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A Review On The Evolution Of Calendar Anomalies

Listed author(s):
  • KUMAR Satish

    (IBS Hyderabad (ICFAI Foundation for Higher Education), India)

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    In this article, we provide a detailed review on the behavior of calendar anomalies (day–of–the–week, January and turn–of–month in particular) to understand their evolution over time. The research in the area of stock market indicates negative returns on Monday and positive returns on Friday; however, in the currency markets, results are opposite, that is, the returns on Monday are positive and higher than the returns on Friday which show negative returns. For the January (TOM) effect, the literature suggest that the returns during January (TOM trading days) are higher (lower) than the returns during rest of the year (non–TOM trading days). Further, these calendar anomalies were stronger during the 1980s and 1990s and have gradually diminished in the recent times which indicate that the markets have achieved a higher degree of efficiency.

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    File URL: http://eccsf.ulbsibiu.ro/RePEc/blg/journl/12108kumar.pdf
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    Article provided by Lucian Blaga University of Sibiu, Faculty of Economic Sciences in its journal Studies in Business and Economics.

    Volume (Year): 12 (2017)
    Issue (Month): 1 (April)
    Pages: 95-109

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    Handle: RePEc:blg:journl:v:12:y:2017:i:1:p:95-109
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    Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No 17, postal code 550324, Sibiu, Romania

    Phone: 004 0269 210375
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    Web page: http://economice.ulbsibiu.ro/
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