IS THERE A FRIDAY EFFECT IN FINANCIAL MARKETS?

2018 ◽  
Vol 11 (2) ◽  
pp. 38-59
Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Commodity Markets ◽  
Market Returns ◽  
Gold Market ◽  
Average Analysis ◽  
Day Of The Week ◽  
Student’S T ◽  
Abnormal Profits ◽  
Student’S T Test

This paper tests for the presence of the Friday effect in various financial markets (stock markets, FOREX, and commodity markets) by using a number of statistical techniques (average analysis, parametric tests such as Student's t-test and ANOVA analysis, non-parametric ones such as the Kruskal-Wallis test, regression analysis with dummy variables). The evidence suggests that stock markets are immune to Friday effects, whilst in the FOREX Fridays exhibit higher volatility, and in the Gold market returns are higher on this day of the week. Using a trading robot approach we show that the latter anomaly can be exploited to make abnormal profits. 

scholarly journals January effect: 200 years of evolution in the us stock market

2018 ◽  
Vol 2 (1) ◽  
pp. 27-33
Author(s):  
Alex Plastun ◽  
Vyacheslav Plastun
Keyword(s):  
Stock Market ◽  
January Effect ◽  
Simulation Approach ◽  
Comprehensive Investigation ◽  
Average Analysis ◽  
The Us ◽  
Student’S T ◽  
Xix Century ◽  
Trading Simulation ◽  
Student’S T Test

This paper is a comprehensive investigation of the January Effect evolution in the US stock market over the period 1791–2015. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, Mann-Whitney test) and a trading simulation approach to analyze the evolution of this anomaly. The results suggest that January effect during the XVIII–XXI century passed the way from rise to fall. The rise of the January Effect starts in the end of the XIX century and this anomaly mostly disappeared in middle of the XX century. Nowadays the January Effect is not present in the US stock market, but even today January stays one of the best months for purchases in the US stock market.

scholarly journals Impact persistence of stock market risks in commodity markets: Evidence from China

PLoS ONE ◽  
2021 ◽  
Vol 16 (11) ◽  
pp. e0259308
Author(s):  
Shusheng Ding ◽  
Zhipan Yuan ◽  
Fan Chen ◽  
Xihan Xiong ◽  
Zheng Lu ◽  
...  
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Market Risk ◽  
Commodity Markets ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Gold Market ◽  
Shock Impact ◽  
Market Shocks ◽  
The Impact

The risk spillover among financial markets has been noticeably investigated in a burgeoning number of literature. Given those doctrines, we scrutinize the impact persistence of volatility spillover and illiquidity spillover of Chinese commodity markets in this paper. Based on the sample from 2010 to 2020, we reveal that there is a cross-market spillover of volatility and illiquidity in China and also, interactions between volatility and illiquidity in different financial markets are pronounced. More importantly, we demonstrate that different commodity markets have different responsiveness to stock market shocks, which embeds their market characteristics. Specifically, we discover that the majority of the traders in gold market might be hedger and therefore gold market is more sensitive to stock market illiquidity shock and thus the shock impact in persistent. On the other hand, agricultural markets like corn and soybean markets might be dominated by investors and thus those markets respond to the stock market volatility shocks and the shock impact in persistent over 10 periods given the first period of risk shock happening. In fact, different Chinese commodity markets’ responsiveness towards Chinese stock market risk shocks indicates the stock market risk impact persistence in Chinese commodity markets. This result can help policymakers to understand the policy propagation effect according to this risk spillover channel and risk impact persistence mechanism in China.

THE IMPACT OF TERRORISM ON FINANCIAL MARKETS: EVIDENCE FROM ASIA

2018 ◽  
Vol 63 (05) ◽  
pp. 1183-1204 ◽  
Author(s):  
FAHEEM ASLAM ◽  
AMIR RAFIQUE ◽  
ANEEL SALMAN ◽  
HYOUNG-GOO KANG ◽  
WAHBEEAH MOHTI
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Negative Impact ◽  
Target Type ◽  
Terrorist Attacks ◽  
Market Returns ◽  
Security Forces ◽  
Suicide Attacks ◽  
The Impact ◽  
Attack Type

This paper examines the impact of 410 terrorist attacks on the performance of five Asian stock markets. The empirical findings indicate that terrorism has a significant impact on the stock markets. Furthermore, the magnitude of these effects varies with respect to country, attack type, target type and severity of the attacks. In target type, terrorist attacks on business sector and security forces are particularly destructive for the stock markets. Likewise, in attack type, suicide attacks and bomb blasts particularly generate a significant downward movement in the stock markets. Furthermore, the more severe attacks have larger negative impact on market returns.

