Rise and Fall of Calendar Anomalies over a Century

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2019 South Africa English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Wohar, Mark E.;

doi: 10.2139/ssrn.3362148 , 10.1016/j.najef.2019.04.011

handle: 2263/71429

Rise and Fall of Calendar Anomalies over a Century

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Abstract

In this paper, we conduct a comprehensive investigation of calendar anomaly evolution in the US stock market (given by the Dow Jones Industrial Average) for the 1900 to 2018 period. We employ various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis and Mann-Whitney tests) and the trading simulation approach to analyse the evolution of the following calendar anomalies: day of the week effect, turn of the month effect, turn of the year effect, and the holiday effect. The results revealed that ‘golden age’ of calendar anomalies was in the middle of the 20th century. However, since the 1980s all calendar anomalies disappeared. This is consistent with the Efficient Market Hypothesis.

Country

South Africa

Related Organizations

Loughborough University
United Kingdom
University of Nebraska System
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College of Business Administration
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Keywords

Stock market, 332, Dow Jones Industrial Average Index, Day of the week effect, Calendar anomalies, Turn of the month effect, Holiday effect, Turn of the year effect

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