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The anomalous patterns in foreign exchange markets have received relatively little attention in the literature. This paper empirically investigates the Day-of-the-Week effect in the yen-dollar currency market for three decades and confirms that such effect did exist for the period 1973–1989, but it disappears for the 1990s. The results remain unchanged when the business condition effect, the January effect, the holiday effect, and the first and last day of the month effect are controlled. The results suggest that financial deregulation in Japan has made foreign currency markets more efficient in recent years.

This chapter examines investor overreaction and seasonality in the stock markets of Korea, Hong Kong and Japan using data for the period of 1985–2004. Evidence suggests little to no reversals following days of excessive increase, but all three indices reversed 35% to 45% following days of excessive decline. Seasonality analysis revealed month-of-the-year effects, day-of-the-week effects, the Friday (weekend) effect and the January effect. The Monday effect was not evident.

Intraday volatility characteristics throughout the trading week are examined at the emerging Borsa Istanbul (BIST) stock exchange. Using five-minute (and 15-minute) intervals, accentuated intraday volatility patterns at the microstructure level are examined during the stock market open and close in the morning and in the afternoon sessions. Volatility is highest when markets open in the morning. The second highest is during the afternoon open. The third highest is before the market closes for the day. Volatility before the market close has increased in recent years. These characteristics are seen every trading day. There are also differences: Monday returns are lowest, Friday returns are highest, and Monday morning volatility is highest of the entire trading week. Day-of-the-week and intraday accentuated volatility smile anomalies are jointly investigated using the longest intraday sample period in the emerging country stock exchange literature. Investment companies and professionals can utilize the results for risk management and hedging by avoiding highly volatile opening and closing periods. Arbitrageurs, speculators, and risk takers should trade during these highly volatile periods. Heightened volatility is increased difficulty in price discovery, thus inefficiency. Market participants, exchanges, and public prefer efficient markets. The research presents evidence of trading days, and periods during the trading day, when the exchange becomes more efficient. This is the first research that explores day-of-the-week effect from intraday volatility perspective in an emerging market, and provides useful recommendations in designing risk management strategies at market microstructure level.

This chapter used empirical data from five developed markets and five emerging markets to perform an examination of anomalies using common financial economic approaches along with more innovative econometric models. Of the methodologies used to test for anomalies, the data-driven panel and quantile regressions were empirically found to be better suited over the traditionally common approaches to describe the non-linear, switching behavior of the anomalies. In the developed markets, the statistically significant small firms (size) had the highest average returns. In the developing markets, the lower price-to-earnings (P/E) ratios (value) had the highest average returns. In addition, the research found (1) a small country effect, (2) sales had a negative relationship with returns, and (3) a lower (higher) book-to-market (B/M) was associated with higher returns in the developed (developing) markets, indicating investors received a higher premium for growth (value) equities. The semi-strong form of the efficient market hypothesis was also found to be violated. The anomalies’ behavior varied between sorted portfolios, industries, and developed to emerging markets; though it was found to be consistent through time (not disrupted by bear or bull markets).

Deviations from efficiency widely documented for the case of developed capital markets include the presence of seasonal patterns. These anomalies, fairly well known by investors, could possibly lead to obtaining extraordinary gains. Although markets from the developing and transitional economies have grown significantly during the last decades, research concerning their seasonal behavior is limited. This paper examines the day-of-the week and month-of-the year effect for the seven Latin American stock exchanges: Argentina, Brazil, Chile, Colombia, Mexico, Peru, and Venezuela. Returns derived from the local nominal indexes, adjusted for inflation indexes, and dollar adjusted indexes are analyzed to identify the behavior of each exchange and draw some comparisons.

This chapter simultaneously investigates the most important calendar anomalies in stock returns: day of the week, turn of the month, turn of the year and holiday periods, in four of the most important Latin American stock markets: Argentina, Brazil, Mexico and Chile. Previous evidence available for these countries is very limited. Our results indicate that the three markets show a rather similar pattern regarding return seasonality. A day of the week effect, consisting in negative returns on Mondays, is reported for all the stock markets but the Mexican. The turn of the year effect is observed only in Argentina, and moderate holiday and turn of the month effects are reported in the Brazilian and the Mexican markets, respectively. In addition, significant levels of first-order return autocorrelation are reported for the four stock markets. The contemporary financial crisis has dramatically affected the behaviour of stock prices worldwide, causing, among other effects, a huge increase in price volatility and probably changing the behaviour of participants in financial markets. We have also investigated to what extent our results have been affected by the current abnormal situation.

This is a companion paper to our previous study in Cao and Wei (2005) on stock market temperature anomaly for eight international stock markets. The temperature anomaly is characterized by a negative relationship between stock market returns and temperature. This line of work relies on the impact of environmental variables, such as temperature, on mood and behavior changes. In this paper, we expand the sample in Cao and Wei (2005) to include 19 additional financial markets. Our evidence confirms the identified negative relationship for the expanded sample. More importantly, our nonparametric tests, as opposite to the parametric or semi-parametric approaches used by previous related studies, demonstrate that this negative relationship is robust to distributional assumptions. Based on the sub-sample analysis, we find that this negative relationship is stable over time. Furthermore, we consider temperature deviation and demonstrate that this negative relationship is not just a level effect.

Our study examined whether work engagement follows a predictable pattern over the course of the work week and the role of personality traits in shaping this pattern.

We examined these questions with 131 employees from Canada and the United States who provided daily ratings of work engagement over the course of 10 work days.

Multilevel modeling revealed that employee engagement followed an inverted U-shaped curvilinear pattern from Monday to Friday, peaking midweek. Neuroticism moderated the change pattern of engagement across the work week, such that individuals with higher levels of neuroticism experienced lower and less stable levels of work engagement throughout the work week compared with individuals with lower levels of neuroticism. However, extroversion and conscientiousness did not moderate the change pattern of employee engagement.

These results provide insight into the entrainment of work to the work week and how this entrainment is further affected by the personality trait neuroticism.

Understanding the weekly pattern of work engagement will help leaders’ time work assignments, interventions, and training sessions to keep the levels of employee engagement high.

Our study revealed novel predictors of within-person engagement: weekly entrainment and neuroticism.

This chapter examines a subjective measure of child labor as an alternative to hours data for eliciting the distribution of children's time between work, school, and leisure. The subjective child labor questions that were developed have two primary advantages. First, the subjective measures avoid proxy respondent bias in child labor reports made by parents in a standard hours module. Second, the subjective child labor module scales responses to elicit the relative distribution of the shares of children's time without relying on hours data, which are prone to severe outlier problems. Adult, proxy respondents are found to produce uniformly lower reports of children's time allocated to work and school than the child's own subjective responses. Conditional labor supply functions are also estimated to examine differences in the marginal effects of child, parent, household, and school characteristics between the two types of data. The use of children's subjective responses increases the magnitude of the marginal effects for child's age, parental education, and school availability with limited differences between household composition and asset variables.

This paper investigates Japanese stock returns for the Friday, Monday and Tuesday surrounding U.S. Monday holiday closures. The empirical results show that U.S. Monday closures have a statistically significant impact on Japanese stock return dynamics for surrounding trading days, but do not support the hypothesis that the U.S. Monday and Japanese Tuesday effects are related. Potential explanations for the occurrence and then disappearance of the Japanese Tuesday effect rely on market microstructure properties unique to the Tokyo market. The spillover effects from New York to Tokyo have been increased in density over time, which is attributed to market structural changes represented by the introduction of Nikkei 225 index futures on the SIMEX in 1986.