Rise and Fall of Calendar Anomalies over a Century

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

No 201902, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper, we conduct a comprehensive investigation of calendar anomaly evolution in the US stock market (given by the Dow Jones Industrial Average) for the 1900 to 2018 period. We employ various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis and Mann-Whitney tests) and the trading simulation approach to analyse the evolution of the following calendar anomalies: day of the week effect, turn of the month effect, turn of the year effect, and the holiday effect. The results revealed that ‘golden age’ of calendar anomalies was in the middle of the 20th century. However, since the 1980s all calendar anomalies disappeared. This is consistent with the Efficient Market Hypothesis.

Keywords: Calendar Anomalies; Day of the Week Effect; Turn of the Month Effect; Turn of the Year Effect; Holiday Effect; Stock Market; Dow Jones Industrial Average Index (search for similar items in EconPapers)
JEL-codes: C63 G12 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2019-01
New Economics Papers: this item is included in nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Journal Article: Rise and fall of calendar anomalies over a century (2019)
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