Are there Monday effects in stock returns: A stochastic dominance approach

Cho, Younghyun; Linton, Oliver; Whang, Yoon-Jae

doi:10.1016/j.jempfin.2007.02.001

Cited by 88 publications

(62 citation statements)

References 37 publications

(28 reference statements)

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“…The failure to trade over the weekend is expected to make these small traders to close their uncertain positions on Fridays and restore new short positions on Mondays, generating stock prices to grow on Fridays and drop on Mondays. A trend of researchers including Syed and Sadorsky (2006), Cho et al (2007) and Lim et al (2010) provide a reconfirmation of the weekend effect. However, others such as Brusa et al (2003) and Apolinario et al (2006) ignore it.…”

Section: Literature Reviewmentioning

confidence: 89%

Financial market anomalies: evidence from Tunisia stock market

Bouteska

Regaieg

2017

AJER

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Keywords:Week of the year effect, Day of the week effect, Week of the month effect, Month of the year effect, Stock return index (TUNINDEX) ABSTRACTThe aim of this study is to investigate the presence of seasonal market anomalies (calendar anomalies) and to analyze their effects on the behavior of financial investors in terms of decisions and profit on the Tunisian market during the entire period that starts on January 2003 and ends on 31 December 2015. This work examines four calendar effects which are the new week of the year (WOY), the day of the week (DOW), the week of the month (WOM) and month of the year (MOY) effects using daily data of Tunisian Stock Market Index (TUNINDEX closing price) and dummy variables based on a GARCH (1,1) regression model adopted by Levy and Yagil (2012) to demonstrate whether the anomalies exist on the Tunisian market. The findings show that the returns for Friday are always positively significant. In contrast, the returns for October are almost negatively significant and low compared to other months. We also find that market calendar anomalies are clues to help investors improving their trading strategies and timing their investments to make abnormal profits. Contribution/ OriginalityIn this article, we examine the effect of financial market anomalies in the context of Tunisian financial market, specifically four calendar anomalies which are the week of the year effect, the month of the year effect, the week of the month effect and day of the week effect on the behavior of financial investors in terms of decisions and profit.

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Section: Literature Reviewmentioning

confidence: 89%

Financial market anomalies: evidence from Tunisia stock market

Bouteska

Regaieg

2017

AJER

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“…The actual empirical specification we used is rather more flexible, allowing not only for contemporaneous sensitivity but also for a dynamic relationship between R t and RW t where lagged values of order one of the latter will be included in order to capture time lags between Asian and rest of the world markets. We also allow for the ''weekend effect'' or ''Monday effect'' (inter allia: Cho et al 2007;French, 1980;Schwert, 1990a). Since this may bias the regression results dummy variables D i , i=1,..,4, are included in the estimations.…”

Section: Methodsmentioning

confidence: 99%

Rogue State Behavior and Markets: the Financial Fallout of North Korean Nuclear Tests

Kollias

Papadamou

Psarianos

2014

Peace Economics, Peace Science and Public Policy

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Economics of Security Working Paper SeriesEconomics of Security is an initiative managed by DIW Berlin of the nuclear weapon capacity of this state with the concomitant potential security threat this posed for the stability of the greater region. We examine how ten regional stock exchanges and currency markets reacted to this security development and these two specific events. The results, although not uniform across all countries and markets, revealed a greater adverse effect in the case of the second of the two tests. On the whole, the adverse effects on the stock exchanges were short lived.

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“…The indings of many studies were consistent with the Monday effect and others have provided the support to the market ef iciency instead of the Monday effect. There are number of studies which have supported the Monday effect in the stock markets (Alt et al, 2011;Cho et al, 2007;Jaffe et al, 1989). However, other studies support the ef icient market hypothesis and are not in line with the Monday effect (Bhana, 1985;Diaconasu et al, 2012;Mehdian and Perry, 2001;Wang et al, 1997).…”

Section: Monday Effectmentioning

confidence: 99%

“…Research studies have documented many anomalous evidences regarding the stock market ef iciency such as January effect (Seyhun, 1993), day of the week effect (Wingender and Groff, 1989), Monday effect (Cho et al, 2007;Jaffe and Wester ield, 1985b), and wandering weekend effect (Doyle and Chen, 2009). Recently, studies have found the irrational behaviour of security prices during the Islamic calendar months such as Ramadan effect (Białkowski et al, 2012).…”

Section: Background Of the Studymentioning

confidence: 99%

Calendar anomalies: Review of literature

2017

J. adv. humanit. soc. sci.

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KeywordsEf icient market hypothesis January anomaly Monday anomaly Islamic calendar months effect Abstract. A wide range of studies in economics and inance literature have addressed the issue of abnormal behaviour in equity returns during certain calendar dates. These abnormal equity returns behaviours are known as calendar anomalies which are in direct opposition to the ef icient market hypothesis. The existence of calendar anomalies does not conform to the assumptions of market ef iciency, therefore, implying that equity returns can be predicted relying on the calendar dates. The objective of current study is to review the prior studies regarding the calendar anomalies. For this purpose, the current study has adopted the review methodology and identi ied the most important studies in this area. Furthermore, the indings of these studies have been reviewed and summarized. By reviewing the previous studies, the current study has noted the growing inclination of recent studies towards the examination of these anomalies. Also, prevalence of these anomalies is documented in recent studies. The current study is the among irst of those studies which have provided a comprehensive review of the previous studies conducted on the calendar anomalies. These summarized reviews of indings of previous research may help future research studies to hold a basic understanding regarding the existence of calendar anomalies in the world equity markets.

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Are there Monday effects in stock returns: A stochastic dominance approach

Cited by 88 publications

References 37 publications

Financial market anomalies: evidence from Tunisia stock market

Financial market anomalies: evidence from Tunisia stock market

Rogue State Behavior and Markets: the Financial Fallout of North Korean Nuclear Tests

Calendar anomalies: Review of literature

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