Plastun, AlexSibande, XolaniGupta, RanganWohar, Mark E.2019-09-202019-07Plastun, 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. 181-205.1062-9408 (print)1879-0860 (online)10.1016/j.najef.2019.04.011http://hdl.handle.net/2263/71429In 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© 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.Calendar anomaliesDay of the week effectTurn of the month effectTurn of the year effectHoliday effectStock marketDow Jones Industrial Average IndexPostprint Article