How do Calendar Anomalies Affect an Investment Choice? A Proposal of an Analytic Hierarchy Process Model

Matteo Rossi, Gabriella Marcarelli, Antonella Ferraro and Antonio Lucadamo
Additional contact information
Matteo Rossi: Department of Economics, Management and Quantitative Methods, University of Sannio, Italy.
Gabriella Marcarelli: Department of Economics, Management and Quantitative Methods, University of Sannio, Italy.
Antonella Ferraro: Department of Economics, Management and Quantitative Methods, University of Sannio, Italy.
Antonio Lucadamo: Department of Economics, Management and Quantitative Methods, University of Sannio, Italy.

International Journal of Economics and Financial Issues, 2020, vol. 10, issue 1, 244-249

Abstract: In recent years, financial markets changed for globalization. Today, a wide range of investment opportunities is available to investors. In this new scenario, markets are related, but each of them has specific characteristics with particular opportunities for investors. An investment choice can be influenced by numerous qualitative and quantitative factors that often conflict with one other. Thus, portfolio management choice is a multi-criteria decision problem today, so it requires flexible and analytic decision tools for investors. For this task, the Analytic Hierarchy Process (AHP) is suitable. We propose a theoretical model to analyse an investment choice problem taking into account different financial markets. Return of stock market, performance of the government bond and calendar effects in the financial markets considered are the evaluation criteria used in our model. The proposed model has strengths and weaknesses. First, through the AHP methodology the problem can be decomposed into a dominance hierarchy. Then, the subjective judgements expressed by means of pairwise comparisons are cheked in order to verify their consistency. Moreover, it is flexible and allows us to check if the ranking changes based on varying criteria weights. However, in that model we assume that criteria and alternatives are independent. Furthermore, our research lacks of a numerical application to test the model.

Keywords: Analytic Hierarchy Process; Calendar Anomalies; Government Bonds; Stock Market; Investment Choice (search for similar items in EconPapers)
JEL-codes: C13 C44 G11 G14 G40 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://econjournals.com/index.php/ijefi/article/download/8995/pdf (application/pdf)
https://econjournals.com/index.php/ijefi/article/view/8995/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2020-01-30

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().