Introduction — Calendar Anomalies

Dzhabarov, Constantine; Ziemba, William T.

doi:10.1142/9789814405461_0001

Cited by 1 publication

(1 citation statement)

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“…Charles and Darne´ (2009) found that seasonality is one of the key factors in determining the returns of the stock market, leading to predictable returns. Seasonal anomalies have been widely researched in the eld of nance, with a focus on the month-of-the-year effect and day-of-the-week effect (Dzhabarov & Ziemba, 2012). Most of these studies are conducted to test the e cient market hypothesis (EMH) proposed by Fama (1970), which assumes that share prices re ect all available information and it is challenging to predict the market.…”

Section: Introduction 11 Seasonality In Crude Oil Returns For Wti And...mentioning

confidence: 99%

Understanding the Seasonality in Crude Oil Returns for WTI and Brent

Khan

Saha

Ekundayo

2023

Preprint

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There is a lack of research on the seasonal anomalies in the crude oil market. This study aims to fill that gap by examining the effect of days-of-the-week and month-of-the-year on crude oil price returns. To achieve this, West Texas Intermediate (WTI) daily and monthly data from January 1986 to July 2022 and Brent data from May 1987 to July 2022 were analyzed. The regression analysis utilizing dummy variables for days and months was used to determine the effect of days-of-the-week and month-of-the-year on crude oil price returns. The results reveal that Monday has the lowest average crude oil price returns for both WTI and Brent, while Thursday has the highest average returns. In addition, November and December have the lowest average returns for both WTI and Brent, while May has the highest average returns. The effect of Thursday and Friday was observed in the Brent market, while the effect of Monday, Wednesday, Thursday, and Friday was noticed in the WTI crude oil market. The results show that there is no month-of-the-year effect in Brent, but November and December have an effect on the WTI crude oil market.

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Section: Introduction 11 Seasonality In Crude Oil Returns For Wti And...mentioning

confidence: 99%