scholarly journals Efficient Market Hypothesis and Market Anomaly: Evidence from Day-of-the Week Effect of Malaysian Exchange

2010 ◽  
Vol 2 (2) ◽  
Author(s):  
Nik Maheran Nik Muhammad ◽  
Nik Muhd Naziman Abd. Rahman
Keyword(s):  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Day Of The Week ◽  
Market Anomaly

scholarly journals STUDI KOMPARATIF THE DAY OF THE WEEK EFFECT DAN THE MONTH OF THE YEAR EFFECT DALAM PEROLEHAN RETURN SAHAM DI BURSA EFEK INDONESIA PADA PERUSAHAAN LQ 45 PERIODE FEBRUARI 2017-JANUARI 2018

2019 ◽  
Author(s):  
Komang Agus Rudi Indra Laksmana
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Anomalous Effect ◽  
Year Effect ◽  
Day Of The Week ◽  
Market Anomaly

The concept of the efficient capital markets has become a topic of debate is fascinating and quite controversial in the field of finance. Since the introduction his the efficient market hypothesis, comes a variety of behavior of irregularity or discrepancy in the capital markets. Irregularity is referred to as a market anomaly (market anomaly). The Market anomaly that became a lot of attention is the anomalous effect of calendar. These anomalies are the day of the week effect and the month of the year effect. This research was conducted due to the results of several studies that are not consistent on the day of the week effect and the month of the year effect in obtaining the return of shares in Indonesia stock exchange.

Studi Komparatif The Day Of The Week Effectmdan The Month Of The Year Effect Dalam Perolehan Return Saham Di Bursa Efek Indonesia Pada Perusahaan LQ 45 Periode Februari 2017-Januari 2018

2020 ◽  
Vol 1 (2) ◽  
pp. 123-134
Author(s):  
Komang Agus Rudi Indra Laksmana ◽  
Ni Luh Gede Sri Artika Dewi
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Anomalous Effect ◽  
Year Effect ◽  
Day Of The Week ◽  
Market Anomaly

The concept of the efficient capital markets has become a topic of debate is fascinating and quite controversial in the field of finance. Since the introduction his the efficient market hypothesis, comes a variety of behavior of irregularity or discrepancy in the capital markets. Irregularity is referred to as a market anomaly (market anomaly). The Market anomaly that became a lot of attention is the anomalous effect of calendar. These anomalies are the day of the week effect and the month of the year effect. This research was conducted due to the results of several studies that are not consistent on the day of the week effect and the month of the year effect in obtaining the return of shares in Indonesia stock exchange.

scholarly journals The Disappearing Calendar Anomalies in the Singapore Stock Market

2006 ◽  
Vol 11 (2) ◽  
pp. 123-139 ◽  
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.

Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector

2015 ◽  
Vol 47 (23) ◽  
pp. 2359-2378 ◽  
Author(s):  
Paresh Kumar Narayan ◽  
Seema Narayan ◽  
Stephan Popp ◽  
Huson Ali Ahmed
Keyword(s):  
Banking Sector ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Day Of The Week

scholarly journals Testing Semi-strong Form Efficiency of Stock Market

2001 ◽  
Vol 40 (4II) ◽  
pp. 651-674 ◽  
Author(s):  
Salman Syed Ali ◽  
Khalid Mustafa
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Markets ◽  
Efficient Market Hypothesis ◽  
Seasonal Effects ◽  
Efficient Market ◽  
New Information ◽  
Empirical Regularities ◽  
Day Of The Week ◽  
Stock Traders

