A Stock Market Anomaly: Day-of-the-week Effects in the Stock Exchanges of the UK and US. PDF Download

Author: Paul William Colaco
Publisher:
ISBN:
Category :
Languages : en
Pages :

View

Book Description

Author: Elroy Dimson
Publisher: CUP Archive
ISBN: 9780521341042
Category : Business & Economics
Languages : en
Pages : 328

View

Book Description

Author: Katerina Lyroudi
Publisher:
ISBN:
Category :
Languages : en
Pages : 19

View

Book Description
This study examines empirically the day of the week effect anomaly in the Athens Stock Exchange (ASE). This phenomenon is observed in many developed and developing markets, according to the existing literature. The results of the most significant studies and the possible explanations of this anomaly are presented briefly in this paper. For the empirical part of the study, we used closing prices of the Composite Index for the period 03/01/1994-30/12/1999 and for the sub periods 03/01/1994-31/12/1996 and 02/01/1997-30/12/1999. In addition, we used closing prices of the FTSE20 Index for the period 25/07/1997-30/12/1999. Our results indicated that the day of the week effect is strongly observed in the Greek Stock market during the second sub period. However, it is in a different form than the one observed in the other developed capital markets since the negative returns occur on Thursdays instead of Mondays or Tuesdays as it has been observed in most of the other markets.

Author: W. T. Ziemba
Publisher: World Scientific
ISBN: 9814405450
Category : Business & Economics
Languages : en
Pages : 607

View

Book Description
This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk' arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month. January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating in the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include some of these as well as presidential election, factor models based on fundamental anomalies and other effects. The ideas have been used successfully by the author in personal and managed accounts and hedge funds. Book jacket.

Author: William T Ziemba
Publisher: World Scientific
ISBN: 9814405477
Category : Business & Economics
Languages : en
Pages : 607

View

Book Description
This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.

Author: Jörg Prokop
Publisher:
ISBN:
Category :
Languages : en
Pages : 26

View

Book Description
This paper studies the development of the day-of-the-week effect in German and US stock market returns over the past decades. Using an OLS regression approach, we analyse four major German stock market indices for abnormal returns on each trading day of the week, with the longest observation period ranging from 2007 back to the mid-1960s. Moreover, as prior studies indicate the existence of a relationship between the magnitude of the day-of-the-week anomaly and the time of the month at which it occurs, we also analyse the indices' return behaviour categorised by week of the month. The results are compared to those of prior studies, as well as to our own findings for a sample covering the US stock market. We find that for both markets, the leading equity indices, DAX and SP500, exhibit a strong Monday effect during the older sample periods, which is fading over time, reversing during the 1990s, and vanishing after the year 2000. However, regarding smaller stock market indices, our results for the German and for the US data differ substantially, indicating that there is no general parallel market behaviour with respect to this specific return anomaly. Finally, with respect to the more recent sample periods, none of the daily return anomalies observable between the 1960s and the 1980s seem to have persisted, suggesting an increase in informational efficiency of the respective markets over time.

Author: Sedeaq Nassar
Publisher:
ISBN:
Category :
Languages : en
Pages : 10

View

Book Description
This study examines the presence of one of the prominent anomalies which is the day of the week effect anomaly in five of Arab stock exchanges which are (Qatar, Amman, Palestine, Egypt, and Bahrain stock exchanges) cover the period from May 2010 to April 2014. By using one-way analysis of variance (ANOVA) analysis and Post Hoc Tests, the study indicates that there is no existence of the day of the week effect in each of (Qatar, Amman, Egypt, and Bahrain stock exchange) while it is presence in Palestine stock exchange where the lowest return is in Sunday (the first trading day of the week) and the highest return is in Tuesday.

Author: Dimitris Kenourgios
Publisher:
ISBN:
Category :
Languages : en
Pages : 14

View

Book Description
This paper investigates the day of the week effect in the Athens Stock Exchange (ASE) General Index over a ten year period divided into two subperiods: 1995-2000 and 2001-2004. Five major indices are also considered: Banking, Insurance, and Miscellaneous for the first subperiod, and FTSE-20 and FTSE-40 for the second subperiod. Using a conditional variance framework, which extends previous work on the Greek stock market, we test for possible existence of day of the week variation in both return and volatility equations. When using the GARCH (1,1) specification only for the return equation and the Modified-GARCH (1,1) specification for both the return and volatility equations, findings indicate that the day of the week effect is present for the examined indices of the emerging ASE over the period 1995-2000. However, this stock market anomaly seems to loose its strength and significance in the ASE over the period 2001-2004, which might be due to the Greek entry to the Euro-Zone and the market upgrade to the developed.

Author: Wing-Keung Wong
Publisher: Mdpi AG
ISBN: 9783036530802
Category : Business & Economics
Languages : en
Pages : 232

View

Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Author: Mehmet F. Dicle
Publisher:
ISBN:
Category :
Languages : en
Pages : 27

View

Book Description
Market anomalies are reported for developed markets as well as for emerging markets. While day of the week effect is the most reported anomaly, it is also the most persistent one. We employ AR-GARCH-M model to estimate the day of the week effect for all of the Istanbul Stock Exchange indexes for the period starting from 1987 until the end of 2005. We find statistically significant day of the week effect for Mondays (with negative returns), for Thursdays (with positive returns) and for Fridays (with positive returns). We model each index differently in terms of AR and GARCH-M orders, which increases the efficiency of our estimation significantly. We also employ difference-in-mean and difference-in-variation tests to confirm our results.