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Revisiting calendar anomalies: Three decades of multicurrency evidence

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  • Kumar, Satish

Abstract

We examine the day-of-the-week, the January, and the turn-of-month effects in developed, advanced and emerging currencies from 1985 to 2014. The returns on Monday, Tuesday and Wednesday are found to be positive and significantly different from zero. The returns on Thursday and Friday are negative and significantly smaller than the returns during first three days of the week. January returns are higher than the returns during the rest of the year. TOM returns are negative and significantly lower than that of non-TOM returns. The calendar anomalies are found to be stronger for emerging currencies compared to advanced and developed currencies. The subsample analysis shows that the calendar anomalies are stronger during the initial subsample and gradually diminish by the last subsample. We also show that for each calendar anomaly, our implied trading strategy can outperform the buy-and-hold strategy in the initial subsamples not so in the last subsamples. Overall, our results indicate that the calendar anomalies have disappeared in the recent times and the markets have become efficient.

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  • Kumar, Satish, 2016. "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, vol. 86(C), pages 16-32.
    • Handle: RePEc:eee:jebusi:v:86:y:2016:i:c:p:16-32
    DOI: 10.1016/j.jeconbus.2016.04.001
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    Cited by:

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    2. Darko Stosic & Dusan Stosic & Irena Vodenska & H. Eugene Stanley & Tatijana Stosic, 2021. "A new look at calendar anomalies: Multifractality and day of the week effect," Papers 2106.06164, arXiv.org.
    3. Girardin, Eric & Salimi Namin, Fatemeh, 2019. "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Economic Modelling, Elsevier, vol. 81(C), pages 422-439.
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    5. KUMAR Satish, 2017. "A Review On The Evolution Of Calendar Anomalies," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 12(1), pages 95-109, April.
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    7. Shikta Singh & Chandrabhanu Das, 2020. "Calendar Anomalies in the Banking and it Index: The Indian Experience," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(4), pages 439-448, April.
    8. Strobel, Marcus & Auer, Benjamin R., 2018. "Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 168-184.

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    More about this item

    Keywords

    Calendar anomalies; Day-of-the-week; January; Turn-of-month; Currency market;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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