Calendar Anomalies in Stock Markets During Financial Crisis: The S&P 500 Case

Evangelos Vasileiou ()
Additional contact information
Evangelos Vasileiou: University of the Aegean

A chapter in Global Financial Crisis and Its Ramifications on Capital Markets, 2017, pp 493-506 from Springer

Abstract: Abstract In this study we try to briefly revise the day of the week effect (DOW) and to examine why there are conflicting empirical results through the time. Moreover, we try to add a new-alternative view to the specific area of study, adding a further possible explanation in calendar anomalies field of study. Specifically, we try to examine if investors’ weekday behavior changes depend on the financial trend. For example, let suppose that there are evidence that Mondays are positive returns days, but there are signs for an upcoming financial crisis. Could this general believed practical rule be strong enough in order to be sustainable even during financial crisis period or does it change? In order to analyze this issue providing empirical support, we examine the US stock market and the S&P index for the time period 2000–2013. The results confirm our assumption that the financial trend influences the weekly stock returns’ pattern, which may be an alternative explanation for the conflicting empirical findings that have been documented in the literature up today.

Keywords: Stock Market; Positive Return; Short Seller; Recession Period; Leverage Effect (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:conchp:978-3-319-47021-4_34

Ordering information: This item can be ordered from
http://www.springer.com/9783319470214

DOI: 10.1007/978-3-319-47021-4_34

Access Statistics for this chapter

More chapters in Contributions to Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().