The wandering weekday effect in major stock markets

Doyle, John R.; Chen, Catherine Huirong

doi:10.1016/j.jbankfin.2009.02.002

Cited by 86 publications

(58 citation statements)

References 30 publications

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“…Research studies have documented many anomalous evidences regarding the stock market ef iciency such as January effect (Seyhun, 1993), day of the week effect (Wingender and Groff, 1989), Monday effect (Cho et al, 2007;Jaffe and Wester ield, 1985b), and wandering weekend effect (Doyle and Chen, 2009). Recently, studies have found the irrational behaviour of security prices during the Islamic calendar months such as Ramadan effect (Białkowski et al, 2012).…”

Section: Background Of the Studymentioning

confidence: 99%

Calendar anomalies: Review of literature

2017

J. adv. humanit. soc. sci.

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KeywordsEf icient market hypothesis January anomaly Monday anomaly Islamic calendar months effect Abstract. A wide range of studies in economics and inance literature have addressed the issue of abnormal behaviour in equity returns during certain calendar dates. These abnormal equity returns behaviours are known as calendar anomalies which are in direct opposition to the ef icient market hypothesis. The existence of calendar anomalies does not conform to the assumptions of market ef iciency, therefore, implying that equity returns can be predicted relying on the calendar dates. The objective of current study is to review the prior studies regarding the calendar anomalies. For this purpose, the current study has adopted the review methodology and identi ied the most important studies in this area. Furthermore, the indings of these studies have been reviewed and summarized. By reviewing the previous studies, the current study has noted the growing inclination of recent studies towards the examination of these anomalies. Also, prevalence of these anomalies is documented in recent studies. The current study is the among irst of those studies which have provided a comprehensive review of the previous studies conducted on the calendar anomalies. These summarized reviews of indings of previous research may help future research studies to hold a basic understanding regarding the existence of calendar anomalies in the world equity markets.

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Section: Background Of the Studymentioning

confidence: 99%

Calendar anomalies: Review of literature

2017

J. adv. humanit. soc. sci.

View full text Add to dashboard Cite

show abstract

“…I follow Doyle and Chen (2009) to address the fixed-effect assumption by separating the full sample into one-year sub-samples, estimating the model for each sub-sample, and examining the way in which the effects change annually over the course of the full sample. The one-year sub-samples should be short enough to accommodate possible changes for the effects.…”

Section: Fixed-effect Assumptionsmentioning

confidence: 99%

“…In their study, Doyle and Chen (2009) also proposed a comprehensive model in which the full-sample data were considered and in which individual coefficients were assigned to measure the effects of the one-year sub-samples. The comprehensive model allowed the researchers to test for significant weather effects jointly using Wald tests or F-tests; however, I do not adopt the comprehensive model.…”

Section: Fixed-effect Assumptionsmentioning

confidence: 99%

“…I follow the procedure in Doyle and Chen (2009) by using the sizes of chi-square statistics in the last columns of Panels 1 to 3 to measure the significance of the weather effects and relate them to time. Before I continue with the test, I note in Table 3 that the weather effects appeared in early sub-periods, disappeared, re-appeared, and then disappeared again.…”

Section: Time-varying Weather Effects and Market Efficiencymentioning

confidence: 99%

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