Search Results - subject_exact:"Calendar anomalies"

Calendar anomalies in African stock markets : does the effect of covid-19 pandemic matter?

Alloul, Fouzia; Ferrouhi, El Mehdi - 2025

The Covid-19 pandemic profoundly disrupted global economies and financial systems, alte-ring investor behavior and challenging traditional market dynamics. Among these disruptions, calendar anomalies, which challenge the efficient market hypothesis, offer a unique lens to assess market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015434454

Temporal focal points and economic outcomes : evidence from U.S. mortgage lending

Giacoletti, Marco; Heimer, Rawley Z.; Yu, Edison - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650542

Empirical evidence of the holiday effect on the Indian stock market

Kumar, Gaurav; Bhartendu Singh - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015677425

The Adaptive dynamics of the Halloween effect : evidence from a 120-Year sample from a small European market

Lobão, Júlio; Costa, Ana C. - 2023

The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013545896

Mean-reversion risk and the random walk hypothesis

Jones, C. Kenneth - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014431296

Calendar anomalies and market volatility in selected cryptocurrencies

Naz, Farah; Sayyed, Madeeha; Rehman, Ramiz Ur; Naseem, … - 2023

This study examines the day-of-the-week and January effects on the top performing cryptocurrencies with the highest capitalization during the sample period. The study uses the daily closing returns of selected currencies for 7 August 2015 to 20 August 2020. The day-of-the-week results indicate...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014466532

Day-of-the-week effect : petroleum and petroleum products

Meek, Andrew C.; Hoelscher, Seth A. - 2023

This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014500847

Calendar anomalies and dividend announcements effects on the stock markets returns

Hasan, Fakhrul; Al-Najjar, Basil - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015194612

Calendar effects on returns, volatility and higher moments : evidence from crypto markets

Algieri, Bernardina; Lawuobahsumo, Kokulo K.; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015435554

Earnings extrapolation and predictable stock market returns

Guo, Hongye - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015458794

Union budget 2025-2026

Sitharaman, Nirmala - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619559

Analysis of Union Budget 2025-26

Agarwal, Yamini; Agarwal, Aman - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619560

Is Diwali returns sweet for Indian automobile sector? : a study on holiday effect in NSE and BSE Auto Index

Surya, A.; Kanniammal, K. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619565

Holiday effect and stock returns : evidence from stock exchanges of gulf cooperation council

Pinto, Prakash; B., Shakila; Hawaldar, Iqbal Thonse; … - 2022

One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges of the Gulf...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013462308

Do online attention and sentiment affect cryptocurrencies' correlations?

Aslanidis, Nektarios; Bariviera, Aurelio Fernández; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015062450

Revisiting seasonality in cryptocurrencies

Müller, Lukas - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014531767

Sector-specific calendar anomalies in the US equity market

Valadkhani, Abbas; O'Mahony, Barry - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015147816

Day-of-the-week effect : a meta-analysis

Grebe, Leonard; Schiereck, Dirk - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015177245

A riskmas carol

Foglia, Matteo; Angelini, Eliana - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014634281

An investigation of month of year effect in Indian stock markets

Chawla, Vanitha; Shastri, Manjula; Tripathi, Gireesh Chandra - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015072178

Day-of-the-week and weekend effects on stock market returns : an investigation through review of literature

Kumar, Gaurav; Bhartendu Singh - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014520520

Calendar effects on cryptocurrencies : not so straightforward

Konpanas Dumrongwong - 2021

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012813451

Sell in May and Go Away in the Equity Index Futures Markets, 1993-2019

Dzhabarov, Constantine; Ziemba, William T. - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012213450

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Sell in May and go away in the equity index futures markets, 1993-2019

Dzhabarov, Constantine; Ziemba, William T. - 2020

Book / Working Paper

How do calendar anomalies affect an investment choice? : a proposal of an analytic hierarchy process model

Rossi, Matteo; Marcarelli, Gabriella; Ferraro, Antonella; … - 2020

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012151328

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - 2020

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012237439

Calendar anomalies and market volatility in selected cryptocurrencies

Naz, Farah; Sayyed, Madeeha; Rehman, Ramiz-Ur-; Naseem, … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014527385

Day-of-the-week effect: Petroleum and petroleum products

Meek, Andrew C.; Hoelscher, Seth A. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015074702

Nowcasting from cross-sectionally dependent panels

Fosten, Jack; Nandi, Shaoni - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014432199

Work, leisure, and the Monday Blue : does culture matter?

