Models for Anomalies Studies

Sardar M. N. Islam () and Sethapong Watanapalachaikul ()
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Sardar M. N. Islam: Victoria University
Sethapong Watanapalachaikul: Victoria University

Chapter 7 in Empirical Finance, 2005, pp 107-122 from Springer

Abstract: Abstract One of the implications of the EMH is that stock prices and returns are distributed identically and independently. In one line of research on EMH, the effects of calendar time on stock prices have been examined to determine the empirical relevance of the above proposition of EMH. Although initially four types of investigations were conducted, recently much attention in empirical finance has been focused to study stock market anomalies in more areas including the day of the week effect, the January effect, the weekend and holiday effects, the semimonthly effect, and the turn of the month effect. A considerable number of studies on this issue have often resulted in inconclusive findings. They have found long-term historical anomalies in many stock markets revealing the complexities of the real life financial systems, which seem to contradict EMH.

Keywords: Stock Market; Stock Return; Daily Return; Positive Return; Negative Return (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:conchp:978-3-7908-2666-1_7

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DOI: 10.1007/978-3-7908-2666-1_7

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