Testing Calendar Effects of International Equity and Real Estate Markets

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

“…Hence we expect that the resulting calendar effects shown by the three strategies are also different. One of the contributions of our study is that our new tests of calendar effects (Methods 2 and 3) can show different patterns of calendar effects from that shown by Hui and Chan (2016)'s method. We also compare the results between western (US, UK, France and Germany) and Asian markets (Hong Kong and Japan), and between securitized real estate and general equity indices.…”

“…Hui and Chan (2016) apply Shiryaev-Zhou index of variable moving-window size to test calendar effects of 12 stock indices during 1996-2014. The Shiryaev-Zhou index of a stock, commonly denoted by µ, is calculated by dividing the stock's annual drift (or return) by its annual volatility (or variance of return).…”

“…The method of Hui and Chan (2016) is based on Hui and Chan (2017)'s generalized time-dependent strategy of which one has to buy a stock (or stock index) as soon as the estimator of the Shiryaev-Zhou index ( ) i n µ changes from negative to positive, and sell it as soon as ( ) i n µ changes from positive to negative. The recent globalization has strengthened interrelationship between international financial markets, increasing their volatility.…”

“…Method 1 is the test by Hui and Chan, 2016, while Methods 2 and 3 are newly constructed) to investigate calendar effects of 12 stock indices during 1996-2016. In particular, the Halloween and January effects are investigated.…”

“…In particular, the Halloween and January effects are investigated. We follow Hui and Chan (2016)'s method: the overall calendar effect is examined by analysis of mean (ANOM), and the Halloween effect is tested by logistic regression. We compare the results of the three methods based on the three trading strategies, so we can see that for each of the three strategies, whether the stock index is held for most of the time in a particular month.…”