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Anomalies or illusions? Evidence from stock markets in eighteen countries

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Agrawal, Anup
Tandon, Kishore
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 13 (1994)
Issue (Month): 1 (February)
Pages: 83-106
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Handle: RePEc:eee:jimfin:v:13:y:1994:i:1:p:83-106

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  1. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September. [Downloadable!] (restricted)
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  2. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics. [Downloadable!]
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  3. Li L. Ong & Jason D. Mitchell, 2006. "Seasonalities in China's Stock Markets: Cultural or Structural?," IMF Working Papers 06/04, International Monetary Fund. [Downloadable!]
  4. Barry Harrison & David Paton, 2004. "Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic," Working Papers 2004/3, Nottingham Trent University, Nottingham Business School, Economics Division. [Downloadable!]
  5. Ercan Balaban, 1995. "Some Empirics of the Turkish Stock Market," Discussion Papers 9508, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  6. Sven Bouman & Ben Jacobsen, 2002. "The Halloween Indicator, "Sell in May and Go Away": Another Puzzle," American Economic Review, American Economic Association, vol. 92(5), pages 1618-1635, December. [Downloadable!]
  7. Martin T. Bohl & Janusz Brzeszczynski, 2005. "Do Institutional Investors Destabilize Stock Prices? Evidence from an Emerging Market," CERT Discussion Papers 0501, Centre for Economic Reform and Transformation, Heriot Watt University. [Downloadable!]
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  8. Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics. [Downloadable!]
  9. Oded Galor & Omer Moav & Dietrich Vollrath, 2004. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," Working Papers 2003-04, Brown University, Department of Economics. [Downloadable!]
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