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Calendar Anomalies in Stock Markets During Financial Crisis: The S&P 500 Case

In: Global Financial Crisis and Its Ramifications on Capital Markets

Author

Listed:
  • Evangelos Vasileiou

    (University of the Aegean)

Abstract

In this study we try to briefly revise the day of the week effect (DOW) and to examine why there are conflicting empirical results through the time. Moreover, we try to add a new-alternative view to the specific area of study, adding a further possible explanation in calendar anomalies field of study. Specifically, we try to examine if investors’ weekday behavior changes depend on the financial trend. For example, let suppose that there are evidence that Mondays are positive returns days, but there are signs for an upcoming financial crisis. Could this general believed practical rule be strong enough in order to be sustainable even during financial crisis period or does it change? In order to analyze this issue providing empirical support, we examine the US stock market and the S&P index for the time period 2000–2013. The results confirm our assumption that the financial trend influences the weekly stock returns’ pattern, which may be an alternative explanation for the conflicting empirical findings that have been documented in the literature up today.

Suggested Citation

  • Evangelos Vasileiou, 2017. "Calendar Anomalies in Stock Markets During Financial Crisis: The S&P 500 Case," Contributions to Economics, in: Ümit Hacioğlu & Hasan Dinçer (ed.), Global Financial Crisis and Its Ramifications on Capital Markets, pages 493-506, Springer.
    • Handle: RePEc:spr:conchp:978-3-319-47021-4_34
    DOI: 10.1007/978-3-319-47021-4_34
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    Cited by:

    1. Sakhr Miss & Michel Charifzadeh & Tim A. Herberger, 2020. "Revisiting the monday effect: a replication study for the German stock market," Management Review Quarterly, Springer, vol. 70(2), pages 257-273, May.

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