Analysis of calendar effects: Day-of-the-week effects in Indonesia, Singapore, and Malaysia stock markets

2012 ◽  
Vol 6 (11) ◽  
Author(s):  
Yunita Anwar
Keyword(s):  
Stock Markets ◽  
Calendar Effects ◽  
Day Of The Week

Stock Market Efficiency in South Eastern Europe

2018 ◽  
pp. 214-237
Author(s):  
Vladimir Filipovski ◽  
Dragan Tevdovski
Keyword(s):  
Stock Markets ◽  
Ratio Test ◽  
Informational Efficiency ◽  
Eastern European ◽  
Dummy Variables ◽  
Calendar Effects ◽  
Random Walk Hypothesis ◽  
South Eastern ◽  
South Eastern Europe ◽  
Day Of The Week

The purpose of this chapter is to empirically test the informational efficiency and to examine the presence of the calendar effects in 10 South Eastern European (SEE) stock markets' daily returns during the period 2007–2014. The authors use variance ratio test for exploration of random walk hypothesis. Regarding the calendar effects, the authors focus on the day-of-the-week effect, the half-month effect, and the turn-of-the-month effect. The existence of each calendar effect is analyzed by applying regression models with dummy variables for the effects in the mean returns and GARCH (1,1) models with dummy variables for the effects in the volatility of returns. The results indicate that the day-of-the-week effects in both mean and volatility are present in nine SEE stock markets. Contrary, the half-month effect in mean returns is present only in one, while half-month effect in volatility is present in five SEE stock markets. The turn-of-the- month effect in mean returns is present in six, while the turn-of-the-month effect in volatility is present in all 10 SEE stock markets.

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

scholarly journals Day of the Week Effect, Annual Returns and Volatility of Five Stock Markets in Southeast of Asia

2013 ◽  
Vol 5 (1) ◽  
Author(s):  
Mansooreh Kazemi Lari ◽  
Abbas Mardani ◽  
Mohsen Aghaeiboorkheili
Keyword(s):  
Stock Markets ◽  
Day Of The Week

The Day of the Week Effect in the Central European Transition Stock Markets

2003 ◽  
Author(s):  
Plamen Georgiev Patev ◽  
Katerina Lyroudi ◽  
Nigokhos Krikorov Kanaryan
Keyword(s):  
Stock Markets ◽  
Central European ◽  
Day Of The Week

scholarly journals Risk-Adjusted Seasonality in Muslim Frontier Stock Markets

2021 ◽  
Author(s):  
Faheem Aslam ◽  
Ahmed Imran Hunjra ◽  
Tahar Tayachi ◽  
Peter Verhoeven ◽  
Yasir Tariq
Keyword(s):  
Stock Markets ◽  
Systematic Risk ◽  
Time Varying ◽  
Bonferroni Correction ◽  
Market Portfolio ◽  
Stock Indices ◽  
Lunar Calendar ◽  
Investment Opportunities ◽  
Day Of The Week ◽  
Return Seasonality

<p>We investigate the evidence of three risk-adjusted calendar anomalies in eight frontier markets. </p> Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. We categorize the data with respect to day-of-the-week, Lunar calendar and Islamic calendar. Using Morgan Stanley Capital International (MSCI) eight Markets Index as our proxy of the market portfolio, most of the frontier markets tested exhibit calendar seasonality. We confirm that systematic risk varies with respect to day-of-the-week, Lunar months and Islamic months. After consideration of time-varying risk and applying Bonferroni correction, few frontier markets exhibit profitable investment opportunities from calendar return anomalies for active investment managers. This study contributes to the existing literature by documenting evidence of the presence of both day-of-the-week and month-of-the-year return seasonality both for the Gregorian and Islamic calendar for frontier markets.

scholarly journals Seasonality in the Indian Stock Markets: A Study of Calendar Effects

2017 ◽  
Vol 4 (01) ◽  
Author(s):  
Harish Kumar ◽  
Mridul Dawar
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Estimation Procedure ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Relevant Information ◽  
Informational Efficiency ◽  
Stock Market Returns ◽  
Calendar Effects ◽  
Year Effect

Theoretical and technological advances in Behavioural Finance over the last decades seem to have shifted the paradigm away from the Efficient Market Hypothesis proposed by Fama in 1970s. The hypothesis implied that securities are always priced efficiently since all the relevant information is fully reflected in their prices. However, this normative statement comes under heavy scrutiny with the existence of seasonality in stock returns. This paper investigates seasonality in the Indian stock markets through the existence of calendar effects. Employing time series analysis on data from January 1999 to December 2015, the presence of calendar effects is studied in three BSE indices-Sensex, BSE200 and BSE 500 using a dummy variable regression model in both the daily returns (using EGARCH modelling process) and monthly returns (using OLS estimation procedure). It is found that the while the SENSEX index does not show any significant calendar effect, seasonality does manifest in the larger BSE 200 and BSE 500 indices in form of both days-of-the-week effect and month-of-the-year effect, thereby suggesting that Indian stock markets do not show informational efficiency even in the weak form. The study concludes that the observed patterns are useful in timing the deals by exploiting the observed irregularities in the Indian stock market returns.

Analyzing the Existence of the Day of the Week Effect in Selected Emerging Country Stock Exchanges

2014 ◽  
Vol 1 (2) ◽  
pp. 33-43
Author(s):  
Murat Çinko ◽  
Emin Avci ◽  
Aslı Aybars ◽  
Mehtap Öner
Keyword(s):  
South Africa ◽  
Stock Markets ◽  
Stock Exchanges ◽  
Emerging Stock Markets ◽  
Emerging Country ◽  
Day Of The Week ◽  
Calendar Anomalies ◽  
Observation Period

Calendar anomalies, specifically Day of the Week (DoW) effect, have attracted considerable attention by academicians and practitioners during the last decades. This study investigates the existence of DoW effect in 13 emerging stock markets by utilizing an observation period of 12 years. Whereas the findings of the study reveal the presence of negative Monday effects for Indonesia, Malaysia, and Thailand; positive Monday returns are found in South Africa contrary to expectations. Furthermore; positive Friday returns are observed in 9 of the markets belonging to Argentina, Brazil, Bulgaria, Indonesia, Malaysia, Romania, Thailand, Tunisia, and Turkey. Additional results document the presence of positive Wednesday and Thursday returns for most of the markets analyzed.

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