The efficient market hypothesis suggests that stock markets are “informationally efficient”. That is, any new information relevant to the market is spontaneously reflected in the stock prices. A consequence of this hypothesis is that past prices cannot have any predictive power for future prices once the current prices have been used as an explanatory variable. In other words the change in future prices depends only on arrival of new information that was unpredictable today hence it is based on surprise information. Another consequence of this hypothesis is that arbitrage opportunities are wiped out instantaneously. Empirical tests of the efficient market hypothesis actually test for these consequences in various ways. Some of them have been summarised in earlier chapters. These tests generally could not conclusively accept the random-walk hypothesis of stock returns even when GARCH effects were accounted for. Many studies have found empirical regularities that are contrary to the efficient market hypothesis. For example, the monthly, weekly and daily returns on stocks tend to exhibit discernable patterns, such as seasonal affects, month of the year affect, day of the week affect, hourly affect etc. In case of Pakistan’s stock markets too such affects are identified. Such as the Ramadan affect [see Hussain and Uppal (1999)], seasonal effects and day of the week affect. Further, the wide spread use of “technical analysis” among stock traders and their ability to predict to some extent the direction of movements in the prices of individual stocks over medium term testifies to the existence of patterns and seasonal trends.

scholarly journals The Overnight Return Temporal Market Anomaly

2017 ◽  
Vol 9 (3) ◽  
pp. 1
Author(s):  
Vasiliki A. Basdekidou
Keyword(s):  
Private Information ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Market Anomalies ◽  
Public And Private ◽  
Insider Information ◽  
Post Market ◽  
Current Price ◽  
Over Time ◽  
Market Anomaly

The main goal of this paper is to introduce an innovative market anomaly relating to “time” during the overnight post-market session and therefore characterized as a temporal market anomaly. Anomalies in the markets appear from time to time and test the efficient market hypothesis. Many investors and traders believe that the markets follow the efficient market hypothesis. According to this theory the current price of a security (trading instrument) reflects all public and private information about that security (instrument). Changes in price are due to insider information, current news, or sudden events, which are impossible to predict. Hence, security’s price action follows the path of a random walk, the hypothesis and argument of which states that current price is not dependent on past price and is normally or abnormally distributed over time. In financial and economical literature, many studies have presented approaches about what the academics call “market anomalies” and according to literature the anomalies are classified in three categories: Fundamental, Technical, and Calendar-based anomalies. In this article another class of market anomalies is introduced, that simply could be referred to as “temporal” because of the timing functionality involved. Finally, I will discuss one of these “temporal” anomalies, called the overnight return temporal market anomaly. The presented research shows that momentum profit accumulates entirely overnight, while profit on all other strategies occurs entirely intraday. These findings strongly reject classical theories of intraday versus overnight returns.

scholarly journals Analisis January Effect Pada Saham Astra Internasional (ASII) Di Bursa Efek Indonesia Pada Periode 2005 - 2015

2016 ◽  
Vol 8 (2) ◽  
pp. 54-63
Author(s):  
Andreas Kiky
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
January Effect ◽  
Efficient Market ◽  
Expected Return ◽  
New Information ◽  
Past Data ◽  
Market Anomaly

In Stock Market our goal is pursue optimum wealth by appreciation of our Stocks. Stock price fluctuate over time as nobody can predict. In this research our aim is to observe the market anomaly that might be happened as the investor behave. We will examine January Effect as Keim observe in 1986 in Indonesia Stock Exchange. Also we can also examine Efficient Market Hypothesis as the result from anomaly and abnormal return that founded in this research. If we can find the market anomaly perhaps we can map the market seasonal trend as the past data recorded. If this anomaly exists we could suggest investor to invest their money as the anomaly data shown. Then investor could gain optimum wealth base on this information. Purpose of this paper is to examine market anomaly and does it exist in Indonesia market? Our main objective is to predict the market movement base on seasonal or anomaly pattern that has been found in previous research. We use CAPM to measure Expected Return of Asset and we use ASII stock price to measure the return of the stock. Our finding is far from our expectation. We expect to find January Effect here but unfortunately we found another anomaly that happen in May and October. Our research suggest that we should cautious for this investor behavior because they seem react as the new information or news appear Keywords: Abnormal Return, January-Effect, Market Anomaly, CAPM, Efficient Market Hypothesis

The Efficient Market Hypothesis and Its Critics

CFA Digest ◽  
2003 ◽  
Vol 33 (4) ◽  
pp. 40-41 ◽  
Author(s):  
Ann C. Logue
Keyword(s):  
Efficient Market Hypothesis ◽  
Efficient Market
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