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Seasonal anomalies in advanced emerging stock markets

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  • Seif, Mostafa
  • Docherty, Paul
  • Shamsuddin, Abul

Abstract

Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, relatively few studies have comprehensively examined these anomalies within emerging markets. Testing the robustness of seasonal anomalies in emerging markets would first, help to examine the theoretical explanations that have been proposed and second, provide an out-of-sample result for these seasonality anomalies. This study examines the efficiency of advanced emerging markets by testing five seasonal anomalies: the month of the year, other January, day-of-the-week, holiday, and week 44. Evidence is reported that is consistent with all of these seasonal anomalies with the exception of the other January effect; supporting the argument that advanced emerging markets are less than perfectly efficient.

Suggested Citation

  • Seif, Mostafa & Docherty, Paul & Shamsuddin, Abul, 2017. "Seasonal anomalies in advanced emerging stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 169-181.
  • Handle: RePEc:eee:quaeco:v:66:y:2017:i:c:p:169-181
    DOI: 10.1016/j.qref.2017.02.009
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    More about this item

    Keywords

    Anomalies; Seasonality; Market efficiency; Emerging markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • 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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