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Author: William T Ziemba Publisher: World Scientific ISBN: 9814405477 Category : Business & Economics Languages : en Pages : 607
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: George Drogalas Publisher: ISBN: Category : Languages : en Pages : 15
Book Description
Day of the week effect phenomenon is one of the most important calendar anomalies that have been observed in many stock markets in all over the world. This specific phenomenon has been observed and studied by many researchers for many years and as a consequence there are a lot of different results. The present paper aims at examining in a theory level the meaning, the boundaries and the effects of this phenomenon. First of all, we make a short introduction about the day of the week effect phenomenon in general. After that, we present two significant issues: on the one hand the distinction between perfect and imperfect markets, on the other hand the analysis of the efficient market hypothesis. Then we analyze some of the most important calendar anomalies, which have been observed in many stock markets in all over the world and its possible explanations. Finally we analyze more analytically, the day of the week effect phenomenon and its possible explanations.
Author: Marc Häfliger Publisher: ISBN: Category : Languages : en Pages :
Book Description
This master thesis examines the day-of-the-week effect. The day-of-the-week effect is a stock market anomaly which challenges the Efficient Market Hypothesis, because in an efficient market the returns should be evenly distributed across the weekdays. This comprehensive analysis looks at the day-of-the-week effect from three different points of view: international evidence, size effect and market environment. To test the significance of the results, the Kruskal-Wallis test was applied. The analysis of 26 stock market indices from 1990 to 2011 and two sub-periods (1990-2000 and 2001-2011) gave evidence that the effect still existed in some countries, but diminished over time and was stronger for emerging stock markets. A significant day-of-the-week effect for all three periods analyzed was detected in Chile, Indonesia, Malaysia, the Philippines, Thailand and Turkey. The test of the size effect showed that the day-of-the-week effect was stronger for indices with lower capitalized stocks. In addition, this study found evidence that the day-of-the-week effect was more pronounced during times of low implied volatility, however, the results were not significant.
Author: William T Ziemba Publisher: World Scientific ISBN: 9814405477 Category : Business & Economics Languages : en Pages : 607
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: Hakan Berument Publisher: ISBN: Category : Languages : en Pages :
Book Description
This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different.
Author: Hakan Berument Publisher: ISBN: Category : Languages : en Pages :
Book Description
This study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is present in both return and volatility equations. The highest volatility occurs on Mondays for Germany and Japan, on Fridays for Canada and the United States, and on Thursdays for the United Kingdom. For most of the markets, the days with the highest volatility also coincide with that market's lowest trading volume. Thus, this paper supports the argument made by Foster and Viswanathan [Rev. Financ. Stud. 3 (1990) 593] that high volatility would be accompanied by low trading volume because of the unwillingness of liquidity traders to trade in periods of high stock market volatility.
Author: Robert A. Ariel Publisher: Palala Press ISBN: 9781379114314 Category : History Languages : en Pages : 52
Book Description
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Mehmet F. Dicle Publisher: ISBN: Category : Languages : en Pages : 22
Book Description
The aim of this study is to determine whether the DOW effect still exists, and to evaluate empirically the explanations of the DOW effect for international equity markets. Evaluating 51 markets in 33 countries for the period between January, 2000 and December, 2007, reveals that the DOW effect persists for a significant proportion of equity markets. Evaluating open-to-close returns, liquidity, size effect and possible spill-over effects, the DOW effect can be explained for almost of all the exchanges. Individual stock analysis, covering 37,631 stocks traded in 51 equity markets shows that a DOW effect in returns exists for a statistically significant proportion of individual stocks in almost all of the markets in the study. Even markets without a market-level DOW effect contain a surprisingly large proportion of stocks with individual-level DOW effects. Interestingly, this proportion is only marginally lower than that which is found in markets with a market-level DOW effect.
Author: Dan Galai Publisher: ISBN: Category : Languages : en Pages : 26
Book Description
Evidence from equity markets worldwide indicates that the Day-of-the-Week anomaly appears to fade from the first moment of the distribution of daily returns. We report highly significant pair-wise weekend effects in high moments when comparing the first and last trading days of the week. The second moment alone appears to distinguish the return distribution of the first trading day from all others. A probable explanation of the phenomena appears to be information dissemination: corporate announcements released after closing of the last trading day of the week spill-over to the opening of the first trading day, increasing its variability and carrying the closing sign.
Author: Shlomo Zilca Publisher: ISBN: Category : Languages : en Pages : 22
Book Description
We study the day of the week effect across size deciles and in three 18-year subperiods. The results show a decline in the magnitude of the day-of-the-week effect, but the effect did not vanish. We find that the decline in the magnitude of the effect is larger in the larger market capitalization deciles. We also find substantial evidence that the day-of-the-week effect is characterized by a pattern of monotonically improving returns during the week, but the pattern is interrupted as market capitalization increases. The behavioral explanation for the day of the week effect, based on monotonically improving mood throughout the week, is therefore a stronger candidate in smaller market capitalization deciles.
Author: William T Ziemba
Author: George Drogalas
Author: Marc Häfliger
Author: William T Ziemba
Author: Hakan Berument
Author: Hakan Berument
Author: Robert A. Ariel
Author: Michel Dubois
Author: Mehmet F. Dicle
Author: Dan Galai
Author: Shlomo Zilca