scholarly journals Calendar Anomalies In Kuwait Stock Exchange: Anomalous Evidence

2011 ◽  
Vol 2 (1) ◽  
Author(s):  
Turki Alshimmiri
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Emerging Market ◽  
Weekend Effect ◽  
January Effect ◽  
Trading Patterns ◽  
Systematic Behavior ◽  
Calendar Anomalies ◽  
Developed Stock Markets

<p class="MsoBlockText" style="margin: 0in 0.5in 0pt;"><span style="font-style: normal; mso-bidi-font-style: italic;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">Calendar anomalies such as January and weekend effects were found to exist in many international stock markets. Explanations of these anomalies are vast and so far are not robust. This paper examines these anomalies in a distinct emerging market, Kuwait stock market (KSE). With Kuwait joining the World Trade Organization treaty (WTO) and by opening its stock market to foreign investors, it becomes important to investigate stock behavior in KSE. The study finds interesting regularities in trading patterns of investors related to the weekend as well as to the day of the week. That is, there exists a weekend effect and is robust to the methodology applied. However, this effect is different from that uncovered in other developed stock markets in the sense that the first trading day (Saturday in KSE) shows positive returns and the second trading day (Sunday in KSE) shows negative returns. Other days show no systematic behavior and if detected, it is insignificant. On the other hand, January effect is not detected in KSE and returns in January are mot different from those in other months. However, returns during summer months (May-September) tend to be significantly higher than returns during other months of the year (October-April) in what is termed as summer effect. The most plausible elucidation relates to human factors as investors in KSE sense no unhealthy information about firms over the weekend and hence make their portfolio acquisition decisions in Saturdays and reverse these decisions on next day to capitalize on their marginal profits.</span></span></span></p>

scholarly journals Anomalies In Asian Stock Market

2008 ◽  
Vol 8 (2) ◽  
pp. 151
Author(s):  
Kamaludini ,
Keyword(s):  
Stock Market ◽  
Key Words ◽  
Stock Markets ◽  
Emerging Market ◽  
Weekend Effect ◽  
Market Anomalies ◽  
Year Effect ◽  
Analysis Methods ◽  
Research Show ◽  
Market Anomaly

<p class="Style14">Anomaly phenomena in many stock markets show various results achieved by each researcher. The various results very much depend on time and method used. Most of Asian Stock Market is emerging market. The objective in this research are to know market anomalies, especially those of weekend effect, turn of the month effect, and turn of the yeareffect, in Asian stock markets region. The analysis methods to test for market anomalies are GARCH and AAIOVA. The result in this research is: anomalies that happen on weekend effect and turn of the month effect. Anomalies on the turn of the year effect in this research show no significant result. Anomaly will occur in several condition, in weekend and early of the week, turn of and first the month. Anomaly will happen also in several event, such as; independent and religious day.</p><p class="Style1"><strong><em>Key words : Emerging market, GARCH, ANOVA, market anomaly, weekend effect, turn of the </em></strong><strong><em>month effect, and turn of the year effect.</em></strong></p>

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 Return Anomalies in the Kuwaiti Stock Market

2021 ◽  
Vol 10 (2) ◽  
pp. 212-216
Author(s):  
Saad B F M AlHajraf
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Foreign Investment ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
International Markets ◽  
Weekend Effect ◽  
January Effect ◽  
Daily Return ◽  
Econometric Methods

This paper intends to investigate the existence of daily return anomalies and the weekend effect within Boursa Kuwait, Kuwait’s stock exchange.  Kuwait as an economy has continued to be opened up to foreign investment and as foreign funds being to flood into the market; return anomalies akin to those within international markets begin to materialize, bringing new opportunities for abnormal returns and arbitrage. The premise of this paper is the existence of the January effect and the Weekend effect, and uses econometric methods in support of their existence, bringing into question the challenges to market efficiency and the changing landscape for investors and their strategies.

