Market Conditions and Calendar Anomalies in Japanese Stock Returns
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DOI: 10.1007/s10690-018-9263-4
Abstract: This study revisits calendar anomalies in Japanese stock returns to examine whether they can be explained by market conditions. Results of the OLS and GARCH (1,1) regression models show that most of the well-known calendar… read more here.
Keywords: calendar anomalies; stock returns; market; japanese stock ... See more keywords
Calendar Anomalies in Islamic Frontier Markets
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DOI: 10.1177/21582440221097886
Abstract: This study investigates calendar anomalies in eight Islamic frontier markets. Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. The data are categorized… read more here.
Keywords: calendar anomalies; islamic frontier; frontier markets; market ... See more keywords
The calendar anomalies on performance and volatility of stock market: the effects of Ramadan on Karachi Stock Exchange
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DOI: 10.1504/gber.2017.10000917
Abstract: This study attempts to investigate the effects of calendar anomalies (Ramadan effect), a seasonal pattern in the Pakistani equity market. It is believed that the holy month of Ramadan is predicted to effect the behaviour… read more here.
Keywords: calendar anomalies; karachi stock; market; stock exchange ... See more keywords
A New Look at Calendar Anomalies: Multifractality and Day-of-the-Week Effect
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DOI: 10.3390/e24040562
Abstract: Stock markets can become inefficient due to calendar anomalies known as the day-of-the-week effect. Calendar anomalies are well known in the financial literature, but the phenomena remain to be explored in econophysics. This paper uses… read more here.
Keywords: day week; calendar anomalies; day; week ... See more keywords