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

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).

Pengujian Monday Effect pada Indeks LQ-45 di Bursa Efek Indonesia pada saat Pandemi

Research in Indonesia found many anomalies in the stock market, such as the Phenomenon of Monday effect. The diversity of research results encourages to re-research the Phenomenon of Monday effect on different conditions, namely pandemic. The purpose of this study is to find out the occurrence of Monday effect on the Indonesia Stock Exchange at the time of the pandemic. This research was conducted on all LQ-45 companies in March to October 2020. Data collection by observing the available secondary data. The analysis technique used is one sample t-test. This research proves that there is no difference in average return on Monday which the phenomenon of Monday effect doesn’t occur during a pandemic. Keywords: Monday Effect; LQ-45 Index; Indonesia Stock Exchange.

Monday effect on confirmed cases of COVID-19 in Japan

We examined the phenomenon of fewer new confirmed cases on Monday in Japan, which we refer to as the Monday effect. In Japan, prefectures aggregate and announce the number of daily confirmed cases. We analyzed the impact of this effect in each prefecture. The effect is mainly found in prefectures with populations of 2 million or more. This effect is also constantly observed in the three major metropolitan areas in Japan. However, the magnitude of the observed effect is uncorrelated with both the number of positives per 1,000 people and the population size. Our results suggest that the reporting delay occurs in prefectures above a specific size, but the magnitude of the delay differs among prefectures. We consider two possible explanations for this effect: 1) delays caused by the administrative system. 2) fewer tests are conducted on the previous day. Our results indicate that delays are caused by the administrative system in some prefectures and that some prefectures with larger populations are less likely to conduct screenings on holidays.

PENGARUH SEASONAL EFFECT TERHADAP RETURN SAHAM LQ-45 DI BURSA EFEK INDONESIA TAHUN 2019 – 2020

The purpose of this research was to examine the existence of Monday Effect, Week Four Effect, and Rogalsky Effect on stock return of LQ-45 index ini Indonesian Stock Exchange (IDX) during 2019 – 2020. The statistic methods used to test the hypotheses are Mann Whitney. The results show that Monday Effect, Week Four Effect, and Rogalsky Effect exist on stock return of LQ-45 index in IDX.Keywords :Monday Effect, Week Four Effect, Rogalsky Effect, Return

ANALISIS RETURN SAHAM DENGAN PENDEKATAN MONDAY EFFECT DAN WEEKEND EFFECT DI BURSA EFEK INDONESIA

This study discusses the analysis of stock returns using the Monday effect and Weekend effect on the Indonesia Stock Exchange in the LQ45 period February 2017 - January 2018. The method of analysis technique used is the partial test with SPSS software ver.21 . The results of this study indicate that there is an effect of the Monday effect and Weekend effect on the LQ45 daily stock return on the Indonesia Stock Exchange, where the lowest return occurs on Monday (Monday effect) and the highest return on Friday (weekend effect), in addition there is the lowest return concentrated in the last two weeks of each month (fourth and fifth week) or also called week four effect. Penelitian ini membahas tentang analisis return saham dengan menggunakan pendekatan Monday effect dan Weekend effect di Bursa Efek Indonesia pada LQ45 periode Februari 2017 - Januari 2018. Teknik analisis data yang digunakan menggunakan uji parsial dengan software SPSS ver.21. Hasil penelitian ini menunjukkan bahwa terdapat pengaruh Monday effect dan Weekend effect terhadap return saham harian LQ45 di Bursa Efek Inonesia, di mana return terendah terjadi pada hari Senin (Monday effect) dan return tertinggi pada hari Jumat (weekend effect), selain itu terdapat return yang terendah terkonsentrasi pada dua minggu terakhir setiap bulannya (minggu keempat dan kelima) atau disebut juga week four effect.

