Market Conditions and Calendar Anomalies in Japanese Stock Returns

Mostafa Saidur Rahim Khan () and Naheed Rabbani ()
Additional contact information
Mostafa Saidur Rahim Khan: Hiroshima University
Naheed Rabbani: University of Dhaka

Asia-Pacific Financial Markets, 2019, vol. 26, issue 2, No 3, 187-209

Abstract: Abstract This study revisits calendar anomalies in Japanese stock returns to examine whether they can be explained by market conditions. Results of the OLS and GARCH (1,1) regression models show that most of the well-known calendar anomalies no longer exist in Japanese stock returns when conventional methodologies are used. These calendar anomalies became evident during the Japanese bubble period and disappeared subsequently. To provide new evidence on calendar anomalies in Japanese stock returns, we examine calendar anomalies based on market conditions. We show that the day-of-the-week, January, turn-of-the-month, Halloween and Dekansho-bushi effects became evident in UP market conditions only. They were never evident in DOWN market conditions. All these anomalies are still found to be significant in UP market conditions. Our explanation is consistent throughout the whole sample period and is robust against the choice of index used to measure market returns.

Keywords: Calendar anomalies; Day of the week effect; Dekansho-bushi effect; Halloween effect; January effect; Turn of the month effect; G12; G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s10690-018-9263-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:kap:apfinm:v:26:y:2019:i:2:d:10.1007_s10690-018-9263-4

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10690/PS2

DOI: 10.1007/s10690-018-9263-4

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().