IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/97961.html
   My bibliography  Save this paper

Introducere în analiza anomaliilor calendaristice, Partea a doua
[An Introduction to the Analysis of the Calendar Anomalies, Part 2]

Author

Listed:
  • Stefanescu, Răzvan
  • Dumitriu, Ramona

Abstract

This paper approaches some simple methods for the calendar anomalies identification. Taking the TOY Effect as an example, we show how the t tests or the OLS regressions could be used to detect a seasonal component of the financial assets’ returns.

Suggested Citation

  • Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Introducere în analiza anomaliilor calendaristice, Partea a doua [An Introduction to the Analysis of the Calendar Anomalies, Part 2]," MPRA Paper 97961, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:97961
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/97961/1/MPRA_paper_97961.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Tinic, Seha M. & West, Richard R., 1984. "Risk and return : Janaury vs. the rest of the year," Journal of Financial Economics, Elsevier, vol. 13(4), pages 561-574, December.
    2. Andrew C. Szakmary & Dean B. Kiefer, 2004. "The Disappearing January/Turn of the Year Effect: Evidence From Stock Index Futures and Cash Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(8), pages 755-784, August.
    3. Lakonishok, Josef, et al, 1991. "Window Dressing by Pension Fund Managers," American Economic Review, American Economic Association, vol. 81(2), pages 227-231, May.
    4. Sias, Richard W & Starks, Laura T, 1997. "Institutions and Individuals at the Turn-of-the-Year," Journal of Finance, American Finance Association, vol. 52(4), pages 1543-1562, September.
    5. Reinganum, Marc R., 1983. "The anomalous stock market behavior of small firms in January : Empirical tests for tax-loss selling effects," Journal of Financial Economics, Elsevier, vol. 12(1), pages 89-104, June.
    6. David Hirshleifer & Tyler Shumway, 2003. "Good Day Sunshine: Stock Returns and the Weather," Journal of Finance, American Finance Association, vol. 58(3), pages 1009-1032, June.
    7. Aharony, Joseph & Swary, Itzhak, 1980. "Qtrly Dividend and Earnings Announcements and Stockholders' Returns: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 35(1), pages 1-12, March.
    8. Jaffe, Jeffrey & Westerfield, Randolph, 1985. "Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(2), pages 261-272, June.
    9. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, 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.
    10. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    11. Mustafa Gultekin & Bulent Gultekin, "undated". "Stock Market Seasonality: Internal Evidence," Rodney L. White Center for Financial Research Working Papers 17-83, Wharton School Rodney L. White Center for Financial Research.
    12. Hong, Harrison & Yu, Jialin, 2009. "Gone fishin': Seasonality in trading activity and asset prices," Journal of Financial Markets, Elsevier, vol. 12(4), pages 672-702, November.
    13. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
    14. Ng, Lilian & Wang, Qinghai, 2004. "Institutional trading and the turn-of-the-year effect," Journal of Financial Economics, Elsevier, vol. 74(2), pages 343-366, November.
    15. D'Mello, Ranjan & Ferris, Stephen P. & Hwang, Chuan Yang, 2003. "The tax-loss selling hypothesis, market liquidity, and price pressure around the turn-of-the-year," Journal of Financial Markets, Elsevier, vol. 6(1), pages 73-98, January.
    16. Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184-184.
    17. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    18. Paul Brockman & David Michayluk, 1998. "The persistent holiday effect: additional evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 205-209.
    19. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
    20. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias," Journal of Finance, American Finance Association, vol. 47(2), pages 553-575, June.
    21. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December.
    22. Givoly, Dan & Ovadia, Arie, 1983. "Year-End Tax-Induced Sales and Stock Market Seasonality," Journal of Finance, American Finance Association, vol. 38(1), pages 171-185, March.
    23. Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2014. "Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?," Journal of Accounting and Economics, Elsevier, vol. 58(1), pages 41-58.
    24. Ali F. Darrat & Bin Li & Benjamin Liu & Jen Je Su, 2011. "A Fresh Look at Seasonal Anomalies: An International Perspective," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 93-116, August.
    25. Ou, Jane A. & Penman, Stephen H., 1989. "Financial statement analysis and the prediction of stock returns," Journal of Accounting and Economics, Elsevier, vol. 11(4), pages 295-329, November.
    26. Dyl, Edward A, 1977. "Capital Gains Taxation and Year-End Stock Market Behavior," Journal of Finance, American Finance Association, vol. 32(1), pages 165-175, March.
    27. Ofer, Aharon R & Siegel, Daniel R, 1987. "Corporate Financial Policy, Information, and Market Expectations: An Empirical Investigation of Dividends," Journal of Finance, American Finance Association, vol. 42(4), pages 889-911, September.
    28. Ariel, Robert A., 1987. "A monthly effect in stock returns," Journal of Financial Economics, Elsevier, vol. 18(1), pages 161-174, March.
    29. Ross Clark & William T. Ziemba, 1987. "OR Practice—Playing the Turn-of-the-Year Effect with Index Futures," Operations Research, INFORMS, vol. 35(6), pages 799-813, December.
    30. Lakonishok, Josef & Smidt, Seymour, 1984. "Volume and turn-of-the-year behavior," Journal of Financial Economics, Elsevier, vol. 13(3), pages 435-455, September.
    31. Ziemba, William T., 1991. "Japanese security market regularities : Monthly, turn-of-the-month and year, holiday and golden week effects," Japan and the World Economy, Elsevier, vol. 3(2), pages 119-146, September.
    32. Keim, Donald B., 1989. "Trading patterns, bid-ask spreads, and estimated security returns : The case of common stocks at calendar turning points," Journal of Financial Economics, Elsevier, vol. 25(1), pages 75-97, November.
    33. Ogden, Joseph P, 1990. "Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects," Journal of Finance, American Finance Association, vol. 45(4), pages 1259-1272, September.
    34. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
    35. Ritter, Jay R & Chopra, Navin, 1989. " Portfolio Rebalancing and the Turn-of-the-Year Effect," Journal of Finance, American Finance Association, vol. 44(1), pages 149-166, March.
    36. Donald B. Keim, "undated". "Trading Patterns, Bid-Ask Spreads and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points (Reprint 008)," Rodney L. White Center for Financial Research Working Papers 22-89, Wharton School Rodney L. White Center for Financial Research.
    37. McQueen, Grant & Roley, V Vance, 1993. "Stock Prices, News, and Business Conditions," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 683-707.
    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


    Cited by:

    1. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România [The Turn-of-the-Year Effect in the Romanian foreign exchange market]," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.

    More about this item

    Keywords

    Financial markets; Calendar anomalies; Turn-of-the-year effect;

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:97961. 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: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.