Essays about: "Calendar anomalies"

Showing result 6 - 10 of 10 essays containing the words Calendar anomalies.

1. 6. The US Holiday Effect: Evidence from Nordic markets on the impact of US investors

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Johan Bladh; Christian Sandberg; [2013]
   Keywords : US holiday; Calendar anomaly; Abnormal return; Volume; Noise traders;

   Abstract : This paper investigates four Nordic stock indices on US holidays, days when the New York Stock Exchange is closed due to holiday. We provide evidence for a US holiday effect that on average cause large positive returns and low volumes. READ MORE

3. 7. Strange Days: The Turn-of-the-month Effect in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : August Runge; Anders Zachrisson; [2013]
   Keywords : Calendar anomalies; Preferred Habitat Theory; Turn-of-the-month effect; Market efficiency; Investor liquidity;

   Abstract : We analyze daily price data for the Swedish stock market during 2003-2012 and find evidence of a turn-of-the-month effect. Furthermore, the effect in Sweden occurs earlier in the month compared to previous studies, as predicted by the preferred habitat theory. READ MORE

4. 8. Capitalizing on seasonalities in the Singapore Straits Times Index

   University essay from IHH, Företagsekonomi

   Author : Oscar Hetting; Joakim Hellman; Maryam Tarighi; [2012]
   Keywords : Finance; behavioural finance; efficient markets hypothesis; EMH; seasonal anomalies; calendar effects; day-of-the-week effects; month-of-the-year effects; Straits Times Index; STI; abnormal returns;

   Abstract : Purpose: The purpose of this thesis is to study the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market over the period January 1st 1993 to December 31st 2011. The findings are analysed with the intention of developing investment strategies and to investigate if behavioural finance can help to explain the existence of seasonal anomalies. READ MORE

5. 9. The day-of-the-week effect on stock returns and volatility: The case of Latin America

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Irais Perez Duran; [2010]
   Keywords : Day-of-the-week effect; Emerging markets; GARCH; EGARCH; APARCH; Business and Economics;

   Abstract : It has been found that the behavior of stock markets follow patterns that are not necessarily consistent with the Efficient Market Hypothesis. Anomalies have been classified into different groups of which calendar anomalies such as the day-of-the-week effect has been under study for many years. READ MORE

6. 10. Stock Market Anomalies : A Literature Review and Estimation of Calendar affects on the S&P 500 index

   University essay from Internationella Handelshögskolan

   Author : Marcus Davidsson; [2006]
   Keywords : Anomalies; S P 500; Calendar affects;

   Abstract : This thesis investigates the Day-of-the-week, Month-of-the-year and Quarter-of-the-year effects. Historical data from the S&P 500 index between 1970- 2005 is analyzed. The purpose is to investigate if there is any evidence of increased returns (ROR) pattern related to seasonality during this period. READ MORE