Browsing Economic and Management Sciences by Subject "Calendar anomalies"

Browsing Economic and Management Sciences by Subject "Calendar anomalies"

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  • Halloween effect in developed stock markets : a historical perspective 
    Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2020-05)
    In this paper, we conduct a comprehensive investigation of the Halloween effect evolution in the US stock market over its entire history as well as in the other developed markets (UK, French, Canadian, German and Japanese). ...
  • Historical evolution of monthly anomalies in international stock markets 
    Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2020-04)
    This paper is a comprehensive investigation of the evolution of various monthly anomalies (January effect, December effect, and the Mark Twain effect) in the US stock market for its entire history. This is done using various ...
  • Rise and fall of calendar anomalies over a century 
    Plastun, Alex; Sibande, Xolani; Gupta, Rangan; Wohar, Mark E. (Elsevier, 2019-07)
    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 1900–2018 period. We employ various statistical techniques ...