Calendar anomalies in passion investments: Price patterns and profit opportunities

Alex Plastun, Elie Bouri, Ahniia Havrylina and Qiang Ji

Research in International Business and Finance, 2022, vol. 61, issue C

Abstract: This study provides the first empirical evidence on calendar anomalies in various passion investment markets for diamonds, fine wines, stamps, and fine arts. With several statistical techniques [e.g., average analysis, Student’s t-test, analysis of variance (ANOVA), Kruskal–Wallis, and Mann–Whitney tests] and a trading simulation model, the results show that the passion investment markets depend on the calendar anomalies, which challenges the efficient market hypothesis. However, calendar anomalies are not homogeneous across various passion markets. In general, Day-of-the-Week and Month-of-the-Year Effects are the most commonly detected calendar anomalies, and some prices generally follow the Halloween Effect. The markets for wine, diamonds, and art follow a seasonality. However, the Turn-of-the-Year and Turn-of-the-Month Effects are primarily absent in the passion markets. A simulation analysis of profitable trading strategies provided practical implications for exploiting opportunities arising from the calendar anomalies in the passion investment markets.

Keywords: Diamonds; Fine wine; Stamps; Fine art; Calendar anomalies; Trading strategies (search for similar items in EconPapers)
JEL-codes: C63 G12 G17 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000666

DOI: 10.1016/j.ribaf.2022.101678

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