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

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

2018 ◽  
Vol 34 (1) ◽  
pp. 183-192 ◽  
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.

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 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>

Market Efficiency of Indian Stock Market – A Study of Bonus Announcement in Bombay Stock Exchange

2011 ◽  
Vol 2 (1) ◽  
pp. 45-49
Author(s):  
M. Bharath M. Bharath ◽  
◽  
Dr. H. Shankar Dr. H. Shankar
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Exchange ◽  
Indian Stock Market

META-ANALYSIS ON AMERICAN PRESIDENTIAL ELECTION - 2016 AND AMERICAN STOCK MARKET

2020 ◽  
Vol 38 (1) ◽  
Author(s):  
Farhan Ahmed ◽  
Salman Bahoo ◽  
Sohail Aslam ◽  
Muhammad Asif Qureshi
Keyword(s):  
Content Analysis ◽  
Stock Market ◽  
Event Study ◽  
Presidential Election ◽  
Republican Party ◽  
Stock Exchange ◽  
Meta Analysis ◽  
Composite Index ◽  
Stock Index ◽  
Political Event

This paper aims to analyze the efficient stock market hypothesis as responsive to American Presidential Election, 2016. The meta-analysis has been done combining content analysis and event study methodology. The all major newspapers, news channels, public polls, literature and five important indices as Dow Jones Industrial Average (DJIA), NASDAQ Stock Market Composit Indexe (NASDAQ-COMP), Standard & Poor's 500 Index (SPX-500), New York Stock Exchange Composite Index (NYSE-COMP) and Other U.S Indexes-Russell 2000 (RUT-2000) are critically examined and empirically analyzed. The findings from content analysis reflect that stunned winning of Mr Trump from Republican Party worked as shock for American stock market. From event study, findings confirmed that all the major indices reflected a decline on winning of Trump and losing of Ms. Clinton from Democratic. The results are supported empirically and practically through the political event like BREXIT that resulted in shock to Global stock index and loss of $2 Trillion.

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

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