Search Results - subject_exact:"Calendar effect"

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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

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 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

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

Are frontier African markets inefficient or adaptive? : application of rolling GARCH models

Obalade, Adefemi Alamu; Tshutsha, Akona; Mvuyana, Lungelo; … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013350512

Seasonal adjustment of daily data with CAMPLET

Abeln, Barend; Jacobs, Jan; Mulder, Machiel - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013171405

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

The "autumn effect" in the gold market : does it contradict the Adaptive Market Hypothesis?

Potrykus, Marcin; Augustynowicz, Urszula - 2024

The present study aims to verify the autumn effect in the gold market, first presented 10 years ago by Dirk Baur in the paper "The autumn effect of gold" and to investigate the calendar effects occurring for other precious metals. This empirical research is presented in a way to place the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130577

COVID-19 and seasonality in monthly returns : a firm level analysis of PSX

Naz, Farah; Lutfullah, Tooba; Zahra, Kanwal - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015080824

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

Nowcasting from cross-sectionally dependent panels

Fosten, Jack; Nandi, Shaoni - 2023

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

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

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

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

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

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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

What have we learned from 20 million historical US stock data?

Ardakani, Mostafa K. - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014484636

The adaptive market hypothesis and the day-of-the-week effect in African stock markets : the Markov Switching Model

Obalade, Adefemi Alamu; Muzindutsi, Paul-Francois - 2019

In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day-of-the-week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being in a bull or bear regime for each market....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012120266

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

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

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

Further evidence on calendar anomalies

Hsu, Yuan-Teng; Koedijk, Kees; Liu, Hung-Chun; Wang, … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013163577

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Further Evidence on Calendar Anomalies

Hsu, Yuan-Teng; Koedijk, Kees; Liu, Hung-Chun; Wang, … - 2021

Book / Working Paper

A new perspective of the day-of-the-week effect on Bitcoin returns : evidence from an event study hourly approach

Miralles-Quirós, José Luis; Miralles-Quirós, María … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013449330

Islamic Calendar Anomalies on the Karachi Stock Exchange

Syed, Fatima; Khan, Naimat U. - 2022

Anomalies are exceptions found in trading by the investors with the help of knowledge or information provided before an event that contradicts Efficient Market Hypothesis (EMH). Various anomalies exist in the market such as day of the week effect, month of the year effect, half month effect and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013406556

One Country, Two Calendars : An Examination of China's A-Share Stock Market

Liang, Xiaobo; Liu, Qianqiu; Zebedee, Allan A. - 2022

In this paper, we examine the January effect in China’s A-share stock market from January 1995 to December 2019 using both the solar and lunar calendars. We find consistent with the existing literature the absence of a traditional January effect in the solar calendar; however, we observe a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013492215

Is Bitcoin really a currency? : a viewpoint of a stochastic volatility model

Kunimoto, Noriyuki; Kakamu, Kazuhiko - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013494160

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

Volatility and the Day of the Week Effect on Bitcoin Returns

Emikönel, Murat - 2022

Bitcoin emerged as a peer-to-peer electronic cash system with no owner and no central authority. It has increased in popularity over the years due to reasons such as being used as a means of exchange without the need for any intermediary, fast and low cost of transactions. In this process, the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013301028

The turn-of-the-month effect and trading of types of investors

Lee, Yu Kyung; Kim, Ryumi - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013552468

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The Turn-of-The-Month Effect and Trading of Types of Investors

lee, yu; Kim, Ryumi - 2022

Book / Working Paper

Evolution in the Seasonality in Equity Return : Revisiting the Day-Of-The-Week Effect in the US

Snunu, Iyad - 2022

One of the widely discussed issues in the financial literature is the daily seasonality in asset prices. In this study, we shed fresh lights and explore the evolution of weekday seasonality in the US capital market. For this sake, we utilize daily data for the period January 1990 to August 2022....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014235544