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Security price anomalies in the London International Stock Exchange: a 60 year perspective

Listed author(s):
  • Zainudin Arsad
  • J. Andrew Coutts
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    This paper investigates the existence of security price anomalies, or 'calendar effects' in the Financial Times Industrial Ordinary Shares Index over a 60 year period: 1 July 1935 through 31 December 1994. Our results broadly support similar evidence documented for many countries concerning stock market anomalies, as the weekend, January and holiday effects all appear, to some extent, to be present in our data set. We conclude, that even if these anomalies are persistent in their occurrence and magnitude, the cost of implementing any potential 'trading rules' may be prohibitive due to the illiquidity of the market and 'round trip' transactions costs. This is of course perfectly consistent with the notion of market efficiency, in that no strategy exists that will consistently yield abnormal returns.

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    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 7 (1997)
    Issue (Month): 5 ()
    Pages: 455-464

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    Handle: RePEc:taf:apfiec:v:7:y:1997:i:5:p:455-464
    DOI: 10.1080/096031097333312
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