Calendar anomalies: a survey of the literature

Patel, Nikunj; Sewell, Martin

doi:10.1504/ijbaf.2015.072405

Cited by 12 publications

(5 citation statements)

References 156 publications

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“…No month of the day effect is demonstrated, thus showing that stock returns in January (the month of the New Year and Chinese Lunar New Year in 2014) are statistically the same as other months. The results are in line with many studies as summarized in Patel and Sewell (2015); but is contrary to Teng and Yang (2018) who suggest a significant Chinese Lunar New Year effect which can mainly attributed to public positive emotions. The coefficients of dummy variables maintain unchanged when different IMSs are added in the model, thus strengthening the robustness of our empirical results.…”

Section: Resultssupporting

confidence: 89%

Can sentiments on macroeconomic news explain stock returns? Evidence form social network data

Zhao

2020

Int. J Fin Econ

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Macroeconomic factors and sentiments affect investors' decisions and thus stock returns. However, do sentiments on macro-economic news explain stock returns? This article proposes a theoretical model to explain the relationship between stock returns and the market misperception which is driven by investors' sentiments. Then, microblogs regarding the macro-economy posted on Sina Weibo, a mainstream Chinese Social Network Site, are extracted to measure investors' macroeconomic sentiments (IMSs) through machine learning approaches. A preliminary event study suggests that IMSs capture the development of influential macroeconomic events. Empirical results demonstrate that orthogonalized IMSs including anger, disgust, fear, joy and sadness exert heterogeneously significant effects on the Shanghai Composite Index (SHCI), and no reverse effect is found. Thus, the IMS contains additional information related to the macro-economy; but cannot be explained by macroeconomic factors. IMSs improve the in-and out-of-sample predictabilities of SHCI returns. Thereby, investors' sentiment can be an important channel through which the macro-economy affects the stock market.

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Section: Resultssupporting

confidence: 89%

Can sentiments on macroeconomic news explain stock returns? Evidence form social network data

Zhao

2020

Int. J Fin Econ

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“…The month of the year effect indicates that from January to December the average asset returns are not similar. Many empirical studies (e.g., Rozeff & Kinney, 1976;Haug & Hirschey, 2006;Balint & Gica, 2012;Patel & Sewell, 2015) have concluded that January returns are significantly larger than returns of the other months. The day of the week effect signifies that for Monday through Friday, the mean asset returns are not similar.…”

Section: Introductionmentioning

confidence: 99%

Impact of the religious festivity on the Tunis Stock Exchange

Chaouachi

2021

Investment Management and Financial Innovations

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The month of Ramadan is anticipated to influence the behavior of the stock market, where the environment in Ramadan is different from other months. During the Ramadan month, transformations in the social life of people are quite apparent and significant, and the overall economic activity tends to decelerate as the number of working hours decreases. This paper aims to explore the impact of the Ramadan month on the stock market returns, volatility, and trading volume on the Tunis Stock Exchange (TSE) between September 2009 and July 2019. To achieve these objectives, the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) technique and the ordinary least squares regression are used. The results show that the impact of the Ramadan month on the daily returns is positive and statistically significant at a 1% level. It is also found that the impact of the Ramadan month on the volatility and trading volume is negative and statistically significant. The findings can help domestic and foreign investors and regulators to better comprehend the Tunisian stock exchange and investor behavior. Moreover, this research can help investors to develop their trading strategies.

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“…Ziegler and Ziemba (2015) have also studied the effect of weather on the sell-in-May research in many countries, and find that when the weather is good, the returns are higher on average. Additional references related to this sellin-May phenomenon are Agrrawal and Skaves (2015), Bee et al (2016), Dzhabarov and Ziemba (2010), Fiore and Saha (2015), Jacobsen and Visaltanachoti (2009), Keloharju and Linnainmaa (2015), Patel and Sewell (2015), Swinkels and van Vliet (2012), Witte (2010), and Zhang and Jacobsen (2012).…”

Section: Constantine Dzhabarov and Bill Ziembamentioning

confidence: 99%