Essays about: "month-of-the-year effects"

Found 2 essays containing the words month-of-the-year effects.

1. 1. 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

3. 2. 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