EconPapers    
Economics at your fingertips  
 

Historical evolution of monthly anomalies in international stock markets

Alex Plastun (), Xolani Sibande, Rangan Gupta () and Mark Wohar ()

Research in International Business and Finance, 2020, vol. 52, issue C

Abstract: This paper is a comprehensive investigation of the evolution of various monthly anomalies (January effect, December effect, and the Mark Twain effect) in the US stock market for its entire history. This is done using various statistical techniques (average analysis, Student's t-test, ANOVA, the Mann–Whitney test) and a trading simulation approach). To confirm our results we extended the analysis to the UK, Japan, Canada, France, Switzerland, Germany and Italy stock markets. The results indicate that the January effect was most prevalent in the US and that the December effect and the Mark Twain effect were never prevalent in the US. This result was confirmed in other markets as well. The January effect was most prevalent in the middle of the 20th century but has since disappeared. Furthermore, the January effect provided exploitable profit opportunities. Our results are consistent and add to the existing literature through the use of a complete history of the US market. Overall, the US stock market is consistent with the Adaptive Market Hypothesis.

Keywords: Calendar anomalies; Month of the year effect; Stock market; Efficient Market Hypothesis; January effect; December effect; Mark Twain effect (search for similar items in EconPapers)
JEL-codes: G12 C63 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531919307743
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Historical Evolution of Monthly Anomalies in International Stock Markets (2019)
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:eee:riibaf:v:52:y:2020:i:c:s0275531919307743

DOI: 10.1016/j.ribaf.2019.101127

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-09-10
Handle: RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307743