Rise and fall of calendar anomalies over a century

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

dc.contributor.author	Plastun, Alex
dc.contributor.author	Sibande, Xolani
dc.contributor.author	Gupta, Rangan
dc.contributor.author	Wohar, Mark E.
dc.date.accessioned	2019-09-20T08:50:31Z
dc.date.issued	2019-07
dc.description.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 1900–2018 period. We employ various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis and Mann-Whitney tests, modified cumulative abnormal returns approach), analysis, 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.	en_ZA
dc.description.department	Economics	en_ZA
dc.description.embargo	2020-07-01
dc.description.librarian	hj2019	en_ZA
dc.description.uri	https://www.elsevier.com/locate/najef	en_ZA
dc.identifier.citation	Plastun, A., Sibande, X., Gupta, R. et al. 2019, 'Rise and fall of calendar anomalies over a century', The North American Journal of Economics and Finance, vol. 49, pp. 181-205.	en_ZA
dc.identifier.issn	1062-9408 (print)
dc.identifier.issn	1879-0860 (online)
dc.identifier.other	10.1016/j.najef.2019.04.011
dc.identifier.uri	http://hdl.handle.net/2263/71429
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2019 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in North American Journal of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in North American Journal of Economics and Finance, vol. 49, pp. 181-205, 2019. doi : 10.1016/j.najef.2019.04.011.	en_ZA
dc.subject	Calendar anomalies	en_ZA
dc.subject	Day of the week effect	en_ZA
dc.subject	Turn of the month effect	en_ZA
dc.subject	Turn of the year effect	en_ZA
dc.subject	Holiday effect	en_ZA
dc.subject	Stock market	en_ZA
dc.subject	Dow Jones Industrial Average Index	en_ZA
dc.title	Rise and fall of calendar anomalies over a century	en_ZA
dc.type	Postprint Article	en_ZA