The Effect of Market Anomalies on the Inefficiency of Stock Returns

Abstract

This paper serves the purpose to analyses market anomalies and their agents on returns in the Iranian indexes between 2017 and 2020. Principled patterns in financial market are incompatible to the efficient market hypothesis, as stock market returns can be done applying these systematic models. Real investors may not be able to achieve the return and profitability due to the scarcity of their financial resources. Accordingly, the study of the role of real investors in the volatility of stock returns is very important. Well timed actions of investors prices of stocks directly adapt to the new information, and give thought to all the available information. So no investor can chastise the market by generating abnormal returns. The model period is 2017 to 2020 to represent the continuity of the monthly result. This scholarship put upon the advantageous sampling procedure, also known as the judgmental sampling technique, of weekly returns from Iranian indexes and major world indexes based on specific criteria. The demodulations offer an abnormal month of the year outcome stand in some Iranian indexes during the research duration. The vehemence of month of the year anomalies lessens with time. The investigation also illustrate that month of the year factors are more unremitting between indexes with smaller market capitalization.

Statistics and Practice on the Trend’s Reversal and Turning Points of Chinese Stock Indices Based on Gann’s Time Theory and Solar Terms Effect

“…In fact, the efficient markets theory has little impact on the time cycle theory and our 24-solar-term method. There is also a study that shows the nonuniversality of the efficient markets theory and found cases to contradict it [24].…”

“…Eight of the Chinese 24 solar terms are very prominent, namely, Chunfen (6), Xiazhi (12), Qiufen (18) and Dongzhi (24), which represent the most vigorous timepoints in each season and are the most important four solar terms; the other four are Lichun (3), Lixia (9), Liqiu (15) and Lidong (21). These four represent the beginning of each season and are the second important four solar terms.…”

“…To our surprise, the importance of these eight solar terms exactly coincides with the wheel of the cycle theory in Gann theory. In Gann's wheel, the most important four angles are 90 • , 180 • , 270 • and 360 • (0 • ), and the corresponding timepoints of each year are exactly the four solar terms of Chunfen (6), Xiazhi (12), Qiufen (18) and Dongzhi (24). The second important four angles, 45 • , 135 • , 225 • and 315 • exactly correspond to the four solar terms of Lichun (3), Lixia (9), Liqiu (15) and Lidong (21).…”

“…The 24 solar terms were divided into four groups: the all-terms group (all 24 solar terms), four-terms group A (Lichun (3), Lixia (9), Liqiu (15) and Lidong ( 21)), four-terms group B (Chunfen (6), Xiazhi (12), Qiufen (18) and Dongzhi (24)) and the eight solar terms group (altogether, there were eight solar terms). The historical data were divided into the experimental group and the test group (the last five solar terms).…”