A Review on the Evolution of Calendar Anomalies

Kumar, Satish

doi:10.1515/sbe-2017-0008

Cited by 8 publications

(4 citation statements)

References 75 publications

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“…Other studies, such as Wong et al (2006), Abdul Karim et al (2012), Chia (2014), Olson et al (2015), Kumar (2017), Öztürk et al (2018), Shanaev and Ghimire (2021), concluded that anomalies decreased over time and that markets begin to become more efficient. Borges (2009) claimed that the anomaly was being affected by data mining bias and argued that there was variation in the national characteristics of different countries, which do not remain the same over time.…”

Section: Literature Reviewmentioning

confidence: 98%

“…Borges (2009) claimed that the anomaly was being affected by data mining bias and argued that there was variation in the national characteristics of different countries, which do not remain the same over time. Kumar (2017) claimed that calendar anomalies were present during the 1980s and 1990s but have substantially decreased in recent times due to the significant advances in information technology which have reduced the cost of obtaining information. Also, over the examination period from 1926 to 2018, a recent study by Shanaev and Ghimire (2021) asserted that many calendar anomalies have disappeared.…”

Section: Literature Reviewmentioning

confidence: 99%

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Calendar Month Effect in Bursa Malaysia: A Comparison between Shariah-Compliant Portfolio and Non-Shariah- Compliant Portfolio

Rohuma

Brijlal

2023

IJEFI

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This research examines whether the return of the Shariah-compliant portfolio (SCP) relative to the non-Shariah-compliant portfolio (NSCP) is subject to any calendar month effect on Bursa Malaysia over 12 years. The non-Shariah-compliant stocks were selected rather than conventional stocks to ensure that all stocks were completely independent since the Shariah-compliant stocks are part of the conventional stocks. A new portfolio (SCP–NSCP) that represented the monthly difference return between the SCP and NSCP was constructed, and by employing the robust standard errors regression, the results indicated that, after applying the Capital Asset Pricing Model (CAPM) with dummy variables, only in June, the return of SCP significantly outperform the return of NSCP. However, the existence of this calendar month anomalies between the SCP and NSCP will raise questions about the efficiency of Bursa Malaysia.

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Section: Literature Reviewmentioning

confidence: 98%

Section: Literature Reviewmentioning

confidence: 99%

Calendar Month Effect in Bursa Malaysia: A Comparison between Shariah-Compliant Portfolio and Non-Shariah- Compliant Portfolio

Rohuma

Brijlal

2023

IJEFI

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“…To gauge this leverage effect, Bollerslev (1986) suggested the GARCH model is another approach to estimate the market return. Several studies have been reviewed in Kumar (2017) and based on the findings, the markets have achieved a higher degree of efficiency during the 1980s and 1990s. Others related studies on calendar effect can be found in Abalala & Sollis 2015, Harshita & Yadav (2019) and Saldanha & Desai (2019).…”

Section: Introductionmentioning

confidence: 99%

Stock Market Anomalies: A Case of Calendar Effects on the Malaysian Stock Market

Shariff¹,

Yusof²

2021

MJoC

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The existence of market anomalies for the return reveals the inefficiency in the market that could affect investor investment strategy, portfolio selection, and profit management. It is due to the unpredictable movement of the stock market return that will affect the decision of investors later. As such, this study intends to investigate day of the week effect, a month of the year effect, and a quarter of the year effect on the Malaysian Stock Exchange, namely the Kuala Lumpur Composite Index (KLCI) on data from 2nd January of 2015 until 31st December 2018. Based on the findings from Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model analysis, it is found that the daily effect on returns was insignificant. Possible reasons for the insignificant return could be due to the lack of time-series data. However, the significant monthly effect on returns of May, November, and December while the quarterly effect on the returns is found significant in the first quarter. This study also concludes that volatility shock is persistent in the returns for all those three market anomalies.

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“…However, the reality is that financial market exhibits certain anomalies in EMH – indicating prospects of predictability in asset price movements (see Roberts, 1959; Milonas, 1991; Brusa et al , 2000; Gunasekarage and Power, 2006). The voluminous literature of the EMH portrays that out of several anomalies, calendar anomalies have garnered substantial research attention because of their commonality and importance for investors and policymakers (see Kumar, 2017; Harshita et al , 2018; Plastun et al , 2019).…”

Section: Introductionmentioning

confidence: 99%

Adaptive calendar effects and volume of extra returns in the cryptocurrency market

Khuntia

Pattanayak

2021

IJOEM

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PurposeThis study broadly attempts to explore adaptive or dynamics patterns of calendar effects existed in the cryptocurrency market as per the adaptive market hypothesis (AMH) framework. Another agendum of this study is to investigate the quantum of extra returns which may result from the presence of calendar effects.Design/methodology/approachThe present study considers both parametric and non-parametric approaches to verify calendar effects empirically. Specifically, this study has implemented Generalised Autoregressive Conditional Heteroscedasticity (1, 1) and Kruskal–Wallis tests in the rolling window approach to reveal adaptive patterns of calendar effects. Additionally, the present study has used the implied trading strategy to evaluate the volume of excess returns resulted from calendar effects than buy-and-hold (BH) strategy.FindingsThe overall results of the current study exhibit that calendar effect in the cryptocurrency market is dynamic rather than static which indicates the calendar effect is a time-varying phenomenon. Moreover, this study also confirmed that ITS is not suitable to obtain extra returns despite the existence of calendar effects.Research limitations/implicationsThe present study has covered some broad aspects of calendar anomalies in the cryptocurrency market, keeping aside certain other limitations which need to be addressed in the following dimensions. Future studies may aim at addressing issues like, Turn-of-the-Year effect, Halloween effect, weather effect, and Month-of-the-Year effects, and try to explore the reasons of presence of dynamic patterns of calendar effects.Practical implicationsThe significant implication of this study is that it alerts investors about market return predictability due to calendar patterns or effects in different periods. It also suggests the period in which the ITS can perform better than the BH strategy.Originality/valueIt is the first study in the cryptocurrency literature which has adopted the AMH framework to verify adaptive calendar effects or anomalies. Furthermore, this study, instead of a mere examination of the presence of calendar effects, has evaluated the potential of calendar effects to produce extra returns through trading strategies.

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A Review on the Evolution of Calendar Anomalies

Abstract: Abstract:In this article, we provide a detailed review on the behavior of calendar anomalies (dayof-the-week, January and turn-of-month

Cited by 8 publications

References 75 publications

Calendar Month Effect in Bursa Malaysia: A Comparison between Shariah-Compliant Portfolio and Non-Shariah- Compliant Portfolio

Calendar Month Effect in Bursa Malaysia: A Comparison between Shariah-Compliant Portfolio and Non-Shariah- Compliant Portfolio

Stock Market Anomalies: A Case of Calendar Effects on the Malaysian Stock Market

Adaptive calendar effects and volume of extra returns in the cryptocurrency market

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