Momentum Effect in Stock Market: Empirical Evidence from Pakistan Stock Exchange

2019 ◽  
Vol 12 (1) ◽  
Author(s):  
Shahid Rasheed ◽  
Umar Saood ◽  
Waqar Alam
Keyword(s):  
Stock Market ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Momentum Effect ◽  
Using Data

This study aims to examine the momentum effect presence in selected stocks of Pakistan stock market using data from Jan 2007 to Dec 2016. This study constructed the strategies includes docile, equal weighted and full rebalancing techniques. Data was extracted from the PSX – 100 index ranging from 2007 to 2016. STATA coding ASM software was used for calculating momentum portfolios, finally top 25 stocks were considered as a winner stocks and bottom 25 stocks were taken as a loser stocks. In conclusion, the results of the study found a strong momentum effect in Pakistan stock exchange PSX 100- index. As by results it has been observed that a substantial profit can earn by the investors or brokers in constructing a portfolio with a short formation period of three months and hold for 3, 6 and 12 months. There is hardly a study is present on the same topic on Pakistan Stock Exchange as preceding studies were only conducted on individual stock markets before merger of stock markets in Pakistan while this study leads the explanation of momentum phenomenon in new dimension i.e. Pakistan Stock Exchange. Keywords: Momentum, Portfolio, Winner Stocks, Loser Stocks

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

Absence of the weekend effect and industry-style portfolios

2019 ◽  
Vol 12 (4) ◽  
pp. 463-475
Author(s):  
Selma Izadi ◽  
Abdullah Noman
Keyword(s):  
New York ◽  
Stock Market ◽  
Structural Breaks ◽  
Stock Exchange ◽  
Structural Break ◽  
Weekend Effect ◽  
Content Type ◽  
Market Portfolio ◽  
The Us ◽  
Using Data

Purpose The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they document existence of structural break before 1975 and absence of any weekend effects after that date. The purpose of this study is to contribute some new empirical evidences on the weekend effect for the industry-style portfolios in the US stock market using data over 90 years. Design/methodology/approach The authors re-examine persistence or reversal of the weekend effect in the industry portfolios consisting of The New York Stock Exchange (NYSE), The American Stock Exchange (AMEX) and The National Association of Securities Dealers Automated Quotations exchange (NASDAQ) stocks using daily returns from 1926 to 2017. Our results confirm varying dates for structural breaks across industrial portfolios. Findings As for the existence of weekend effects, the authors get mixed results for different portfolios. However, the overall findings provide broad support for the absence of weekend effects in most of the industrial portfolios as reported in Robins and Smith (2016). In addition, structural breaks for other weekdays and days of the week effects for other days have also been documented in the paper. Originality/value As far as the authors are aware, this paper is the first research that analyzes weekend effect for the industry-style portfolios in the US stock market using data over 90 years.

scholarly journals Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic

2021 ◽  
Vol 14 (3) ◽  
pp. 112
Author(s):  
Kai Shi
Keyword(s):  
Stock Market ◽  
Frequency Band ◽  
Stock Markets ◽  
Emerging Market ◽  
Low Frequency ◽  
Systematic Risk ◽  
Error Variance ◽  
Frequency Bands ◽  
Volatility Spillovers ◽  
Risk Sources

We attempted to comprehensively decode the connectedness among the abbreviation of five emerging market countries (BRICS) stock markets between 1 August 2002 and 31 December 2019 not only in time domain but also in frequency domain. A continuously varying spillover index based on forecasting error variance decomposition within a generalized abbreviation of vector-autoregression (VAR) framework was computed. With the help of spectral representation, heterogeneous frequency responses to shocks were separated into frequency-specific spillovers in five different frequency bands to reveal differentiated linkages among BRICS markets. Rolling sample analyses were introduced to allow for multiple changes during the sample period. It is found that return spillovers dominated by the high frequency band (within 1 week) part declined with the drop of frequencies, while volatility spillovers dominated by the low frequency band (above 1 quarter) part grew with the decline in frequencies; the dynamics of spillovers were influenced by crucial systematic risk events, and some similarities implied in the spillover dynamics in different frequency bands were found. From the perspective of identifying systematic risk sources, China’s stock market and Russia’s stock market, respectively, played an influential role for return spillover and volatility spillover across BRICS markets.

scholarly journals Transactions Volume, Exchange Direction and Asymmetry of Volatility in Emerging Market: Evidence From Tunisian Stock Exchange

2020 ◽  
Vol 11 (6) ◽  
pp. 318
Author(s):  
Jaber Yasmina
Keyword(s):  
Stock Market ◽  
Financial Market ◽  
Stock Exchange ◽  
Emerging Market ◽  
Explanatory Power ◽  
Trading Activity ◽  
Auto Correlation ◽  
The Asymmetry ◽  
The Impact ◽  
The Relationship

