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Calendar Anomalies and Risk in the Wine Exchange Market

Author

Listed:
  • Hooi Hooi Lean

    (Economics Program, School of Social Sciences, Universiti Sains Malaysia, 11800 Pulau Pinang, Malaysia)

  • Christine Siew Pyng Chong

    (School of Business Studies, Kolej Tunku Abdul Rahman, 77, Lorong Lembah Permai Tiga, 11200 Tanjong Bungah, Pulau Pinang, Malaysia)

Abstract

This paper examines calendar anomalies, in particular, the monthly effect in the international wine exchange market. The empirical findings suggest that there is a March effect for the Liv-ex Fine Wine 500 Index, a May effect for the Liv-ex Fine Wine 100 Index and the Liv-ex Claret Chip Index and a June effect for the Liv-ex Fine Wine Investables Index. We find that the market risk is higher in March and June for the Liv-ex 500 Index and the Liv-ex Investables Index, respectively. However, this higher market risk is not the cause of the monthly effect.

Suggested Citation

  • Hooi Hooi Lean & Christine Siew Pyng Chong, 2012. "Calendar Anomalies and Risk in the Wine Exchange Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 8(1), pages 25-39.
    • Handle: RePEc:usm:journl:aamjaf00801_25-39
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    Cited by:

    1. Cumming, Douglas & Zhang, Yelin, 2016. "Alternative investments in emerging markets: A review and new trends," Emerging Markets Review, Elsevier, vol. 29(C), pages 1-23.
    2. Plastun, Alex & Bouri, Elie & Havrylina, Ahniia & Ji, Qiang, 2022. "Calendar anomalies in passion investments: Price patterns and profit opportunities," Research in International Business and Finance, Elsevier, vol. 61(C).

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