Calendar “anomalies” in the Portuguese stock market

Pm, Silva

doi:10.1080/10293523.2010.11082518

Cited by 14 publications

(8 citation statements)

References 30 publications

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“…Therefore, to some extend, we could conclude that there exist Monday effect in the Argentina's stock market. Our findings are in line with Silva (2010), Brahmana et. al (2012), and Georgantopoulos and Tsamis (2013) Table 7 shows the results of interactions relationship between weather on day-of-the week and stock market returns.…”

Section: Monday Effectsupporting

confidence: 93%

Weather, Mood and Stock Market Returns in Argentina

Karim¹,

Shukri²,

Yuin³

2018

AFR

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The paper examines the relationship between weather and stock market returns in the Argentina’s stock market using daily data from 2001 to 2014 and regression models. The data consists of stock market returns, temperature, humidity and wind. The empirical findings show that all weather variables (temperature, humidity and wind) have significant relationship with stock market returns in some of the trading days in the week. We also find evidence of the existence of day-of-week effect in the stock market. On average, the highest return falls on Friday and lowest return falls on Monday. Temperature is considered very significant in influencing the stock market returns in Argentina. Our findings suggest that the stock market returns are higher when the temperature is higher. This phenomenon is related to the seasonal affective disorder (SAD). We can conclude that stock market of Argentina is not informational efficient. The results have major implications for traders, individual investors, fund managers and financial institutions to make investment planning in the Argentina’s stock market.

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Section: Monday Effectsupporting

confidence: 93%

Weather, Mood and Stock Market Returns in Argentina

Karim¹,

Shukri²,

Yuin³

2018

AFR

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“…Salah satu bidang kajian terkait topik tersebut adalah mengenai keacakan (randomness) pergerakan harga saham maupun aset-aset keuangan lainnya guna membuktikan efisiensi pasar modal. Namun banyak dari temuan-temuan dalam penelitian empiris yang dilakukan menghasilkan kesimpulan bahwa terdapat adanya suatu pola tertentu pada return saham, misalnya penelitian Lakonishok dan Maberly (1990); Sias dan Starks (1995); Pearce (1996); Kamath et al (1998) ;Brockman dan Michayluk (1998); Wang dan Walker (2000); Silva (2010); Swami (2012); Nawaz dan Mirza (2012) yang menemukan bahwa terdapat adanya pola harian pada return saham yang sering disebut dengan day of the week effect dan penelitian Boudreaux (1995); Giovanis (2009) ;Marrett dan Worthington (2011);Georgantopoulos et al (2011);Swami (2012); Debasish (2012); Chia dan Liew (2012) yang menemukan adanya pola bulanan pada return saham yang disebut dengan month of the year effect.…”

Section: Pendahuluanunclassified

Month of the Year Effect Pada Beberapa Pasar Modal di Asia Tenggara dan Pasar Komoditas

Robiyanto

2016

jeb

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One of prominent phenomenon in capital market is month of the year effect which is the occurence of certain monthly pattern in capital market Keywords: month of the year effect, calendar anomalies, commodity market, capital market PENDAHULUANEfisiensi pasar modal merupakan topik yang sangat menarik bagi banyak peneliti (Boudreaux 1995). Efisiensi pasar modal ini menjadi objek penelitian yang berkembang pesat semenjak Fama (1965Fama ( , 1970 memperkenalkan analisis teoretis mengenai efisiensi pasar dan mengembangkannya menjadi keuangan keperilakuan (Fama 1998). Salah satu bidang kajian terkait topik tersebut adalah mengenai keacakan (randomness) pergerakan harga saham maupun aset-aset keuangan lainnya guna membuktikan efisiensi pasar modal. Namun banyak dari temuan-temuan dalam penelitian empiris yang dilakukan menghasilkan kesimpulan bahwa terdapat adanya suatu pola tertentu pada return saham, misalnya penelitian Lakonishok dan Maberly

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“…The January effect was not found in the New Zealand stock market (Li & Liu, 2010 ), In the Chinese market, while Gao and Kling ( 2005 ) found support for March and April effects, whereas Luo et al ( 2009 ) did not find any month-of-the-year effects. In a study by Silva ( 2010 ), the January effect was not found in the Portuguese stock market. The July effect was found in Ghana (Albert et al, 2013 ), December was the best month in the Indonesian stock market (Rahario et al, 2013 ).…”

Section: Literature Reviewmentioning

confidence: 89%

Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market

Elangovan¹,

Irudayasamy²,

Parayitam

2022

Asia-Pac Financ Markets

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The present study aims to examine the existence of month-of-the-year effects in the Indian stock market. For analysis, we selected the BSE Ltd and NSE broad market cap indices, namely S&P BSE 500 and NIFTY 500, which are a comprehensive representation of the Indian stock market. The time selected for this study is from April 1, 2011, to March 31, 2021 (i.e., ten years). The study used secondary data collected from the 'monthly open, high, low and closing prices of broad market indices of the Indian stock market through the official websites ( www.bseindia.com ; and www.nseindia.com ). The study's findings indicate that the ADF and PP test confirms the presence of unit root of the return series of S&P BSE 500 and NIFTY 500 Indices. The results from the KPSS test confirm the stationarity of the return series of both Indices. The regression coefficients for March were negative and significant for both indices. These results suggest that the month-the-of-the-year effect is the 'March effect.'

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Calendar “anomalies” in the Portuguese stock market

Cited by 14 publications

References 30 publications

Weather, Mood and Stock Market Returns in Argentina

Weather, Mood and Stock Market Returns in Argentina

Month of the Year Effect Pada Beberapa Pasar Modal di Asia Tenggara dan Pasar Komoditas

Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market

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