Advanced Search
MyIDEAS: Login to save this paper or follow this series

Testing the Significance of Calendar Effects

Contents:

Author Info

Abstract

This paper studies tests of calendar effects in equity returns. It is necessary to control for all possible calendar effects to avoid spurious results. The authors contribute to the calendar effects literature and its significance with a test for calendar-specific anomalies that conditions on the nuisance of possible calendar effects. Thus, their approach to test for calendar effects produces robust data-mining results. Unfortunately, attempts to control for a large number of possible calendar effects have the downside of diminishing the power of the test, making it more difficult to detect actual anomalies. The authors show that our test achieves good power properties because it exploits the correlation structure of (excess) returns specific to the calendar effect being studied. We implement the test with bootstrap methods and apply it to stock indices from Denmark, France, Germany, Hong Kong, Italy, Japan, Norway, Sweden, the United Kingdom, and the United States. Bootstrap p-values reveal that calendar effects are significant for returns in most of these equity markets, but end-of-the-year effects are predominant. It also appears that, beginning in the late 1980s, calendar effects have diminished except in small-cap stock indices.

(This abstract was borrowed from another version of this item.)

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.econ.brown.edu/2003/2003-3_paper.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Brown University, Department of Economics in its series Working Papers with number 2003-03.

as in new window
Length:
Date of creation: 2003
Date of revision:
Handle: RePEc:bro:econwp:2003-03

Contact details of provider:
Postal: Department of Economics, Brown University, Providence, RI 02912

Related research

Keywords:

Other versions of this item:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
  2. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
  3. Kim, Chan-Wung & Park, Jinwoo, 1994. "Holiday Effects and Stock Returns: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 29(01), pages 145-157, March.
  4. Merton, Robert C., 1985. "On the current state of the stock market rationality hypothesis," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 1717-85., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  5. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 03-85, Wharton School Rodney L. White Center for Financial Research.
  6. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, Econometric Society, vol. 68(5), pages 1097-1126, September.
  7. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 249-286, November.
  8. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 365-380, October.
  9. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, Elsevier, vol. 13(1), pages 83-106, February.
  10. Wang, Ko & Li, Yuming & Erickson, John, 1997. " A New Look at the Monday Effect," Journal of Finance, American Finance Association, American Finance Association, vol. 52(5), pages 2171-86, December.
  11. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1575-617, December.
  12. Khaksari, Shahriar & Bubnys, Edward L, 1992. "Risk-Adjusted Day-of-the-Week, Day-of-the-Month, and Month-of-the-Year Effects on Stock Indexes and Stock Index Futures," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 27(4), pages 531-52, November.
  13. Kato, Kiyoshi & Schallheim, James S., 1985. "Seasonal and Size Anomalies in the Japanese Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 20(02), pages 243-260, June.
  14. Lakonishok, Josef & Levi, Maurice, 1982. " Weekend Effects on Stock Returns: A Note," Journal of Finance, American Finance Association, American Finance Association, vol. 37(3), pages 883-89, June.
  15. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0152, National Bureau of Economic Research, Inc.
  16. Fazal Husain, 1998. "A Seasonality in the Pakistani Equity Market: The Ramadhan Effect," The Pakistan Development Review, Pakistan Institute of Development Economics, Pakistan Institute of Development Economics, vol. 37(1), pages 77-81.
  17. Jaffe, Jeffrey & Westerfield, Randolph, 1989. "Is there a monthly effect in stock market returns? : Evidence from foreign countries," Journal of Banking & Finance, Elsevier, Elsevier, vol. 13(2), pages 237-244, May.
  18. Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics, EconWPA 9410002, EconWPA.
  19. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, Elsevier, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974 Elsevier.
  20. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer, Springer, vol. 5(3), pages 275-307, November.
  21. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(3), pages 253-63, July.
  22. Rogalski, Richard J, 1984. " New Findings Regarding Day-of-the-Week Returns over Trading and Non-trading Periods: A Note," Journal of Finance, American Finance Association, American Finance Association, vol. 39(5), pages 1603-14, December.
  23. Keim, Donald B & Stambaugh, Robert F, 1984. " A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 39(3), pages 819-35, July.
  24. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, Elsevier, vol. 14(2-3), pages 483-510, August.
  25. Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 15, pages 184.
  26. Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers, Brown University, Department of Economics 2003-09, Brown University, Department of Economics.
  27. Jeffrey Jaffe & R. Westerfield, . "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 3-85, Wharton School Rodney L. White Center for Financial Research.
  28. Goncalves, Silvia & de Jong, Robert, 2003. "Consistency of the stationary bootstrap under weak moment conditions," Economics Letters, Elsevier, Elsevier, vol. 81(2), pages 273-278, November.
  29. Tang, G. Y. N. & Kwok, K-h., 1997. "Day of the week effect in international portfolio diversification: January vs non-January," Japan and the World Economy, Elsevier, Elsevier, vol. 9(3), pages 335-352, August.
  30. Levis, Mario, 1989. "Stock market anomalies: A re-assessment based on the UK evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 13(4-5), pages 675-696, September.
  31. Aggarwal, Reena & Rivoli, Pietra, 1989. "Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets," The Financial Review, Eastern Finance Association, Eastern Finance Association, vol. 24(4), pages 541-50, November.
  32. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(1), pages 161-174, March.
  33. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 55-69, March.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Young-Hyun Cho & Oliver Linton & Yoon-Jae Whang, 2006. "Are there Monday effects in stock returns: a stochastic dominance approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24520, London School of Economics and Political Science, LSE Library.
  2. Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(1), pages 193-208.
  3. John C. Frain, 2008. "Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices," Trinity Economics Papers, Trinity College Dublin, Department of Economics tep0108, Trinity College Dublin, Department of Economics, revised May 2008.
  4. Alt, Raimund & Fortin, Ines & Weinberger, Simon, 2011. "The Monday effect revisited: An alternative testing approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(3), pages 447-460, June.
  5. Dumitriu, Ramona & Nistor, Costel & Stefanescu, Razvan, 2009. "Changes in the monthly effects from the Romanian foreign exchange market," MPRA Paper 41743, University Library of Munich, Germany, revised 08 May 2010.
  6. Dimitar Tonchev & Tae-Hwan Kim, 2004. "Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(14), pages 1035-1043.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bro:econwp:2003-03. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Brown Economics Webmaster).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.