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Seasonal anomalies in advanced emerging stock markets

Mostafa Seif, Paul Docherty and Abul Shamsuddin

The Quarterly Review of Economics and Finance, 2017, vol. 66, issue C, 169-181

Abstract: Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, relatively few studies have comprehensively examined these anomalies within emerging markets. Testing the robustness of seasonal anomalies in emerging markets would first, help to examine the theoretical explanations that have been proposed and second, provide an out-of-sample result for these seasonality anomalies. This study examines the efficiency of advanced emerging markets by testing five seasonal anomalies: the month of the year, other January, day-of-the-week, holiday, and week 44. Evidence is reported that is consistent with all of these seasonal anomalies with the exception of the other January effect; supporting the argument that advanced emerging markets are less than perfectly efficient.

Keywords: Anomalies; Seasonality; Market efficiency; Emerging markets (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
Date: 2017
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