An extended list of calendar anomalies in the context of the efficient market hypothesis

Abstract

The efficient market hypothesis is commonly tested mainly with regard to capital markets, but it has also been applied to currency and commodity markets. Although the theory has been used to confirm that different markets vary in their effectiveness, certain cyclical anomalies can be observed in these markets. Particularly noteworthy are calendar anomalies, which can be used to develop investment methods and procedures. In addition to commonly known anomalies, such as the January or the December Effect, or short-term ones, like the Friday or Monday Effect, there are many others that are largely unknown in Poland, such as those related to the Presidential Election Cycle in the USA or very short-lived ones, associated with individual hours of investing in a trading session. The aim of the article is to present a possibly complete list of calendar anomalies recognized in foreign capital markets, but largely unknown in Poland, such as short-lived anomalies and exotic ones (e.g. related to phases of the moon).