Calendar Anomalies Research Articles

Calendar anomalies and market volatility in selected cryptocurrencies

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 that the Monday effect in the daily analysis generated a positive and significant coefficient for all five currencies and this anomaly is present in the cryptocurrency market. However, for all currencies, the December returns showed a significantly higher pattern as compared to January. This tendency indicates some prospects of lucrative trading. However, the evidence of negative Monday returns in this period is somewhat consistent with the relevant empirical literature. The study has some implications for investors, in that they can formulate strategies to produce abnormal returns. Investors and market analysts can form diverse portfolios by combining various cryptocurrencies using the intraday price statistics, and can devise strategies based on the intraday patterns using a similar analysis as that in this study.

Testing Daily Seasonality Using Value Premium Portfolios Returns: The Case of Pakistan

Calendar anomalies are a well-documented phenomena in financial markets. The current study scrutinized calendar anomalies in the context of the local market by analyzing the Pakistan stock exchange. The data from the listed companies of PSX have been considered to test for seasonality in value premium portfolios using OLS regression, general GARCH (1,1), TGARCH, GJR-GARCH, PGARCH, and EGARCH models. The findings suggest that return seasonality among different value premium portfolios explains the economically and statistically significant magnitude of small firm effect. The current research also analyzed average stock returns with cross-sectional variation. It confirmed the relationship of size with daily seasonality. Furthermore, it also determined that a weak form of efficiency exists in the Pakistani stock market. Thus, the findings indicate that the investors are able to earn abnormal returns on their investments with the help of timing strategies.

Pre & Post-COVID Analysis of Calendar Anomaly and Behavior of Returns in Emerging Markets of ASIA

This research investigates the day of the month’s effect on stock returns in emerging markets of Pakistan, India, and China in Pre and Post- Covid scenarios. The efficient market hypothesis is a dynamic subject matter that leads to investigating price randomness in the changing economic turmoil and recovery periods. For this purpose, daily data has been taken from yahoo finance for May 2017 to May 2022 for Pakistan, India, and China. The results revealed that in a Pre-COVID period, the highest return was found in November and the lowest returns were found in February for Pakistan, and highest average returns were found in July, and the lowest mean return was found in February; however, the highest mean returns found in January for China and lowest return was found in October. However, the volatility in return was highest in October for Pakistan and India, but for China, the results revealed the highest volatility in February. Post-COVID, the highest returns were found in September for Pakistan & China but for India in November. However, the lowest returns were found in March for Pakistan and India, but for China lowest returns were reported in December. Volatility remained high in December, March, and February for Pakistan, India, and China, respectively. It is concluded that a varying pattern of mean and variance exists in both regimes, and calendar anomaly prevails. The practical implication of this study is to provide an inside for arbitragers, hedgers, and market players on how to benefit from diversification during a crisis.

İSLAMİ HİSSE SENEDİ PİYASALARINDA TAKVİM ANOMALİLERİNİN İNCELENMESİ: HAFTANIN GÜNÜ ETKİSİ

The aim of this study is to investigate the day-of-the-week effect of calendar anomalies on the All Country World Index (ACWI), which represents the global capital index from Morgan Stanley Capital International (MSCI) Islamic indices. For this purpose, MSCI Islamic ACWI index was analyzed by EGARCH method developed by Nelson (1991), one of the conditional heteroscedasticity models. As a result of the study, the day-of-the-week effect in the MSCI Islamic ACWI index was found only on Monday. This result also shows that there is no effect of Friday, which is considered to be more important for Muslims. Thus, it can be considered that this market deviates from the theory of Efficient Markets Hypothesis (EMH), and it is possible to obtain an extraordinary return in this market with appropriate investment timing.

