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Calendar anomalies in the Gulf Cooperation Council stock markets

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Author Info

  • Ariss, Rima Turk
  • Rezvanian, Rasoul
  • Mehdian, Seyed M.

Abstract

We examine calendar anomalies in Gulf Cooperation Council (GCC) stock markets and document a Friday-type effect that occurs on the last trading day of the week and which we call "Wednesday effect", since Wednesday is the last day before the weekend in the leading market for the region. This effect, however, is more pronounced outside the month of Ramadan. We also find a statistically significant positive December effect, contrary to the January effect documented in Western countries. The presence of such anomalies may provide money managers with opportunities to optimally time their trades based on daily and monthly price fluctuations.

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Bibliographic Info

Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 12 (2011)
Issue (Month): 3 (September)
Pages: 293-307

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Handle: RePEc:eee:ememar:v:12:y:2011:i:3:p:293-307

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Web page: http://www.elsevier.com/locate/inca/620356

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Keywords: Calendar anomalies Stock market efficiency Gulf Cooperation Council;

References

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Cited by:
  1. Benjamin R. Auer & Horst Rottmann, 2013. "Is there a Friday the 13th Effect in Emerging Asian Stock Markets?," CESifo Working Paper Series 4409, CESifo Group Munich.

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