The Impact of Calendar Anomalies on Stock Return and Volatility: Evidence From Turkish Stock Market

Öztürk, Mutlu Başaran; Uysal, Mustafa; Arslan, Halil; Kayhan, Temur

doi:10.25287/ohuiibf.381031

Cited by 6 publications

(1 citation statement)

References 33 publications

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“…In order to properly transact, they meanly follow the prices of securities. However, the prices depend on many economic and political fundamentals; hence, many theories have been developed by economics to examine the behavior of stock prices (ÖZTÜRK et al, 2018).…”

Section: Introductionmentioning

confidence: 99%

Effect of Market Value Ratios on Stock Return The Islamic Stock Exchange

Christiana¹,

Sembiring²,

Nurwani³

et al. 2019

Proceedings of the Proceedings of the 1st International Conference on Economics, Management, Accounting and Business, ICEMAB 20

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The purpose of this study was to test the influence of variable PER and PBVR against return stock Jakarta Islamic Index. Sampling by using purposive sampling technique, obtained samples as many as 8 companies that entered in the stock Jakarta Islamic Index during the period 2014-2017. Data analysis techniques using multiple linear regression. Hypothesis testing using the t-test statistics to partially and simultaneously use the F-test significant level of 5%. Research results either partially or simultaneous shows that PER and PBVR has no effect against the return of the stock. For the ability of prediction of PER and PBVR against stock return of 12%, the remaining 88% other factors influenced.

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Section: Introductionmentioning

confidence: 99%

Effect of Market Value Ratios on Stock Return The Islamic Stock Exchange

Christiana¹,

Sembiring²,

Nurwani³

et al. 2019

Proceedings of the Proceedings of the 1st International Conference on Economics, Management, Accounting and Business, ICEMAB 20

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Impact of accrual and real earnings management on the stock liquidity: the month-of-the-year and Ramadan effects

Salehi,

Soleimanizadeh

2023

JIABR

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Purpose The abnormality of the month-of-the-year and Ramadan effects has extensively existed in the stock and other markets. The commercial strategy pattern and the computation of such predictable patterns in the market allow investors to make money. By using anomalies such as the month-of-the-year and the Ramadan effects on earnings management (EM), it is possible to achieve such a goal. This study aims to investigate the month-of-the-year effect and the Ramadan effect on the relationship between accrual earnings management and real earnings management (AEM and REM, respectively) and liquidity in the Iranian capital market. Design/methodology/approach This empirical analysis comprises a panel data set of 80 listed firms (400 observations) on the Tehran Stock Exchange from 2016 to 2020. Findings The findings exhibit that when AEM and REM increase, information asymmetry also increases. The simultaneous increase of these variables leads to a decrease in stock liquidity. Furthermore, the results indicate that the month-of-the-year and Ramadan effects intensify the negative relationship between AEM and REM with stock liquidity. Therefore, EM is affected by the investor’s behavior in specific months. Practical implications Anomalies caused by the Ramadan effect and the month-of-the-year effect on reducing liquidity in the Iranian stock market were confirmed. Investors can use these anomalies to identify predictable patterns, exchange securities according to those patterns and earn abnormal returns. Originality/value To the best of the authors’ knowledge, this is the first study that empirically examined the simultaneous effect of Gregorian and Islamic calendar anomalies on the relationship between EM and liquidity, and while helping managers and other readers, it can be the basis for future research.

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Calendar anomalies and asymmetric volatility of returns in the Indonesian stock market: conventional vs Islamic indices

Ghallabi,

Bougatef,

Mnari

2024

JIABR

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Purpose This study aims to identify calendar anomalies that can affect stock returns and asymmetric volatility. Thus, the objective of this study is twofold: on the one hand, it examines the impact of calendar anomalies on the returns of both conventional and Islamic indices in Indonesia, and on the other hand, it analyzes the impact of these anomalies on return volatility and whether this impact differs between the two indices. Design/methodology/approach The authors apply the GJR-generalized autoregressive conditional heteroskedasticity model to daily data of the Jakarta Composite Index (JCI) and the Jakarta Islamic Index for the period ranging from October 6, 2000 to March 4, 2022. Findings The authors provide evidence that the turn-of-the-month (TOM) effect is present in both conventional and Islamic indices, whereas the January effect is present only for the conventional index and the Monday effect is present only for the Islamic index. The month of Ramadan exhibits a positive effect for the Islamic index and a negative effect for the conventional index. Conversely, the crisis effect seems to be the same for the two indices. Overall, the results suggest that the impact of market anomalies on returns and volatility differs significantly between conventional and Islamic indices. Practical implications This study provides useful information for understanding the characteristics of the Indonesian stock market and can help investors to make their choice between Islamic and conventional equities. Given the presence of some calendar anomalies in the Indonesia stock market, investors could obtain abnormal returns by optimizing an investment strategy based on seasonal return patterns. Regarding the day-of-the-week effect, it is found that Friday’s mean returns are the highest among the weekdays for both indices which implies that investors in the Indonesian stock market should trade more on Fridays. Similarly, the TOM effect is significantly positive for both indices, suggesting that for investors are called to concentrate their transactions from the last day of the month to the fourth day of the following month. The January effect is positive and statistically significant only for the conventional index (JCI) which implies that it is more beneficial for investors to invest only in conventional assets. In contrast, it seems that it is more advantageous for investors to invest only in Islamic assets during Ramadan. In addition, the findings reveal that the two indices exhibit lower returns and higher volatility, which implies that it is recommended for investors to find other assets that can serve as a safe refuge during turbulent periods. Overall, the existence of these calendar anomalies implies that policymakers are called to implement the required measures to increase market efficiency. Originality/value The existing literature on calendar anomalies is abundant, but it is mostly focused on conventional stocks and has not been sufficiently extended to address the presence of these anomalies in Shariah-compliant stocks. To the best of the authors’ knowledge, no study to date has examined the presence of calendar anomalies and asymmetric volatility in both Islamic and conventional stock indices in Indonesia.

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The Impact of Calendar Anomalies on Stock Return and Volatility: Evidence From Turkish Stock Market

Cited by 6 publications

References 33 publications

Effect of Market Value Ratios on Stock Return The Islamic Stock Exchange

Effect of Market Value Ratios on Stock Return The Islamic Stock Exchange

Impact of accrual and real earnings management on the stock liquidity: the month-of-the-year and Ramadan effects

Calendar anomalies and asymmetric volatility of returns in the Indonesian stock market: conventional vs Islamic indices

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