Holiday Effect and Stock Returns: Evidence from Stock Exchanges of Gulf Cooperation Council

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 Co-operation Council, namely, Kuwait, Bahrain, Qatar, Oman, Saudi Arabia, and the United Arab Emirates for the period between January 2009 and December 2020. The national holidays that are considered for the study are New Year’s Day, Mawlid al-Nabi (Prophet birthday), Eid-Al-Isra Wal Miraj, Eid-Al-Fitr, National Day, Hegire Day (Islamic New Year), and Christmas Day. The study employs descriptive statistics and the non-parametric Mann–Whitney U test. The findings of the study disclosed the significant pre-holiday mean returns for ADSMI, BHSEASI, DFMGI, MSM30, TASI and FTDKUW, whereas significant post-holiday mean returns were found only in MSM30 and TASI. The study provided evidence for the presence of a calendar anomaly like holiday effects in the major indices of the Gulf Co-operation Council and proved the market was not in an efficient form during the study period.

Calendar Anomalies and the Islamic Stock Market Returns: Evidences on day of the week effect

The purpose of this study is to investigate the impacts of calendar anomalies specifically on day of the week effect (DOW) on 10 Islamic stock markets’ returns such as Dow Jones Islamic Market (DJIM), Saudi Arabia, Malaysia, United Arab Emirates (UAE), Kuwait, Qatar, Turkey, Indonesia, Bahrain, Pakistan—for 20 years from 25 September 2000 to 24 September 2020. The methods of study using Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) and Exponential Generalized AutoRegressive Conditional Heteroskedasticity (EGARCH) as a robustness test. The findings revealed that calendar anomalies had considerable impacts on returns for the following Islamic stock markets: DJIM, Indonesia, and Pakistan.

Dynamic analysis of calendar anomalies in cryptocurrency markets: evidences of adaptive market hypothesis

ABSTRACT This paper analyses the effects known as the day of the week and the month of the year in the cryptocurrency markets. The closing values of eleven cryptocurrencies have been considered. The study employs dummy variable regression techniques, ANOVA and Friedman tests for assessing two calendar anomalies, the day-of-week and month-of-year effects. To test these calendar effects, we have applied both full sample and rolling-regression techniques for two lengths of the rolling sample intervals. Furthermore, we have examined the existence of long memory in day-of-the- week and month-of-the-year cryptocurrency returns. The results provide evidence about the existence of day-of-the-week and month-of-the-year effects in cryptocurrency returns, in particular, on Thursdays and in November. In addition, it should be added that the general results of the current study show that the calendar effect in the cryptocurrency market is dynamic rather than static, which indicates that the calendar effect is a phenomenon that varies over time.

Calendar anomalies in commodity markets for natural resources: Evidence from India

The study investigates the existence of wide range of fifteen calendar anomalies in daily log returns of seven metal futures (aluminium, copper, gold, lead, nickel, silver, zinc) and two energy-based futures (crude oil and natural gas) quoted on Multi-Commodity Exchange (MCX) of India. Using daily closing prices of all selected commodity futures over the period from 2008 to 2018, evidences have been found for the presence of calendar anomalies in commodity market. However, we have also found disappearance of calendar anomalies in the recent years. The results of the study have important implications for the various market participants in commodity markets.

Examining the adaptive market hypothesis with calendar effects: International evidence and the impact of COVID-19

This study examines whether the adaptive market hypothesis (AMH) explains calendar anomalies across 16 headline stock market indices in 10 markets. We employ the rolling window analysis and estimate a T-GARCH (1,1) for a long time series that includes two years coinciding with the COVID-19 pandemic. Overall, the empirical results reveal that calendar day anomalies across our sample markets exhibit time-varying behavior, evolving through patterns that shift markets between periods of efficiency and inefficiency, thereby providing support for the AMH framework. The results also highlight the calendar anomalies that reappeared after the onset of the COVID-19 pandemic across international markets.

Capturing the month of the year effect in the Indian stock market using GARCH models

Purpose In the research of stock market efficiency, it is argued that the stock market moves randomly and absorbs all the available information. As a result, it is quite impossible to make predictions about the possible future movement by the investors. But literatures have detected certain calendar anomalies where a day(s) in a week or month(s) in a year or a particular event in a year becomes conducive for investors to earn more than the normal. Hence, the purpose of this study is to find out the month of the year effect in the Indian stock market. Design/methodology/approach In this study, daily time series data of Sensex and Nifty from 1996 to 2021 is used. The study uses month dummies to capture the effect. Different variants of generalised autoregressive conditional heteroskedasticity (GARCH) models, both symmetric and asymmetric, are used in the study to model the conditional volatility in the presence month effect. Findings This study found the September effect in the return series of both the stock market. Apart from that, asymmetric GARCH models are found to be the best fit model to estimate conditional volatility. Originality/value This study is an endeavour to study month of the year effect in the Indian context. This research will provide valuable insight for studying the different calendar anomalies.