scholarly journals Calendar anomalies in the Ukrainian stock market

2017 ◽  
Vol 14 (1) ◽  
pp. 104-114 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Alex Plastun
Keyword(s):  
Stock Market ◽  
Simulation Analysis ◽  
January Effect ◽  
Year Effect ◽  
Average Analysis ◽  
Day Of The Week ◽  
Calendar Anomalies ◽  
Student’S T ◽  
Trading Simulation ◽  
Halloween Effect

This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test for the presence of the following anomalies: day-of-the-week effect; turn-of-the-month effect; turn-of-the-year effect; month-of-the-year effect; January effect; holiday effect; Halloween effect. The results suggest that in general calendar anomalies are not present in the Ukrainian stock market, but there are a few exceptions, i.e. the turn-of-the-year and Halloween effect for the PFTS index, and the month-of-the-year effect for UX futures. However, the trading simulation analysis shows that only trading strategies based on the turn-of-the-year effect for the PFTS index and the month-of-the-year effect for the UX futures can generate exploitable profit opportunities that can be interpreted as evidence against market efficiency.

Is stock market in Sub-Saharan Africa resilient to health shocks?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Terver Kumeka ◽  
Patricia Ajayi ◽  
Oluwatosin Adeniyi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Financial Markets ◽  
Stock Returns ◽  
Stock Markets ◽  
Commodity Markets ◽  
The Other ◽  
Content Type ◽  
Exogenous Shocks ◽  
The Impact

Purpose This paper aims to examine the impact of health and other exogenous shocks on stock markets in Africa. Particularly, the authors examined the resilience of the major stock markets in 12 African economies during the recent global pandemic. Design/methodology/approach This paper uses the recent panel vector autoregressive model, which enables us to capture the response of stock markets to shocks in COVID-19, commodity markets and exchange rate. For robustness, the authors also analysed the panel Granger causality test. Data was obtained for the period ranging from 2 January 2020 to 31 December 2020. Findings The results show that the growth in COVID-19 cases and deaths do not have any substantial impact on the stock market returns of these economies. In terms of commodity markets, the authors find that gold price has a negative contemporaneous effect on stock returns, but the effect fizzles out around the fifth day while crude oil price, on the other hand, has a significant positive simult aneous impact on stock returns and also converges around the fifth day. The authors further find that the exchange rate has a contemporaneous and nonlinear effect on stock returns and seems to be more dramatic when compared with the other variables. Overall, the results show that stock markets in Africa appear to be flexible and resilient against the COVID-19 outbreak but are affected by other exogenous shocks such as volatile commodity prices and the foreign exchange market. The effect is, however, short-lived – between one to five days. Practical implications Following the study’s findings, policies should be put in place to support financial markets by way of hedging against commodity instability and securing domestic currency financing. Policymakers are also recommended to concentrate on managing the uncertainties around their exchange rate markets and develop robust and efficient domestic financial markets to encourage local and foreign investors. Originality/value Several studies have been carried out on the effects of disasters (such as the COVID-19 pandemic) on stock markets, but only a few studies have examined the resilience of stock markets to health and other exogenous shocks. This study’s attempt is not only to examine the impact of COVID-19 health shocks on stock markets but also to analyse the resilience of the sampled stock markets. The authors also analyse the resilience of stock markets to commodity markets and exchange rates shocks.

Modernization of Antimonopoly Policy in Russia (Economic Analysis of Proposed Changes in the Competition Law)

2005 ◽  
pp. 100-116
Author(s):  
S. Avdasheva ◽  
A. Shastitko
Keyword(s):  
Economic Analysis ◽  
Financial Markets ◽  
Financial Services ◽  
Competition Law ◽  
Commodity Markets ◽  
State Aid ◽  
Executive Power ◽  
Rule Of Reason ◽  
Per Se

The article is devoted to the analysis of the draft law "On Protection of Competition", which must substitute the laws "On Competition and Limitation of Monopolistic Activity on Commodity Markets" and "On Protection of Competition on the Financial Services Market". The innovations enhancing the quality of Russian competition law and new norms providing at least ambiguous effects on antimonopoly regulation are considered. The first group of positive measures includes unification of competition norms for commodity and financial markets, changes of criteria and the scale of control of economic concentrations, specification of conditions, where norms are applied "per se" and according to the "rule of reason", introduction of rules that can prevent the restriction of competition by the executive power. The interpretation of the "collective dominance" concept and certain rules devoted to antimonopoly control of state aid are in the second group of questionable steps.

