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Article
Publication date: 8 August 2008

Osamah M. Al‐Khazali

The purpose of this study is to examine the impact of thin trading on the dayof‐the‐week effect in the emerging equity markets of the United Arab Emirates (UAE)…

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Abstract

Purpose

The purpose of this study is to examine the impact of thin trading on the dayof‐the‐week effect in the emerging equity markets of the United Arab Emirates (UAE). Researchers have stated that emerging markets are typically characterized by low liquidity, thin trading and possibly less well‐informed investors with access to unreliable information and considerable volatility. It is well known that thin trading can affect the results of empirical studies on patterns of equity markets by introducing a serious bias into the results.

Design/methodology/approach

This study applies a stochastic dominance approach to detect the dayof‐the‐week effect. The reason for utilizing this approach is that the parametric tests are not strictly appropriate for assets with non‐normally distributed returns. In fact, stochastic dominance is a useful tool for making comparisons among distributions without relying on parametric assumptions.

Findings

The findings indicate that there is dayof‐the‐week effect in published daily prices, while daily effect vanishes when data are corrected to remove any measurement bias arising from thin trading. The stochastic dominance results show that the dayof‐the‐week effect in the UAE equity markets is not present when we correct raw data for thin and infrequent trading.

Originality/value

There has been no research in the literature testing the dayof‐the‐week effect on the emerging financial markets in the UAE. The study provides empirical evidence on their degree of market efficiency. If the dayof‐the‐week effect exists, this means that the Abu Dhabi Securities Markets and the Dubai Financial Markets are inefficient. These results will help investors to develop a good investment strategy

Details

Review of Accounting and Finance, vol. 7 no. 3
Type: Research Article
ISSN: 1475-7702

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Article
Publication date: 13 April 2010

Osamah Al‐Khazali, Taisier A. Zoubi and Evangelos P. Koumanakos

The purpose of this paper is to empirically investigate the Saturday effect in three emerging stock markets (Bahrain, Kuwait, and Saudi Arabia) by taking into…

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1087

Abstract

Purpose

The purpose of this paper is to empirically investigate the Saturday effect in three emerging stock markets (Bahrain, Kuwait, and Saudi Arabia) by taking into consideration the thin trading that is normal in such capital markets.

Design/methodology/approach

The paper applies the stochastic dominance (SD) approach, which is not distribution‐dependent and can shed light on the utility and wealth implications of portfolio preferences by exploiting information in higher order moments, to investigate empirically the existence of the Saturday effect in the three Gulf stock markets.

Findings

The findings indicate that the Saturday effect does not manifest itself in the three Gulf stock markets and that the SD results show that the Saturday effect in these markets is not present when raw data are corrected for thin and infrequent trading.

Originality/value

This paper is believed to be the first to use SD approach to examine the Saturday effect.

Details

International Journal of Emerging Markets, vol. 5 no. 2
Type: Research Article
ISSN: 1746-8809

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Book part
Publication date: 2 December 2003

Nobuyoshi Yamori and Panos Mourdoukoutas

The anomalous patterns in foreign exchange markets have received relatively little attention in the literature. This paper empirically investigates the Day-of-the-Week

Abstract

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.

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The Japanese Finance: Corporate Finance and Capital Markets in ...
Type: Book
ISBN: 978-1-84950-246-7

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Article
Publication date: 7 March 2016

Dinesh Jaisinghani

– The purpose of this paper is to test prominent calendar anomalies for Indian securities markets those are commonly reported for advanced markets.

Abstract

Purpose

The purpose of this paper is to test prominent calendar anomalies for Indian securities markets those are commonly reported for advanced markets.

Design/methodology/approach

The study considers closing values of 11 different indices of National Stock Exchange India, for the period 1994-2014. By using dummy variable regression technique, five different calendar anomalies namely day of the week effect, month of the year effect, mid-year effect, Halloween effect, and trading-month effect are tested. Also, the evidence of volatility clustering has been tested through the application of generalized autoregressive conditional heteroscedasticity (GARCH)-M models.

Findings

The results display weak evidence in support of a positive Wednesday effect. The results also display weak evidence in support of a positive April and December effect. The results show strong evidence in support of a positive September effect. The Halloween effect was not found significant. The test of mid-year effect provides evidence that the returns obtained on the second-half or the year are considerably higher than those obtained during the first half. The test of interactions effects showed possible presence of interactions among various effects. The GARCH-based tests display strong evidence in support of volatility clustering.

Practical implications

The results have several implications for investors, regulators, and researchers. For investors, the trading strategies based on results obtained have been discussed. Similarly, certain key implications for regulators have been described.

Originality/value

The originality of the paper lies in the long time frame and multiple indices covered. Also, the study analyses five different calendar anomalies and the interactions among these effects. These analyses provide useful insights regarding returns predictability for the Indian securities markets.

Details

South Asian Journal of Global Business Research, vol. 5 no. 1
Type: Research Article
ISSN: 2045-4457

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Book part
Publication date: 4 March 2008

Mark Schaub, Bun Song Lee and Sun Eae Chun

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…

Abstract

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.