Herd behaviour in an emerging market: an evidence of calendar and size effects

PurposeThis study aims to examine investors’ herd behaviour for various calendar events and size-based stock portfolios in Pakistan. The authors consider three calendar effects, crisis (COVID-19 and financial crisis 2018–19), announcement of political news and popular calendar anomalies (month-of-the-year and day-of-the-week), and investigate the impact of stock size on calendar effect in terms of investors’ herd behaviour.Design/methodology/approachThe study uses non-linear specification to capture herd behaviour using firm-level daily data for 496 stocks listed on Pakistan Stock Exchange over the period 2001–2020.FindingsThe results indicate herd formation during periods of COVID-19, financial crisis, political news announcements and January (month-of-the-year). The authors also observe significant herding for the biggest and smallest size stocks over complete period. However, the authors find more pronounced herding in big stocks during January as compared to the more noticeable herding in small stocks over complete period. The findings suggest that herding in small stocks is not the main cause of January herding and hint on the prevalence of significant institutional herding during January.Practical implicationsThe stock prices destabilize because of the mimicking behaviour during crisis periods, days of political announcements and month of January. Implementation of insider trading laws and transparent information environment can help in reducing these effects and increasing market efficiency.Originality/valueThe authors consider the recent COVID period in our analysis. In addition, we provide new evidence on the possible impact of stock size on calendar effect in terms of herd behaviour, which, to the best of the authors’ knowledge, has not yet been documented in literature.

Test of Calendar Anomalies in Derivative Market of Pakistan in Context of Covid Environment

The aim of this study is to analyze impact and existence of three Calendar Anomalies i.e., day-of-the-week, month-of-the-year, and turn-of-the-month on the commodities i.e., gold, silver, natural gas, oil, and platinum that are traded on the Pakistan Mercantile Exchange (PMEX). The impact of calendar anomalies is investigated separately during and before COVID period. The simple OLS regression along with the three advanced models of Autoregressive Conditional Heteroskedasticity i.e., GARCH (1,1), TGARCH and EGARCH models are used in this research to study the calendar anomalies impact. The significant effect of day-of-the-week anomaly is observed in oil and silver commodity. Month-of-the-year anomaly exists in all commodities except oil. Whereas, significant turn-of-the-month effect is present in all the selected top traded commodities. This study is limited to different periods due to the newly launch commodities of PMEX. PMEX started daily data of silver, platinum, and natural gas from the year 2017, therefore only four commodities have been included in the current research. Keywords: Calendar Anomalies, Day-of-the-Week Anomaly, Month-of-the-Year Anomaly, Turn-of-the-Year Anomaly, COVID.

Presence of Calendar Anomalies in Indian Commodity Markets: Empirical Evidence on Nkrishi and MCX-Agri

Presence of Calendar Anomalies in Indian Commodity Markets: Empirical Evidence on Nkrishi and MCX-Agri

Irregularities in forward-looking volatility

We investigate the behavior of 30-day forward-looking volatility derived from options on market indices, commodities and individual active stocks using a wide range of seasonal and calendar anomalies documented empirically in the finance literature. Our findings indicate the consistent and systematic absence of irregularities in the majority of the examined effects because, in general, the volatility indices remain unaffected by seasonal and calendar effects. However, we detect robust and significant weekday seasonality, within-the-month, turn-of-the-month, pre-holiday, and intra-quarter effects. For investors interested in buying or selling volatility products, our findings may be useful in timing their transactions.

