This research paper has two objectives. First, whether the Weekend Effect anomaly documented in the literature exists in the Australian Stock Exchange (ASX). Second, whether the existence of the Weekend Effect can be attributed to the role of short-sellers. Using daily data for the period from...

This paper investigates calendar anomalies for three highly developed EU stock markets (Germany, France, Austria) and their recently developed EU counterparts (Portugal and Greece). Five well known calendar effects on both return and volatility are examined; the day of the week, the January, the...

The purpose of this study is to examine Javanese lunar calendar (Primbon) effect to abnormal return on Indonesian Stock Market. Type of this study is conclusive descriptive using intraday trading data. The research observed and tested cultural phenomena called Primbon as a calendar effect on...

The purpose of this study is to investigate the impact of five various calendar effects on the Amman Stock Exchange (ASE) for the period January 2012 to December 2017. These effects are ‘day-of-the-week', ‘half of the month' ‘January', ‘turn of the month' and ‘January and non- January...