An extended list of calendar anomalies in the context of the efficient market hypothesis

2021 ◽  
Vol 93 (2) ◽  
pp. 89-101
Author(s):  
Marcin Fuksiewicz
Keyword(s):  
Capital Markets ◽  
Foreign Capital ◽  
Efficient Market Hypothesis ◽  
Commodity Markets ◽  
Short Term ◽  
Efficient Market ◽  
Monday Effect ◽  
The Usa ◽  
Calendar Anomalies ◽  
Phases Of The Moon

The efficient market hypothesis is commonly tested mainly with regard to capital markets, but it has also been applied to currency and commodity markets. Although the theory has been used to confirm that different markets vary in their effectiveness, certain cyclical anomalies can be observed in these markets. Particularly noteworthy are calendar anomalies, which can be used to develop investment methods and procedures. In addition to commonly known anomalies, such as the January or the December Effect, or short-term ones, like the Friday or Monday Effect, there are many others that are largely unknown in Poland, such as those related to the Presidential Election Cycle in the USA or very short-lived ones, associated with individual hours of investing in a trading session. The aim of the article is to present a possibly complete list of calendar anomalies recognized in foreign capital markets, but largely unknown in Poland, such as short-lived anomalies and exotic ones (e.g. related to phases of the moon).

scholarly journals Nonlinearities and Chaos: A New Analysis of CEE Stock Markets

Mathematics ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 707
Author(s):  
Claudiu Tiberiu Albulescu ◽  
Aviral Kumar Tiwari ◽  
Phouphet Kyophilavong
Keyword(s):  
Capital Markets ◽  
Stock Markets ◽  
Transition Period ◽  
Chaotic Behavior ◽  
Efficient Market Hypothesis ◽  
Eastern European ◽  
Price Behavior ◽  
Financial Systems ◽  
Efficient Market ◽  
Level Of Significance

After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and chaos in five CEE stock markets. We document, in general, the presence of nonlinearities and chaos which questions the efficient market hypothesis. However, if all tests highlight a chaotic behavior for the analyzed index returns, there are noteworthy differences between the analyzed stock markets underlined by nonlinearity tests, which question, thus, their level of significance. Moreover, the results of nonlinearity tests partially contrast the previous findings reported in the literature on the same group of stock markets, showing, thus, a change in their recent behavior, compared with the 1990s.

Testing the weak form of efficient market hypothesis for socially responsible and Shariah indexes in the USA

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abbas Khan ◽  
Muhammad Yar Khan ◽  
Abdul Qayyum Khan ◽  
Majid Jamal Khan ◽  
Zia Ur Rahman
Keyword(s):  
Stock Prices ◽  
Arima Model ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Future Price ◽  
Short Term ◽  
Socially Responsible ◽  
Efficient Market ◽  
Content Type ◽  
The Us

Purpose By testing the weak form of efficient market hypothesis (EMH) this study aims to forecast the short-term stock prices of the US Dow and Jones environmental socially responsible index (SRI) and Shariah compliance index (SCI). Design/methodology/approach This study checks the validity of the weak form of EMH for both SCI and SRI prices by using different parametric and non-parametric tests, i.e. augmented Dickey-Fuller test, Philip-Perron test, runs test and variance ratio test. If the EMH is invalid, the research further forecasts short-term stock prices by applying autoregressive integrated moving average (ARIMA) model using daily price data from 2010 to 2018. Findings The research confirms that a weak form of EMH is not valid in the US SRI and SCI. The historical data can predict short-term future price movements by using technical ARIMA model. Research limitations/implications This study provides better guidance to risk-averse national and international investors to earn higher returns in the US SRI and SCI. This study can be extended to test the EMH of Islamic equity in the Middle East and North Africa region and other top Islamic indexes in the world. Originality/value This study is a new addition to the existing literature of equity investment and price forecasting by comparing and investigating the market efficiency of two interrelated US SRI and SCI.

scholarly journals Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis

2019 ◽  
Vol 12 (2) ◽  
pp. 97 ◽  
Author(s):  
Qianwei Ying ◽  
Tahir Yousaf ◽  
Qurat ul Ain ◽  
Yasmeen Akhtar ◽  
Muhammad Shahid Rasheed
Keyword(s):  
Capital Markets ◽  
Stock Prices ◽  
Intrinsic Value ◽  
Efficient Market Hypothesis ◽  
Investment Strategies ◽  
Excess Returns ◽  
Efficient Market ◽  
Market Anomalies ◽  
Replication Studies ◽  
Stock Investment

The expansion of investment strategies and capital markets is altering the significance and empirical rationality of the Efficient Market Hypothesis. The vitality of capital markets is essential for efficiency research. The authors explore here the development and contemporary status of the efficient market hypothesis by emphasizing anomaly/excess returns. Investors often fail to get excess returns; however, thus far, market anomalies have been witnessed and stock prices have diverged from their intrinsic value. This paper presents an analysis of anomaly returns in the presence of the theory of the efficient market. Moreover, the market efficiency progression is reviewed and its present status is explored. Finally, the authors provide enough evidence of a data snooping issue, which violates and challenges the existing proof and creates room for replication studies in modern finance.

scholarly journals An approach of spectrum analysis to the stock prediction

2020 ◽  
Author(s):  
James L. Luo
Keyword(s):  
Game Theory ◽  
Asymmetric Information ◽  
Capital Markets ◽  
Spectrum Analysis ◽  
Efficient Market Hypothesis ◽  
Human Action ◽  
Efficient Market ◽  
New Approach ◽  
Validity Test ◽  
Lot Sizes

This article constructs a brand new approach to the prediction of capital markets in the perspective of Volume Spectrum Analysis (VSA). Unlike all traditional financial theories, the model of VSA features volume rather than price and focuses on its inner structure, i.e. the distribution of lot sizes that reveals asymmetric information in trading, which rejects the assumption of perfect information in Efficient Market Hypothesis (EMH) and makes the validity test possible. The flaw of modern finance, that is, taking the normality of price changes for granted, and those of other solutions such as game theory, are investigated to show why it is only VSA that may capture the essence of human action in capital markets.

