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...

This study identifies day-of-the-week effects in business surveys using monthly data from the ifo Institute. The odds are higher that companies are more likely to exhibit more pessimistic business expectations for the upcoming months on Mondays and more optimistic expectations at the end of the...

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...

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...

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...

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...

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...

We revisit the tax-loss selling hypothesis as an explanation of the January effect. We expand on prior empirical evidence from municipal bond closed-end funds (CEFs) by extending the sample period by 19 years and adding exchange-traded funds (ETFs). Our sample covers the introduction and rapid...

Der Sammelband enthält überarbeitete Fassungen von zwei herausragenden Master-Abschlussarbeiten, die am Fachbereich Wirtschaftswissenschaften der Hochschule Düsseldorf eingereicht wurden. Obgleich durch die Bearbeitungszeit von 12 Wochen limitiert, enthalten die Arbeiten wertvolle...

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...

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....

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...

Some calendar anomalies could have different characteristics during quiet and turbulent times. This paper approaches the behavior of day-of-the-week (DOW) effect on the Romanian foreign exchange market for three periods: January 2010 - December 2014, January 2015 - December 2019 and January 2020...

We examine the turn-of-the-month (TOM) effect in the Korean stock market, a representative emerging market in Asia. The returns show that the TOM effect is statistically significant and is not due to size or turn-of-the-year, turn-of-the-quarter, or index rebalancing effects. Although extant...

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...

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...

Der Sammelband enthält überarbeitete Fassungen von zwei herausragenden Master-Abschlussarbeiten, die am Fachbereich Wirtschaftswissenschaften der Hochschule Düsseldorf eingereicht wurden. Obgleich durch die Bearbeitungszeit von 12 Wochen limitiert, enthalten die Arbeiten wertvolle...

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...

In this paper, we examine the impact of investor structure on return seasonality driven by institutional investors’ seasonal trading in China’s stock markets. Our identification of investor structure is based on the unique twin market setting in China, in which shares with the same firm...

The turn-of-the-month (TOM) effect is observed as one of the seasonalities in many markets. The author examines the TOM effect in the KOSDAQ market and finds that the effect is significant. The TOM effect in the KOSDAQ market is not due to size, turn-of-the-year, turn-of-the-quarter or index...