Another look at calendar anomalies

Evanthia Chatzitzisi, Stilianos Fountas and Theodore Panagiotidis

The Quarterly Review of Economics and Finance, 2021, vol. 80, issue C, 823-840

Abstract: We employ daily aggregate and sectoral S&P500 data to shed further light on the day-of-the-week anomaly using GARCH and EGARCH models. We obtain the following results: First, there is strong evidence for day-of-the-week effects in all sectors, implying that these effects are part of a wide phenomenon affecting the entire market structure. Second, using rolling-regressions, we find that significant seasonality represents a small proportion of the total sample. Third, using a logit setup, we examine the impact of four factors, namely recessions, uncertainty, trading volume and bearish sentiment on seasonality. We reveal that recessions and uncertainty have explanatory power for anomalies whereas trading volume does not.

Keywords: Day-of-the-week effect; GARCH; Calendar anomalies; S&P500 Index; Sectors; Rolling regression; Logit (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Another Look at Calendar Anomalies (2019)
Working Paper: Another Look at Calendar Anomalies (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:80:y:2021:i:c:p:823-840

DOI: 10.1016/j.qref.2019.04.001

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