Seasonal Anomalies in Financial Markets: A Survey

Ikenberry, David L.; Lakonishok, Josef

doi:10.1007/978-3-642-74741-0_5

Cited by 4 publications

(2 citation statements)

References 25 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…As such an analysis of this data alone cannot aid market participants in predicting future price movements. One of the most documented financial market anomalies are calendar seasonalities, that is, predictable market returns related to the days or months of the calendar year (Ikenberry & Lakonishok, 1989; Lakonishok & Smidt, 1988). In terms of day-of-the-week effects, many studies document that stock market returns tend to be negative on Monday and positive on Friday (French, 1980; Gibbons & Hess, 1981; Jaffe & Westerfield, 1985; Kato, 1990; Rogalski, 1984; Solnik & Bousquet, 1990).…”

Section: Introductionmentioning

confidence: 99%

Calendar Anomalies in Islamic Frontier Markets

et al. 2022

View full text Add to dashboard Cite

This study investigates calendar anomalies in eight Islamic frontier markets. Our sample consists of the daily closing prices of their stock indices for the period of January 2006 to September 2019. The data are categorized with respect to day-of-the-week and month-of-the-year according to both the Gregorian and Islamic calendars. We control for time-varying systematic risk using Morgan Stanley Capital International (MSCI) index as the proxy for the market portfolio and apply Bonferroni correction to reduce the occurrence of false-positive results. We find little support for the proposition that any of the Islamic calendar months generate abnormal returns, bar a slight negative abnormal return during the holy month of Rajab for Kuwait. We find evidence of a small negative Monday effect for the stock markets of Bangladesh and Pakistan and a small positive January effect for the stock market of Morocco. The results support weak-form market efficiency, suggesting that investors in frontier stock markets should not expect to outperform the market on a consistent basis when trading on particular days of the week or months of the year according to the Islamic or Gregorian calendar.

show abstract

Section: Introductionmentioning

confidence: 99%

Calendar Anomalies in Islamic Frontier Markets

et al. 2022

View full text Add to dashboard Cite

show abstract

“…Ikenberry and Lokinshok (1989) provide a survey literature identifying temporal anomalies. Amongst anomaly research is that ofAriel (1988);Banz (1981);Basu (1977);Cross (1973); andDebondt and Thaler (1985).…”

mentioning

confidence: 99%

A macro-financial theory of corporate financing and forecast modelling of market movements

Sutton¹

View full text Add to dashboard Cite

<p>This thesis identifies a gap in existing theories of corporate finance. This gap is an implication of a Keynesian-Minskian analysis of markets and market-based economies. From a founding theoretical perspective rooted in the view that markets are not reliably efficient the case is developed that past price trend extrapolation is an important factor in corporate financing decisions. At a macro-financial level, companies repurchase equity over periods of strong market rises, while increasing debt at the same time. During periods of sustained, substantial market decline debt is retired and large new equity issues occur. This change in corporate financing is implicitly expensive as relatively low prices are realised for the new stock issued at these times. These factors suggest that conventional theories of corporate financing decisions that rely on corporate rationality and optimisation do not provide a compelling fit with observations in the period 1980-2012. Moreover, inference to Minsky’s (1986) argument that companies are compelled through market declines to shore up their balance sheets provides a better fit with the evidence. These arguments form the basis for the development of the ‘extrapolative expectations’ theory of corporate finance. The second major development in this thesis draws on the theoretical development outlined above to create market movement description and prediction models. These models operate on data drawn from the US Standard & Poors 500 index over the period 1980-2012. Two primary models are developed using binomial logistic regressions. The dichotomous dependent variables are drawn as quarters of market rise (1) or no rise (0), and market falls (1) or no fall (0), respectively for the ‘buy’ model and the ‘sell’ model. Variables tested and those found to add to an explanation of the dependent variables include: corporate debt flows, corporate equity flows, corporate dividend flows, interest rates, market volumes, and historical market levels. Each variable is tested for up to ten lags (two-and-a-half years). Collectively, the variables add to our understanding of those factors influencing (or at the least, signalling) market levels, enabling quarter ahead market forecasts to be made with greater accuracy than arises from an assumption of a random walk. This conclusion crystallises the view that company macro-financial flows and prices are an important cause or signal of future market direction.</p>

show abstract

Day-of-the-week effect: Petroleum and petroleum products

Meek,

Hoelscher

2023

Cogent Economics & Finance

View full text Add to dashboard Cite

Seasonal Anomalies in Financial Markets: A Survey

Cited by 4 publications

References 25 publications

Calendar Anomalies in Islamic Frontier Markets

Calendar Anomalies in Islamic Frontier Markets

A macro-financial theory of corporate financing and forecast modelling of market movements

Day-of-the-week effect: Petroleum and petroleum products

Contact Info

Product

Resources

About