s):  
Financial Markets ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Final Conclusion ◽  
Clear Cut ◽  
Amman Stock Exchange ◽  
Daily Returns

<p>The Efficient Market Hypothesis (EMH) has been a lot of debates in the literature of finance because of its important implication, and there is no clear-cut case regarding the efficiency of the financial markets for both developed and emerging markets. This empirical study conducted to examine EMH at the weak form level of Amman stock Exchange (ASE) by using daily observations for the period span from 2000 to 2013. Recent econometric procedures utilized for testing the randomness of stock prices for ASE. The results of serial correlation reject the existence of random walks in daily returns of the ASE, and the unit root tests also conclude the return series of ASE are stationary and inefficient at the weak-level. Also the runs tests verify that the stock returns series on ASE are not random, and our final conclusion reports that the ASE is inefficient at the weak form level. </p>

scholarly journals Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies

2018 ◽  
Vol 65 (3) ◽  
pp. 283-301 ◽  
Author(s):  
Júlio Lobão
Keyword(s):  
Financial Markets ◽  
Stock Returns ◽  
Stock Markets ◽  
Emerging Market ◽  
Social Resources ◽  
Decision Makers ◽  
Informational Efficiency ◽  
Seasonal Predictability ◽  
Holiday Effects ◽  
New Evidence

Abstract It is widely acknowledged that having efficient financial markets is paramount in the allocation of social resources to their most productive uses. This paper explores the informational efficiency of six of the most important African stock markets for indication of seasonal predictability in stock returns. The results reveal that all markets exhibited some kind of seasonal patterns. The prevalence of the phenomenon was higher in the Egyptian and Tunisian markets, suggesting the presence of inefficient prices. Surprisingly, the only advanced emerging market of the sample (South Africa) showed a relatively large number of anomalies. This paper also reports the existence of strong pre-holiday effects and turn-of-the-month effects in most of the markets under scrutiny. Moreover, this study is the first to document the presence of quarterly effects in African markets. Collectively, the evidence obtained highlights the opportunity for arbitrageurs to reap profits as well as the need of decision-makers to implement legal and regulatory reforms in the markets of the continent.

Sign in / Sign up

Export Citation Format

Share Document