Petsas, Iordanis; Li, Fengyun; Cai, Jinghan - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014448379

Adding dummy variables : a simple approach for improved volatility forecasting in electricity market

Gong, Xu; Lin, Boqiang - 2023

This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity volatility based on existing HAR models. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014315942

The day-of-the-week anomaly in light of the COVID-19 pandemic on an example of selected OMX indices

Bolek, Monika; Gniadkowska‑Szymańska, Agata; … - 2023

This paper analyzes market efficiency (EMH) with the day-of-the-week effect and the changes that might appear after the outbreak of the COVID-19 pandemic, based on the example of the OMX Exchange and its indices. Before the pandemic, only the OMX Baltic All‑share index was efficient; during...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014339831

Artificial neural network analysis of the day of the week anomaly in cryptocurrencies

Tosunoğlu, Nuray; Abacı, Hilal; Ateş, Gizem; Akkaya, … - 2023

Anomalies, which are incompatible with the efficient market hypothesis and mean a deviation from normality, have attracted the attention of both financial investors and researchers. A salient research topic is the existence of anomalies in cryptocurrencies, which have a different financial...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014289131

From "I don’t like Mondays" to "Friday I'm in love" : day-of-the-week effects in business surveys

Hennrich, Jonas; Wohlrabe, Klaus - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556225

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From "I Don't Like Mondays" to "Friday I'm in Love" : day-of-the-week effects in business surveys

Hennrich, Jonas; Wohlrabe, Klaus - 2023

Book / Working Paper

Tax-loss selling and the January effect revisited : evidence from municipal bond closed-end funds and exchange-traded funds

Carrion, Allen; Zhang, Jiang - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015166480

Show one more version 1

Tax-Loss Selling and the January Effect Revisited : Evidence From Municipal Bond Closed-end Funds and Exchange-Traded Funds

Carrion, Allen; Zhang, Jiang - 2023

Book / Working Paper

Volatility conditions and the weekend effect of long-short anomalies : evidence from the US stock market

Lin, Wenhui; Normaziah Mohd Nor; Hisham, Mohamad; Min, Feng - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015121050

[Eurostat calendar 2024]

2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015280124

Is the turn of the month an anomaly on which an investment strategy could be based? : evidence from Bitcoin and Ethereum

Vasileiou, Evangelos - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014232299

Day of the week effect in the Indian stock market

Elangovan, Rajesh; Irudayasamy, Francis Gnanasekar; … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014435427

Empirical evidence on calendar anomalies in trading and non-trading day returns in Indian stock market

Tuyekar, Suraj Prakash; Padyala, Sri Ram; Ramesh, … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014583105

Price anomalies in non-fungible token coins

Plastun, Alex; Bouri, Elie; Nekhili, Ramzi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015547085

Day-of-the-week effect on stock market returns, volatility, and skewness

Sevgi, N. Hande; Karan, Mehmet Baha; Berument, Hakan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015547327

The impact of the day of the week on the financial market : an empirical investigation on cryptocurrencies

Arzova, Sabri Burak; Koy, Ayben; Şahin, Bertaç Şakir - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015202661

Detecting anomalies in currency market of BRICS countries : insights into emerging economies

Gadhavi, Mahipal Yasuman - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015199600

Dissecting the lottery-like anomaly : evidence from China

Gu, Ming; Hu, Yi; Xiong, Zhitao - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015393682

Calendar-based clustering of weekly extremes : empirical failure of stochastic models

Lee, Im Hyeon - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562989

Kuwait stock exchange : a re-examination of seasonal anomalies

Alsabah, Humoud; Alsabah, Khaled - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557281

Weekday variations in the Chinese crude oil futures market : unveiling the influence of COVID-19 and EIA shocks

Yue, Tian; Li, Lu-Lu; Wu, Wenfeng - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625564

Calendar anomaly and green investing of India : an empirical examination to improve regulation : 2012-2023

Sharma, Sugandha; Bangur, Ruchi; Jain, Pratima; Bangur, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633122

Drastic econometric failures and theoretical pitfalls in French's method of day-of-the-week anomaly detection

Raeisi Sarkandiz, Mostafa; Ghayekhloo, Sara; Raeisi, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654300

Day-of-the-Week-Effect in stock market of India and USA : an empirical analysis of sectoral indices

Sharma, Dhanraj; Verma, Ruchita; Singh, Heavendeep - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015676368