Calendar anomalies in passion investments: Price patterns and profit opportunities

This study provides the first empirical evidence on calendar anomalies in various passion investment markets for diamonds, fine wines, stamps, and fine arts. With several statistical techniques [e.g., average analysis, Student’s t-test, analysis of variance (ANOVA), Kruskal–Wallis, and Mann–Whitney tests] and a trading simulation model, the results show that the passion investment markets depend on the calendar anomalies, which challenges the efficient market hypothesis. However, calendar anomalies are not homogeneous across various passion markets. In general, Day-of-the-Week and Month-of-the-Year Effects are the most commonly detected calendar anomalies, and some prices generally follow the Halloween Effect. The markets for wine, diamonds, and art follow a seasonality. However, the Turn-of-the-Year and Turn-of-the-Month Effects are primarily absent in the passion markets. A simulation analysis of profitable trading strategies provided practical implications for exploiting opportunities arising from the calendar anomalies in the passion investment markets.

A New Look at Calendar Anomalies: Multifractality and Day-of-the-Week Effect.

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 multifractal analysis to evaluate if the temporal dynamics of market returns also exhibit calendar anomalies such as day-of-the-week effects. We apply multifractal detrended fluctuation analysis (MF-DFA) to the daily returns of market indices worldwide for each day of the week. Our results indicate that distinct multifractal properties characterize individual days of the week. Monday returns tend to exhibit more persistent behavior and richer multifractal structures than other day-resolved returns. Shuffling the series reveals that multifractality arises from a broad probability density function and long-term correlations. The time-dependent multifractal analysis shows that the Monday returns’ multifractal spectra are much wider than those of other days. This behavior is especially persistent during financial crises. The presence of day-of-the-week effects in multifractal dynamics of market returns motivates further research on calendar anomalies for distinct market regimes.

Calendar Anomalies in Islamic Frontier Markets

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 with respect to day-of-the-week and month-of-the-year according to both the Gregorian and Islamic calendars. We control for time-varying systematic risk using Morgan Stanley Capital International (MSCI) index as the proxy for the market portfolio and apply Bonferroni correction to reduce the occurrence of false-positive results. We find little support for the proposition that any of the Islamic calendar months generate abnormal returns, bar a slight negative abnormal return during the holy month of Rajab for Kuwait. We find evidence of a small negative Monday effect for the stock markets of Bangladesh and Pakistan and a small positive January effect for the stock market of Morocco. The results support weak-form market efficiency, suggesting that investors in frontier stock markets should not expect to outperform the market on a consistent basis when trading on particular days of the week or months of the year according to the Islamic or Gregorian calendar.

In December days are shorter but loans are cheaper

AbstractThis study analyzes the month‐of‐the‐year effect on lending decisions. Using data from a large US peer‐to‐peer lender, we perform regressions of loan acceptance and loan rate on month dummy variables. We find evidence of a month‐of‐the‐year effect on loan acceptance and loan pricing. December is the best month to ask for a loan, with the highest chance of acceptance and the lowest rate. We test the potential explanations of the calendar anomalies and find some support for trade loading, such that granted loans might be inflated at the end of the quarter to hit quarterly targets.

IS THERE ANY DAY-OF-THE-WEEK EFFECT AMID THE COVID-19 PANIC IN THE MALAYSIAN STOCK MARKET?

Using daily data from January 2, 2020 to May 31, 2021, this study empirically examines the day-of-the-week effect in the Malaysian stock market during the coronavirus disease 2019 (COVID-19) outbreak. We also test the impact of the lockdown policy and market sentiment index on the stock market. We resort to ordinary least square regression with generalized autoregressive conditional heteroscedasticity specification. The finding shows that the day-of-the-week effect persisted during the COVID-19 outbreak. Monday’s returns on all selected indices were negative except for the access, certainty, efficiency market. The positive impact of the lockdown policy on Bursa Malaysia is identified after accounting for the day-of-the-week effect. This is due to the market expectation that the lockdown policy can stop the spread of COVID-19, which will lead to recovery. Further analysis uncovers that smaller capitalization stocks benefited more from the government lockdown policy announcements, which come with various stimulus packages that are more favorable to smaller companies. We also find that the United States market sentiment index negatively impacts all indices. This study unlocks and validates the contribution on calendar anomalies’ response during the COVID-19 period for Malaysia. The investment opportunity is available even during the pandemic era, leading to sustainable profit in the long term.

Calendar Anomalies in Commodity Markets for Natural Resources: Evidence from India

Calendar Anomalies in Commodity Markets for Natural Resources: Evidence from India