Revisiting Calendar Anomalies in Brics Countries

Kinateder, Harald; Weber, Kimberly P.; Wagner, Niklas

doi:10.21098/bemp.v22i2.1092

Cited by 12 publications

(13 citation statements)

References 30 publications

(27 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Besides, they show that monthly stock returns tend to be higher in December than in other months. Similarly, Ariss et al (2011) and Kinateder et al (2019) find substantiation for other months (i.e. December) of the year effect.…”

Section: Literature Reviewmentioning

confidence: 71%

“…Similarly, Kayacetin and Lekpek (2016) suggest that Turkish equity returns have a strong TOM effect. This phenomenon is subsequently evidenced by Jebran and Chen (2017) and Kinateder et al (2019) in the context of Islamic equity indices and BRICS countries, respectively.…”

Section: Literature Reviewmentioning

confidence: 86%

“…On the other hand, the stock markets of South Asian countries, especially Bangladesh, have diversity in terms of trading days, holidays, fiscal years and tax systems from those of developed countries. Thus, the Bangladesh stock market's calendar anomalies, if any, may differ from those of developed markets, as previous studies demonstrate inconsistent results between emerging and developed markets (Seif et al , 2017; Zhang et al , 2017; Kinateder et al , 2019). With these conflicting findings regarding calendar anomalies, it seems that the matter has not yet been settled and still allows for further investigation.…”

Section: Introductionmentioning

confidence: 89%

See 2 more Smart Citations

Calendar anomalies in the stock markets: conventional vs Islamic stock indices

Hasan

Hassan

Rashid

et al. 2021

View full text Add to dashboard Cite

PurposeIn this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid festivals–effects in both the conventional and Islamic stock indices of Bangladesh. Also, the authors examine whether these anomalies differ between the two indices.Design/methodology/approachThe authors select the Dhaka Stock Exchange (DSE) Broad Index (DSEX) and the DSEX Shariah Index (DSES) of the DSE as representatives of the conventional and Islamic stock indices respectively. To carry out the investigation, the authors employ the generalized autoregressive conditional heteroskedasticity (GARCH) typed models from January 25, 2011, to March 25, 2020.FindingsThe study’s results indicate the presence of all these calendar anomalies in either conventional or Islamic indices or both, except for the Ramadan effect. Some significant differences in the anomalies between the two indices (excluding the Ramadan effect) are detected in both return and volatility, with the differences being somewhat more pronounced in volatility. The existence of these calendar anomalies argues against the efficient market hypothesis of the stock markets of Bangladesh.Practical implicationsThe study’s results can benefit investors and portfolio managers to comprehend different market anomalies and make investment strategies to beat the market for abnormal gains. Foreign investors can also be benefited from cross-border diversifications with DSE.Originality/valueTo the authors’ knowledge, first the calendar anomalies in the context of both conventional and Islamic stock indices for comparison purposes are evaluated, which is the novel contribution of this study. Unlike previous studies, the authors have explored seven calendar anomalies in the Bangladesh stock market's context with different indices and data sets. Importantly, no study in Bangladesh has analyzed calendar anomalies as comprehensively as the authors’.

show abstract

Section: Literature Reviewmentioning

confidence: 71%

Section: Literature Reviewmentioning

confidence: 86%

Section: Introductionmentioning

confidence: 89%

See 1 more Smart Citation

Calendar anomalies in the stock markets: conventional vs Islamic stock indices

Hasan

Hassan

Rashid

et al. 2021

View full text Add to dashboard Cite

show abstract

“…According to (Abreha & Praba, 2017) conducting holiday effect research on The Indian capital market found that the return of shares before the holiday and after the holiday is different, which means that the holiday effect has an impact on the return of shares on the capital market in India. Another study conducted by (Kinateder et al, 2019) found that the Indian market showed significant effects before and after the holidays, while the Chinese market was anomalous before public holidays, and the South African market was only affected after the holidays. However, there is also research that states that there is no difference before and after Religious Holidays against Abnormal Return of shares and Trading Volume Activity (TVA).…”

Section: Introductionmentioning

confidence: 98%

Volatility of LQ45 Index Situation Before and After Eid al-Fitr

Situngkir

Nugraha

2021

IJSSB

View full text Add to dashboard Cite

Many factors influence the movement of stocks on the capital market, one of which is a major event that occurs at a certain time, such as religious holiday event. This study aims to examine whether or not there is a change in the level of stock volume movement and abnormal return of stocks affected by the religious holiday event, namely Eid al-Fitr, thus affecting transactions in the capital market. The variable studied is the volume of shares that gives an idea of the number of outstanding shares traded every day and the abnormal variable return of shares is the difference between the actual return that occurs with the return of expectations. Both variables can provide information that is expected to help investors manage investment strategies at major events such as Eid al-Fitr. The data used is secondary data from the www.investing.com sites from 2013 to 2019, namely 15 days before and 15 days after Eid al-Fitr. The method used is Wilcoxon Signed Ranks test because it turns out that the processed data is not distributed normally after being tested for normality. The results of this study prove that there is no difference in the abnormal level of return of shares before and after Eid al-Fitr, and proves the hypothesis that there is a change in stock volume before and after the Eid al-Fitr event.

show abstract

“…See, China Securities Index Co., Ltd. (n.d.) for a list of SSE component sectors.10 See, among others,Yuan and Gupta (2014),Casalin (2018), Chia andTeng (2018) andWagner et al (2019) for significant positive holidays, new year and Chinese new year effects in China market. Meanwhile, better trade outlook as the US-China tariffs tension diminished may had also contributed(Li, 2020).…”

mentioning

confidence: 99%

Chinese Stock Market Sector Indices Performance in the Time of Novel Coronavirus Pandemic

Liew¹,

Puah²

2020

Preprint

View full text Add to dashboard Cite

This paper aims to quantify the effect of the deadly novel coronavirus (COVID-19) pandemic outbreak on Chinese stock market performance. Shanghai Stock Exchange Composite Index and its component sector indices are examined in this study. The pandemic is represented by a lockdown dummy, new COVID-19 cases and a dummy for 3 February 2020. First, descriptive analysis is performed on these indices to compare their performances before and during the lockdown period. Next, regression analysis with Exponential Generalized Autoregressive Conditional Heteroscedasticity specification is estimated to quantify the pandemic effect on the Chinese stock market. This paper finds that health care, information technology and telecommunication services sectors were relatively more pandemic-resistant, while other sectors were more severely hurt by the pandemic outbreak. The extent to which each sector was affected by pandemic and sentiments in other financial and commodity markets were reported in details in this paper. The findings of this paper are resourceful for investors to avoid huge loss amid pandemic outburst and the China Securities Regulatory Commission in handling future pandemic occurrence to cool down excessive market sentiments.

show abstract

Revisiting Calendar Anomalies in Brics Countries

Cited by 12 publications

References 30 publications

Calendar anomalies in the stock markets: conventional vs Islamic stock indices

Calendar anomalies in the stock markets: conventional vs Islamic stock indices

Volatility of LQ45 Index Situation Before and After Eid al-Fitr

Chinese Stock Market Sector Indices Performance in the Time of Novel Coronavirus Pandemic

Contact Info

Product

Resources

About