New Tests of Calendar Effects on Equity and Securitized Real Estate Markets

Abstract

Abstract. We construct two new tests of calendar effects, apply them on 12 stock indices during 1996-2016, and compare the results with that using Hui and Chan (2016)'s method. The results show that the January and Halloween effects are significant for the four western generalized equity indices for small moving-window sizes. Furthermore, the securitized real estate indices show a greater difference in the overall calendar effect between the three methods than the general equity indices do. This study has an implication that a certain sector of the market is riskier than the whole market.

Ramadan effect in the cryptocurrency markets

“…, 2020a, 2019a; Xiong et al. , 2019; Harshita and Yadav, 2018; Hui and Chan, 2018; Sawitri and Astuty, 2018), turn of the month effect (Singh et al. , 2020; Caporale and Plastun, 2017; Singh et al.…”

“…There are multiple researches focused on the analysis of different anomalies using different methodologies and applied to a huge set of financial assets. Among the latest published about analysis of anomalies, we can point out, grouped by effect, the following: day of week effect (Jaisinghani et al, 2019;Xiong et al, 2019;Miss et al, 2020;Chatzitzisi et al, 2021;Chaouachi and Dhaou, 2020;Xiao and Maillebuau, 2020), month of year (Xiao and Maillebuau, 2020;Plastun et al, 2020aPlastun et al, , 2019aXiong et al, 2019;Harshita and Yadav, 2018;Hui and Chan, 2018;Sawitri and Astuty, 2018), turn of the month effect (Singh et al, 2020;Caporale and Plastun, 2017;Singh et al, 2020), turn of the year effect (Javed and Naveed, 2021;Plastun et al, 2019b), Halloween effect (Arendas et al, 2018;Kenourgios and Samios, 2021;Plastun et al, 2020b) or the presence of intraday pattern or time-of-day (Caporale et al, 2016;Inci, 2018;Shahzad et al, 2018;Yang et al, 2019).…”