Financial market anomalies: evidence from Tunisia stock market

Abstract

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.

Historical Evolution of Monthly Anomalies in International Stock Markets

“…In emerging markets, for example, in the Indian stock market Gupta (2017) studied the January effect using 15 years worth of data and found no anomalous evidence. In the Tunisian stock market Ahmed & Boutheina (2017) also did not find evidence of the January effect but confirmed the month of the effect in August and April. Balaban et al (1995) found evidence of the January effect in the Turkish stock market.…”

“…Although questions around the evolution of the January effect specifically are not new, Perez (2018), Gupta (2017) and Patel (2016) continue to investigate the evolution of the January effect in advanced and emerging markets. Others such as Ahmed & Boutheina (2017) and Gupta (2017) focused on the evolution of other monthly anomalies such as the December effect and the Mark Twain effect.…”

Historical evolution of monthly anomalies in international stock markets

“…This is as these effects are less prominent than the January effect. Referring to higher than average returns in October as compared to other months, both Ahmed & Boutheina (2017), Balaban et al (1995), and Floros (2008) did not find evidence of the Mark Twain effect in the Tunisian, Istanbul and Greek stock markets, respectively. Furthermore, Rossi & Gunardi (2018) did not find any significant evidence of the Mark Twain effect and December effect in Germany, France, Italy and Spain.…”

“…Although questions around the evolution of the January effect specifically are not new, Perez (2018), Gupta (2017) and Patel (2016) continue to investigate the evolution of the January effect in advanced and emerging markets. Others such as Ahmed & Boutheina (2017) and Gupta (2017) focused on the evolution of other monthly anomalies such as the December effect and the Mark Twain effect. This paper seeks to add to the existing monthly anomalies literature by using data from which covers the entire US stock market history and to confirm the US results by comparing with similar markets.…”

Spillover effects in the financial year cycle for Indian markets

“…There has been a minor positive impact on Karachi markets in the holy month of Ramadan and the prices have been less volatile during this period (Khan et al , 2017). The October returns for the Tunisian market have been low compared to other months of the year and negatively significant (Ahmed and Boutheina, 2017).…”