In this paper, we conduct a comprehensive investigation of calendar anomaly evolution in the US stock market (given by the Dow Jones Industrial Average) for the 1900 to 2018 period. We employ various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis and...

In this paper, we conduct a comprehensive investigation of the Halloween effect evolution in the US stock market over its entire history. We employ various statistical techniques (average analysis, Student's t-test, ANOVA, and the Mann-Whitney test) and the trading simulation approach to analyse...

This paper proposes a latent factor approach based on a state-space framework in order to identify which factor, if any, dominates price fluctuations in the Chinese stock markets. We also illustrate the connection of such stock price decomposition with several general equilibrium asset pricing...