This study is done with a purpose to explore and provide evidence about the existence of calendar anomalies in the market for gold and crude oil in India. Ordinary least square regression analysis is used to examine the presence of day of the week, turn of the year and turn of the month effects...

In this paper, we investigate the intraday behavior of the General index of the Athens Stock Exchange. We find evidence for a U shape pattern for both returns and volatility. Returns are positive at the opening and closing phases of a trading session, with the pattern being more pronounced in...

Individual investors' demand for trading activity will vary over time according to their availability and desire to trade. Academic research has primarily investigated market wide trading activity, showing low trading activity on Mondays and high activity at the start and end of each day. It...

What is the driving force behind the cyclical behavior of unemployment and vacancies? What is the relation between job-creation incentives of firms and stock market valuations? We answer these questions in a model with time-varying risk, modeled as a small and variable probability of an economic...

Theoretical predictions and empirical results are ambiguous about existence of seasonality in futures markets. This paper examines one prominent seasonality, i.e. the weekend effect in futures markets and presents rational and behavioral reasons for its existence. Specifically, we document a...

There is overwhelming evidence that abnormal equity returns are associated with the turn of the year, the week and the month, as well as with holidays and the time of day. These returns are not unique to one historical period, nor can they be explained by considerations of risk or value.Tax-loss...

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...