Search Results - subject:"Day‐of‐the‐week effect"

An Empirical Study of Calendar Anomalies : Indian Stock Market Evidence

Trivedi, Jigna C. - 2021

Calendar anomalies that challenge the Efficient Market Hypothesis i.e. stocks always trade at their fair value on stock exchanges, makes it impossible for investors to either purchase undervalued stocks or sell stocks for inflated prices. As such, it may be not be possible to outperform the...

Persistent link: https://www.econbiz.de/10013211028

Can Prospect Theory Explain Market Calendar Effects?

Mayo, Robert - 2017

The purpose of this project is to determine if calendar effects observed in stock markets can be explained by prospect theory. In order to answer this question, I have created an agent based model simulating a stock market. There was no sign of any calendar effect in any of the configurations...

Persistent link: https://www.econbiz.de/10012964979

Day of the Week Effect and Stock Returns : (Evidence from Karachi Stock Exchange-Pakistan)

Hussain, Faryad - 2017

Day of the week effect study is focused as a stock market anomaly on the equity market practices in Pakistan. The modus …

Persistent link: https://www.econbiz.de/10012965490

Debunking Two Myths of the Weekend Effect

Cheong, Foong Soon - 2017

This paper finds the weekend effect to be a remarkably robust anomaly and refutes the widespread belief that the weekend effect is due to data-mining or a consequence of some unusual/rare events. Out-of-sample analysis finds both the mean and median return on Monday is lower than that on Friday...

Persistent link: https://www.econbiz.de/10012969642

Day-of-The-Week Returns and Mood : An Exterior Template Approach

Zilca, Shlomo - 2017

the behavioral explanation of the day-of-the-week effect. The results show that the day-of-the-week mood template is a … potentially valid explanation of the day-of-the-week effect. Subperiod analysis suggests that the magnitude of the day-of-the-week … capitalization deciles. There is no decline though in the ability of mood to explain the day-of-the-week effect …

Persistent link: https://www.econbiz.de/10012948708

The Evolution and Cross Section of the Day-of-The-Week Effect

Zilca, Shlomo - 2017

the magnitude of the day-of-the-week effect, but the effect did not vanish. We find that the decline in the magnitude of …We study the day of the week effect across size deciles and in three 18-year subperiods. The results show a decline in … the effect is larger in the larger market capitalization deciles. We also find substantial evidence that the day-of-the-week …

Persistent link: https://www.econbiz.de/10012948739

Calendar Anomalies in the Ukrainian Stock Market

Caporale, Guglielmo Maria - 2017

variables) and a trading simulation approach to test for the presence of the following anomalies: day-of-the-week effect; turn …

Persistent link: https://www.econbiz.de/10012954251

Efficient Market Hypothesis and Calendar Effects : Empirical Evidences from the Indian Stock Markets

Kumar, Harish - 2017

The Efficient Market hypothesis is a cornerstone of modern investment theory that essentially advocates the futility of information in generation of abnormal returns in capital markets over a period of time. However, the existence of anomalies challenge the notion of efficiency in stock markets....

Persistent link: https://www.econbiz.de/10012954821

VIX Futures Calendar Spreads

Hou, Ai Jun - 2017

A VIX futures calendar spread involves buying a futures contract maturing in one month and selling another one maturing in a different month. VIX futures calendar spreads represent a daily turnover above 500 million dollars, or roughly 20% of the total VIX futures trading volume. A calendar...

Persistent link: https://www.econbiz.de/10012956269

Behavior of calendar anomalies, market conditions and adaptive market hypothesis : evidence from Pakistan stock exchange

Shahid, Muhammad Naeem; Sattar, Abdul - In: Pakistan journal of commerce and social sciences 11 (2017) 2, pp. 471-504

The current study investigates Adaptive Market Hypothesis (AMH) via five different calendar effects in Pakistan stock market. For the purpose we examine daily returns of KSE-100 index. The sample comprises 24 years over the period from January 1992 to December 2015. We use sub-sample analysis by...

Persistent link: https://www.econbiz.de/10011930421