Search icone
Search and publish your papers

Empirical evidence on Seasonalities – Inspecting the market anomalies

Or download with : a doc exchange

About the author


About the document

Published date
documents in English
20 pages
0 times
Validated by
0 Comment
Rate this document
  1. Introduction.
  2. Calendar anomalies and previous research.
  3. Data & methodology.
  4. Empirical results interpretation.
  5. Conclusion.
  6. References.

Anomalies, such as calendar effects, could be defined as phenomena where systematic returns patterns are observed. Partisans to informational market efficiency suggest that calendar effects are prone to disappear, as investors in the market could implement strategies in order to take advantage of these anomalous behaviors. Thus we often evocate the ?self destruction property of anomalies'. However, according to Marquering, Nisser & Valla study's over 1960 ? 2003 on DJIA, some calendar effects seem to persist, despite their publication in academic journals. In particular, ?turn of the month effect? has been persistent over the time and does not seem to have disappeared. ?Week-end effect? and ?January effect? were still persistent in the 1990's, although they seem to have progressively disappeared recently. Consequently, have the main calendar effects disappear over the time? The objective of this paper is to determine, whether or not, main calendar effects were persistent over 1998 - 2001 in several European countries and in the United States. The next section synthesizes main previous studies on calendar effects. Then section 3 describes the methodology used for our study.

[...] As this result contradicts the numerous previous studies on January Effect - positive returns were observed in January - we assume that our result is due to an accident (Actually, we have 7*12 = 84 Student tests. Thus, for significance level tests appear significant, whereas it is not the case). In February, March, April, May, June, July, October, November and December, no return's particular behaviour is observed. I. August Effect In order to test the existence of an August Effect in both France and Poland we construct the following model: , where R is the daily return, D1 represents August and D2 represents the other months. [...]

[...] Our objective in this paper is not to resolve or explain these anomalies but, rather, to test if they are present in the broad European stock markets and on the NASDAC 100 stock index Data & Methodology The persistence of these anomalies are tested in seven countries (Belgium, France, United Kingdom, the United States, the Netherlands, Germany and Poland) on their respective main index (BEL 20, CAC 40, FTSE 30 IND, NASDAQ 100, AEX, DAX 30 and POLWG over a three-year period ( to 05.03 .2001), with daily data, i.e observations (As the holidays number remains very low compare to our observations number, we take it into account in our regressions). [...]

[...] While the efficient market hypothesis (EMH) is generally accepted, at least in its weak and semi-strong forms, there appears to be evidence of pocket of inefficiency supported by non-random movements in stock prices. These broad market anomalies have been well documented in the finance literature and involve seasonal regularities relating to the month of January (Rozeff and Kinney, 1976; Keim, 1983; Lakonishok and Smidt, 1988; and Wilson and Jones, 1993), the turn-of-the-month effect (Ariel, 1987), the day of the week (French, 1980), and the holidays effect (Ariel, 1990) which exhibits the greatest strength and robustness. [...]

Top sold for finance

Yale University Investments Office: August 2006 case analysis

 Economics & finance   |  Finance   |  Case study   |  08/17/2009   |   .doc   |   8 pages

Company budgeting

 Economics & finance   |  Finance   |  Term papers   |  06/21/2010   |   .doc   |   4 pages

Recent documents in finance category

International finance distribution of currency of AUD and USD

 Economics & finance   |  Finance   |  Worksheets   |  08/05/2017   |   .doc   |   4 pages

The O.M. Scott & Sons Company - Financial analysis

 Economics & finance   |  Finance   |  Case study   |  11/22/2016   |   .doc   |   12 pages