This study is an attempt to explain the relationship between intraday return and volume in Tunisian Stock Market. Indeed, former researches avow that the trading activity have the main explanatory power for volatility. However, most theories measure the activity of transactions through the size of exchange or the number of transactions. Nevertheless, these components are not aware enough of the importance of the direction of exchange when explaining the phenomenon of asymmetry of volatility. In the most of studies, the technique “Augmented Tick Test” (ATT) is employed so as to identify the direction of exchange. Such technique is adapted for the markets directed by orders like the Tunisian financial market. Again, this paper shows that the impact of the direction of exchange differs according to the market trend. In other words, if the returns are positive, the transactions of sale (of purchase) generate a decrease (increase) of volatility; whereas, they induce an increase (drop) of volatility if returns are negative. This result stresses the significance of exchange direction in explaning the asymmetry of volatility. Moreover, throughout this study, one may affirm that “Herding trades” are at the origin of the increase of volatility, while the “Contrarian trades” reduce volatility. Similarly, the identification of the direction of exchange enables us to affirm that the transactions of the initiates are characterized by the absence of returns auto- correlation; whereas, the transactions carried out by uninformed investors present an auto- correlation of the returns. In fact, the sign of this correlation varies according to transaction direction.

scholarly journals Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX

2020 ◽  
Vol 12 (20) ◽  
pp. 8581
Author(s):  
Wenjing Xie ◽  
João Paulo Vieito ◽  
Ephraim Clark ◽  
Wing-Keung Wong
Keyword(s):  
Sustainable Development ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Markets ◽  
Stock Exchange ◽  
International Treaties ◽  
National Policies ◽  
The Sustainable Development ◽  
Long Run ◽  
Stock Market Investors

This study investigates whether the merger of NASDAQ and OMX could reduce the portfolio diversification possibilities for stock market investors and whether it is necessary to implement national policies and international treaties for the sustainable development of financial markets. Our study is very important because some players in the stock markets have not yet realized that stock exchanges, during the last decades, have moved from government-owned or mutually-owned organizations to private companies, and, with several mergers having occurred, the market is tending gradually to behave like a monopoly. From our analysis, we conclude that increased volatility and reduced diversification opportunities are the results of an increase in the long-run comovement between each pair of indices in Nordic and Baltic stock markets (Denmark, Sweden, Finland, Estonia, Latvia, and Lithuania) and NASDAQ after the merger. We also find that the merger tends to improve the error-correction mechanism for NASDAQ so that it Granger-causes OMX, but OMX loses predictive power on NASDAQ after the merger. We conclude that the merger of NASDAQ and OMX reduces the diversification possibilities for stock market investors and our findings provide evidence to support the argument that it is important to implement national policies and international treaties for the sustainable development of financial markets.

scholarly journals Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications

2019 ◽  
Vol 69 (2) ◽  
pp. 273-287 ◽  
Author(s):  
Florin Aliu ◽  
Besnik Krasniqi ◽  
Adriana Knapkova ◽  
Fisnik Aliu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Markets ◽  
Stock Exchange ◽  
Weighted Average ◽  
Stock Index ◽  
Risk Level ◽  
Average Return ◽  
Monetary System ◽  
Managerial Implications

Risk captured through the volatility of stock markets stands as the essential concern for financial investors. The financial crisis of 2008 demonstrated that stock markets are highly integrated. Slovakia, Hungary and Poland went through identical centralist economic arrangement, but nowadays operate under diverse stock markets, monetary system and tax structure. The study aims to measure the risk level of the Slovak Stock Market (SAX index), Budapest Stock Exchange (BUX index) and Poland Stock Market (WIG20 index) based on the portfolio diversification model. Results of the study provide information on the diversification benefits generated when SAX, BUX and WIG20 join their stock markets. The study considers that each stock index represents an independent portfolio. Portfolios are built to stand on the available companies that are listed on each stock index from 2007 till 2017. The results of the study show that BUX generates the lowest risk and highest weighted average return. In contrast, SAX is the riskiest portfolio but generates the lowest weighted average return. The results find that the stock prices of BUX have larger positive correlation than the stock prices of SAX. Moreover, the highest diversification benefits are realized when Portfolio SAX joins Portfolio BUX and the lowest diversification benefits are achieved when SAX joins WIG20.

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