Seasonalities in Stock Markets: The Day of the Week Effect

2007 ◽  
Author(s):  
George Drogalas ◽  
Athianos Stergios ◽  
George Bakas ◽  
Elekidis George
Keyword(s):  
Stock Markets ◽  
Day Of The Week

Serosal and cutaneous recordings of gastric myoelectrical activity in patients with gastroparesis

1994 ◽  
Vol 266 (1) ◽  
pp. G90-G98 ◽  
Author(s):  
J. D. Chen ◽  
B. D. Schirmer ◽  
R. W. McCallum
Keyword(s):  
Electrical Stimulation ◽  
Slow Wave ◽  
Test Meal ◽  
Frequency Change ◽  
Fasting State ◽  
Gastric Myoelectrical Activity ◽  
Myoelectrical Activity ◽  
Gastric Slow Wave ◽  
Student’S T ◽  
Student’S T Test

The aims of this study were to 1) investigate gastric myoelectrical activity in patients with gastroparesis, 2) validate the cutaneous electrogastrogram (EGG) in tracking the frequency change of the gastric slow wave, and 3) investigate the effect of electrical stimulation on gastric myoelectrical activity. Gastric myoelectrical activity was recorded in 12 patients with documented gastroparesis using serosal electrodes for > 200 min in each subject. All recordings were made at least 4 days after surgery. Each session consisted of a 30-min recording in the fasting state and a 30-min recording after a test meal. The test meal (liquid or mixed) was selected according to patient's tolerance. Electrical stimulation was performed in three subjects via the serosal electrodes at a frequency of 3 cycles/min. Gastric myoelectrical activity was recorded using serosal electrodes in each session. The serosal recording showed slow waves of 2.5 to 4.0 cycles/min in all 12 subjects. Absence of spikes was noted in 11 of the 12 subjects. The simultaneous serosal and cutaneous recording of gastric myoelectrical activity showed that the frequency of the EGG was exactly the same as that of the serosal recording. Liquid meals resulted in a significant decrease in slow-wave frequency (Student's t test, P = 0.006), and the EGG accurately reflected this change. Electrical stimulation had no effect on the frequency of the gastric slow wave and did not induce spikes.(ABSTRACT TRUNCATED AT 250 WORDS)

The Effect of Changes in Dialysate Volume on Glucose and Urea Equilibration

1994 ◽  
Vol 14 (3) ◽  
pp. 236-239 ◽  
Author(s):  
Edward C. Kohaut ◽  
F. Bryson Waldo ◽  
Mark R. Benfield
Keyword(s):  
Renal Failure ◽  
Chronic Renal Failure ◽  
Prospective Study ◽  
Body Surface ◽  
Patient Population ◽  
Different Ages ◽  
Student’S T ◽  
A Prospective Study ◽  
Dialysate Volume ◽  
Student’S T Test

Objectives To determine the effect of changing dialysate volume on urea and glucoseequilibration curves and to determine, if dialysate volume is prescribed on the basis of body surface area, whether equilibration curves will be consistent in patients of different sizes and ages. Design A prospective study wherein children with acute or chronic renal failure had peritoneal equilibration studies done with dwell volumes of 30 mL/kg, 40 mL/kg, and 1200 mL/m2. Patient Population Twenty-two children: 7 under 3 years of age; 8 between 3 and 10 years of age; 7 older than 10 years of age. Statistics Student's t-test. Results Urea and glucose equilibrated rapidly at dwell volumes of 30 mL/kg, slower at dwell volumes of 40 mL/kg, and slowest at dwell volumes of 1200 mL/m2. Equilibration curves were similar in children of different ages when dialysate volumes of 1200 mL/m2 were infused. Conclusion Dialysate volumes of 1200 mL/m2 should be used when equilibration studies are being done to compare individuals of different ages and sizes.

scholarly journals Development and Validation of 2-Azaspiro [4,5] Decan-3-One (Impurity A) in Gabapentin Determination Method Using qNMR Spectroscopy

Molecules ◽  
2021 ◽  
Vol 26 (6) ◽  
pp. 1656
Author(s):  
Nataliya E. Kuz’mina ◽  
Sergey V. Moiseev ◽  
Mikhail D. Khorolskiy ◽  
Anna I. Lutceva
Keyword(s):  
Test Procedure ◽  
Active Pharmaceutical Ingredient ◽  
Test Methods ◽  
Intermediate Precision ◽  
Coefficients Of Variation ◽  
Validation Parameters ◽  
Limit Of Quantitation ◽  
Student’S T ◽  
Development And Validation ◽  
Student’S T Test

The authors developed a 1H qNMR test procedure for identification and quantification of impurity A present in gabapentin active pharmaceutical ingredient (API) and gabapentin products. The validation studies helped to determine the limit of quantitation and assess linearity, accuracy, repeatability, intermediate precision, specificity, and robustness of the procedure. Spike-and-recovery assays were used to calculate standard deviations, coefficients of variation, confidence intervals, bias, Fisher’s F test, and Student’s t-test for assay results. The obtained statistical values satisfy the acceptance criteria for the validation parameters. The authors compared the results of impurity A quantification in gabapentin APIs and capsules by using the 1H qNMR and HPLC test methods.

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