Anomalies or illusions? Evidence from stock markets in eighteen countries

Agrawal, Anup; Tandon, Kishore

doi:10.1016/0261-5606(94)90026-4

Cited by 395 publications

(265 citation statements)

References 45 publications

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“…Negative Monday returns were found, inter alia, by Cross (1973), French (1980), and Gibbons and Hess (1981), the former two analysing the S&P 500 index, the latter the Dow Jones Industrial Index. Similar findings have been reported for other US financial markets, such as the futures, bond and Treasury bill markets (Cornell, 1985, Dyl andMaberly, 1986), foreign exchange markets (Hsieh, 1988), and for Australian, Canadian, Japanese and UK financial markets (e.g., Jaffe and Westerfield, 1985, Jaffe, Westerfield and Ma, 1989, Agrawal and Tandon, 1994. Effects on stock market volatility have also been documented (Kiymaz and Berument, 2003).…”

Section: Introductionsupporting

confidence: 79%

The weekly structure of US stock prices

Caporale

Gil-Alana

2011

Applied Financial Economics

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In this article, we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor (S&P), Dow Jones, Nasdaq and New York Stock Exchange (NYSE), at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and investigate their characteristics depending on the specific day of the week. The results indicate that the four series are highly persistent; a small degree of mean reversion (i.e. orders of integration strictly smaller than 1) is found in some cases for S&P and the Dow Jones indices. The most interesting findings are the differences in the degree of dependence for different days of the week. Specifically, lower orders of integration are systematically observed for Mondays and Fridays, consistently with the 'day of the week' effect frequently found in financial data.fractional integration, weekly structure, stock prices,

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Section: Introductionsupporting

confidence: 79%

The weekly structure of US stock prices

Caporale

Gil-Alana

2011

Applied Financial Economics

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“…Barone (1990) reports similar results for the Italian Stock Market, with the largest decline in stock prices occurring in the first two days of the week and more pronounced on Tuesday. More recently, Agrawal and Tandon (1994), Alexakis and Xanthakis (1995), and Balaban (1995) also show that the distribution of stock returns varies by day of the week for various countries. In sum, day of the week effect in stock returns is a common phenomenon and observed across different countries and different types of markets.…”

Section: Literature Reviewmentioning

confidence: 98%

The day of the week effect on stock market volatility

2001

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This study tests the presence of the day of the week effect on stock market volatility by using the S&P 500 market index during the period of January 1973 and October 1997. The findings show that the day of the week effect is present in both volatility and return equations. While the highest and lowest returns are observed on Wednesday and Monday, the highest and the lowest volatility are observed on Friday and Wednesday, respectively. Further investigation of sub-periods reinforces our findings that the volatility pattern across the days of the week is statistically different. (JEL G10, G12, C22)

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“…Após as pesquisas de Cross (1973) e French (1980, foram documentados retornos significativamente negativos na segunda-feira, sendo também que um grande corpo da literatura tem evoluído para documentar retornos diários anormais para muitos mercados de ações no mercado financeiro mundial (Agrawal & Tandon, 1994;Barone, 1990).…”

Section: Anomalias Do Mercado Financeirounclassified

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

Malaquias

Mamede

2015

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O objetivo geral deste trabalho consistiu em analisar a relação entre os dias de segunda-feira com a rentabilidade proporcionada pelos fundos de investimentos multimercados brasileiros. A base final de análise foi composta por 3.337 fundos multimercados, totalizando 3.529.808 observações para dados diários, no período de janeiro/2005 a setembro/2013. Com a utilização da análise de regressão com dados em painel, levando-se em consideração variáveis de controle apontadas pela literatura como relevantes, os principais resultados indicaram que o efeito segunda-feira também ocorre no segmento de fundos de investimento, sendo intensificado por períodos de crises financeiras. Contudo constatou-se que esse efeito não foi uniforme entre todas as subcategorias de fundos multimercados. Os resultados foram persistentes entre fundos cujo prazo de resgate é D+0, bem como foram robustos ao controle pela série de retornos do Ibovespa. A discussão foi ancorada principalmente na Teoria de Finanças Comportamentais, buscando-se assim potenciais explicações para essa anomalia de mercado.

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Anomalies or illusions? Evidence from stock markets in eighteen countries

Cited by 395 publications

References 45 publications

The weekly structure of US stock prices

The weekly structure of US stock prices

The day of the week effect on stock market volatility

Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados

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