 Calendar anomalies: a survey of the literatureNikunj Patel and Martin Sewell International Journal of Behavioural Accounting and Finance, 2015, vol. 5, issue 2, 99-121 Abstract: The specific purpose of this paper is to investigate the empirical evidence of stock price anomalies, especially day-of-the-week, month-of-the-year and the holiday effect. The review covers the critical evaluation of calendar anomalies, and the major focus has been given to extensively cited papers. Most of the researchers have found evidence of a negative Monday effect, though a relatively small number of researchers have refuted these results. We found a clear indication of a January effect in developed stock markets; however, there was no consensus in developing and least developed countries. Most of the researchers found a strong pre-holiday effect in the majority of markets; however, a few researchers found that the pre-holiday effect has diminished. The research could be extended to include other calendar anomalies such as the turn-of-the-month effect and semi-month effect. This research is helpful to all stakeholders of the stock market, specifically to regulators for maintaining market efficiency. Keywords: efficient market hypothesis; behavioural finance; calendar anomalies; day-of-the-week; month-of-the-year; holiday effect; literature review; stock price anomalies; stock prices; stock markets; market efficiency; calendar effects. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:ijbeaf:v:5:y:2015:i:2:p:99-121 Access Statistics for this article More articles in International Journal of Behavioural Accounting and Finance from Inderscience Enterprises Ltd |
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