Extreme price moves: an INGARCH approach to model coexceedances in commodity markets

This study presents a set of integer-valued generalised autoregressive conditional heteroskedastic models to identify possible transmission channels of joint extreme price moves (coexceedances) across a group of agricultural commodities. These models are very useful to identify factors affecting joint tail events and they are superior in terms of goodness of fit to models without autoregressive components. Emerging market demand, crude oil, exchange rate, stock market conditions and credit spread explain extreme joint returns. Psychological factors and the Monday effect play a role in affecting extreme events, while weather anomalies (El Niño and La Niña episodes) do not have explanatory power.

The Monday Effect Revisited: A Diary and Sleep Actigraphy Study

Purpose Accidents are more likely to occur during the morning hours of Mondays (Monday effect). This might be due to a higher level of cognitive failure on Monday morning at work. Methods In a pilot actigraphy study across one working week, we explored this Monday effect and regressed daily self-reported workplace cognitive failure on weekdays (Monday versus other days), background social stressors at work, delayed sleep onset and sleep duration. Diary data were gathered from 40 full-time employees. Results Confirming our assumptions, results revealed work-related cognitive failure and sleep-onset latency on the previous night to be higher on Mondays compared to other workdays. Work-related cognitive failure correlated positively with delayed sleep-onset latency and background social stressors. In multilevel regression analysis, Monday significantly explained variations in workplace cognitive failure. The addition of background social stressors at work and sleep-onset latency to the regression model showed unique contributions to the prediction of workplace cognitive failure. No significant two-way or three-way interactions between working days, sleep-onset latency or sleep duration, and background social stressors were found. Conclusion Peak levels of cognitive failure on Monday morning and the association of cognitive failure with social stressors at work contribute to understanding the mechanisms involved in the increased prevalence of occupational accidents on Monday morning. Occupational safety interventions should address both social stressors at work and individual sleep hygiene.

FENOMENA MONDAY EFFECT PADA OVERNIGHT RETURN DAN INTRADAY RETURN SAHAM YANG TERGABUNG DALAM INDEKS LQ45 PERIODE 2018

Sebagai Trader haruslah memiliki strategi trading yang menghasilkan capital gain/loss dari actual return. Overnight return dan intraday return merupakan bagian dari actual return. Namun actual return tersebut ternyata dipengaruhi oleh faktor lain. Faktor yang mempengaruhinya adalah fenomena anomaly Monday effect. Teori yang mendasari dari terbentuknya penelitian ini adalah Random Walk, Efficient Market Hypothesis, Anomalies. Random Walk menjelaskan mengenai pergerakan harga saham yang secara acak dan tidak adapat diprediksi sehinga return yang dihasilkan acak dan tidak dapat diprediksi. Efficient Market Hypothesis menjelaskan mengenai bagaimana informasi suatu sekuritas atau saham diguakan untuk memprediksi harga sekuritas atau saham di masa depan sehinga return yang dihasilkan dapat diprediksi. Anomalies menjelaskan mengenai fenomena yang menyimpang dari teori Efficient Market Hypothesis. Penelitian ini dilakukan pada perusahaan yang yang terdapat dalam Indeks LQ 45 yang terdaftar pada Bursa Efek Indonesia periode Januari 2018 – Desember 2018. Dengan menggunakan metode judgment sampling didapatkan sampel sebanyak 34 perusahaan dengan bantuan program SPSS 25. Teknik analisis data yang digunakan adalah uji beda dua rata-rata paired sample t-test. Hasil penelitian menunjukkan uji beda dua rata-rata paired sample t-test yang digunakan sudah memenuhi uji normalitas. Hasil uji normalitas menunjukkan semua data berdistribusi normal. Nilai signifikansi perbedaan antara rata-rata return hari Senin dengan rata-rata return hari non Senin pada overnight return adalah sebesar 0,119 dengan mean sebesar -0,041 dan Nilai signifikansi perbedaan antara rata-rata return hari Senin dengan rata-rata return hari non Senin pada intraday return adalah sebesar 0,069 dengan mean sebesar 0,1. Hasil penelitian menunjukkan bahwa (1) Tidak ada perbedaan antara perbedaan antara return hari Senin dengan return hari non Senin pada overnight return dan (2) Ada perbedaan antara perbedaan antara return hari Senin dengan return hari non Senin pada intraday return.