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.

scholarly journals Predictability of stock market indexes following large drawdowns and drawups

2021 ◽  
Vol 19 (1) ◽  
pp. 1-23
Author(s):  
Vinicius Ratton Brandi
Keyword(s):  
Stock Markets ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Fixed Time ◽  
Uncertain Information ◽  
Short Term ◽  
Efficient Market ◽  
Information Hypothesis ◽  
Novel Approach ◽  
Lower Magnitude

The efficient market hypothesis is one of the most popular subjects in the empirical finance literature. Previous studies of the stock markets, which are mostly based on fixed-time price variations, have inconclusive findings: evidence of short-term predictability varies according to different samples and methodologies. We propose a novel approach and use drawdowns and drawups as triggers, to investigate the existence of short-term abnormal returns in the stock markets. As these measures are not computed within a fixed time horizon, they are flexible enough to capture subordinate, time-dependent processes that could drive market under- or overreaction. Most estimates in our results support the efficient market hypothesis. The underreaction hypothesis receives stronger support than does overreaction, with higher prevalence of return continuations than reversals. Evidence for the uncertain information hypothesis is present in some markets, mainly after lower-magnitude events.

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.

scholarly journals Analiza efektywności informacyjnej w formie słabej na rynkach „soft commodities” z wykorzystaniem wybranych testów statystycznych

2017 ◽  
Vol 17(32) (3) ◽  
pp. 81-92
Author(s):  
Anna Górska ◽  
Monika Krawiec
Keyword(s):  
Stock Markets ◽  
Orange Juice ◽  
Statistical Tests ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Commodity Markets ◽  
Agricultural Products ◽  
Efficient Market ◽  
Spot Prices ◽  
Weak Form Efficiency

The Efficient Market Hypothesis received much attention in the late 1970s. Those early studies focused on examining the efficiency of stock markets, however since that time the researchers’ interest has shifted to commodity markets. The studies usually focus on the markets of oil and of agricultural products, mainly grains. The efficiency of soft commodities market is also examined but not to the same extent. Majority of investigations focus on single products of this category. Thus the aim of our paper is to extend the research and to analyze the weak-form efficiency of six soft commodities: coffee, cocoa, sugar, cotton, frozen concentrated orange juice and rubber. Data under consideration covers daily spot prices of the commodities in the period 2007-2016. Having calculated their logarithmic returns we perform the following statistical tests: runs test, autocorrelation test, Box-Pierce and Box –Ljung tests. As the results obtained are not homogenous, this opens a door to further investigations with the use of different methodology.

scholarly journals THE EFFICIENT MARKET HYPOTHESIS: A CRITICAL REVIEW OF LITERATURE AND METHODOLOGY

Ekonomika ◽  
2014 ◽  
Vol 93 (2) ◽  
pp. 7-23 ◽  
Author(s):  
Augustas Degutis ◽  
Lina Novickytė
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Capital Markets ◽  
Intrinsic Value ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Current Status ◽  
Efficient Market ◽  
Baltic Countries ◽  
The Baltic

The development of the capital markets is changing the relevance and empirical validity of theefficient market hypothesis. The dynamism of capital markets determines the need for efficiency research. The authors analyse the development and the current status of the efficient market hypothesis with an emphasis on the Baltic stock market. Investors often fail to earn an excess profit, but yet stock market anomalies are observed and market prices often deviate from their intrinsic value. The article presents an analysis of the concept of efficient market. Also, the market efficiency evolution is reviewed and its current status is analysed. This paper presents also an examination of stock market efficiency in the Baltic countries. Finally, the research methods are reviewed and the methodology of testing the weak-form efficiency in a developing market is suggested. 

scholarly journals Regression Towards The Mean Versus Efficient Market Hypothesis: An Empirical Study

2011 ◽  
Vol 4 (12) ◽  
Author(s):  
H. Francis Bush ◽  
Michael D. Canning
Keyword(s):  
Empirical Study ◽  
Market Efficiency ◽  
Capital Markets ◽  
Efficient Market Hypothesis ◽  
Font Size ◽  
Efficient Market ◽  
The Mean ◽  
Fortune Magazine ◽  
Regression Towards The Mean

<p class="MsoNormal" style="text-align: justify; margin: 0in 31.2pt 0pt 0.5in;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">This study investigates the dominance of the statistical phenomenon, regression towards the means, against the market efficiency of capital markets.<span style="mso-spacerun: yes;">&nbsp; </span>Using Fortune Magazine&rsquo;s ranking of America&rsquo;s most admired companies to distinguish positive from negative firms, and using the Standard and Poor Index as a surrogate for market, the authors demonstrated that: (1) a portfolio of least admired forms will outperform a portfolio of most admired firms, (2) a portfolio of most admired firms will outperform the market, and (3) a portfolio of least admired firms will outperform the market.</span></span></p>

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