Details

Research in Finance
Type: Book
ISBN: 978-1-84950-549-9

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Article
Publication date: 1 May 2018

Meher Shiva Tadepalli and Ravi Kumar Jain

Market efficiency suggests that price of the security must reflect its intrinsic value by impounding all the available and accessible information. Asset pricing in capital…

Abstract

Purpose

Market efficiency suggests that price of the security must reflect its intrinsic value by impounding all the available and accessible information. Asset pricing in capital markets has been an exceptionally dynamic area of scholarly research and is considered as a barometer for assessing market efficiency. This phenomenon was very well explained by several market pricing models and theories over the last few decades. However, several anomalies, which cannot be explained by the traditional asset pricing models due to seasonal and psychological factors, were observed historically. The same has been studied by several researchers over the years and is well captured in the literature pertaining to market asset pricing. The purpose of this paper is to revisit the research studies related to a few asset pricing anomalies, collectively referred to as “calendar anomalies”, such as – day-of-the-week, turn-of-the-month, turn-of-the-year and the holiday effects. In this pursuit, a thorough survey of literature in this area, published over the last 80 years (from 1934 to 2016) across 24 prominent journals, has been made and presented in a comprehensive, structured and chronologically arranged major findings and learnings. This literature survey reveals that the existing literature do provide a great depth of understanding around these calendar anomalies often with reference to specific markets, the size of the firm and investor type. The paper also highlights a few aspects where the existing literature is silent or provides little support leaving a gap that needs to be addressed with further research in this area.

Design/methodology/approach

The goal of the study requires a comprehensive review of the past literature related to calendar anomalies. As a consequence, to identify papers which sufficiently represent the area of study, the authors examined the full text of articles within EBSCOHost, Elsevier-Science direct, Emerald insight and JSTOR databases with calendar anomalies related keywords for articles published since inception. Further, each article was classified based on the anomaly discussed and the factors used to sub-categorize the anomaly. Once all the identified fields were populated, we passed through another article by constantly updating the master list till all the 99 articles were populated.

Findings

It is also important to understand at this juncture that most of the papers surveyed discuss the persistence of the asset pricing anomalies with reference to the developed markets with a very few offering evidences from emerging markets. Thus leaving a huge scope for further research to study the persistence of asset pricing anomalies, the degree and direction of the effect on asset pricing among emerging markets such as India, Russia, Brazil vis-a-vis the developed markets. Further, regardless of the markets with reference to which the study is conducted, the research so far appears to have laid focus only on the overall market returns derived from aggregate market indices to explain the asset pricing anomalies. Thus leaving enough scope for further research to study and understand the persistence of these anomalies with reference to various strategic, thematic and sectoral indices in various markets (developed, emerging and underdeveloped countries) across different time periods. It will be also interesting to understand how, some or all of, these established asset pricing anomalies behave over a certain time period when markets move across the efficiency maturity model (from weak form to semi-strong to strong form of efficiency).

Originality/value

The main purpose of the study entails a detailed review of all the past literature pertinent to the calendar anomalies. In order to explore the prior literature that sufficiently captures the research area, various renowned databases were examined with keywords related to the calendar anomalies under scope of current study. Furthermore, based on the finalized articles, a comprehensive summary table was populated and provided in the Appendix which gives a snapshot of all the articles under the current assessment. This helps the readers of the article to directly relate the findings of each article with its background information.

Details

American Journal of Business, vol. 33 no. 1/2
Type: Research Article
ISSN: 1935-5181

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Article
Publication date: 17 January 2020

Dinesh Jaisinghani, Muskan Kaur and Mohd Merajuddin Inamdar

The purpose of this paper is to analyze different seasonal anomalies for the Israeli securities markets for the pre- and post-global financial crisis periods.

Abstract

Purpose

The purpose of this paper is to analyze different seasonal anomalies for the Israeli securities markets for the pre- and post-global financial crisis periods.

Design/methodology/approach

The closing values of six indices of the Tel Aviv Stock Exchange (TASE) of Israel have been considered. The time frame ranges from 2000 to 2018. Further, the overall time frame has been segregated into pre- and post-financial crisis periods. The study employs dummy variable regression technique for assessing different calendar anomalies.

Findings

The results show evidence pertaining to different seasonal anomalies for the Israeli markets. The results specifically show that the anomalies change considerably across the pre- and post-financial crisis periods. The results are more apparent for three anomalies including the day of the week effect, the month of the year effect and the holiday effect. However, anomalies including the Halloween effect and the trading month effect are found to be insignificant across both pre- and post-financial crisis periods.

Originality/value

The study is first of its kind that analyzes different seasonal anomalies across pre- and post-financial crisis periods for the Israeli markets. The study provides newer insights about the overall return patterns observed in different indices of the TASE.

Details

Managerial Finance, vol. 46 no. 3
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 12 June 2017

Chuhan (Renee) Wang and Marketa Kubickova

The purpose of this paper is to examine factors affecting the engagement metrics of the hotel Facebook page. Such factors include time-of-day, day-of-week, age, gender and…

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1444

Abstract

Purpose

The purpose of this paper is to examine factors affecting the engagement metrics of the hotel Facebook page. Such factors include time-of-day, day-of-week, age, gender and distance between the hotel and users’ origin of residence. Another purpose is to assess the impact of Facebook engagement on electronic word-of-mouth (eWOM), to better understand the importance of the engagement metrics within the hotel Facebook context.

Design/methodology/approach

This study uses secondary data from the Facebook page of a 147-room hotel in Northeast America. A total of 181 observations reflecting primary Facebook metrics are adopted via Facebook Insights between January 2014 and June 2014.

Findings

The number of daily-engaged users positively affects the number of daily people talking about the page (eWOM). Moreover, the number of engaged users differs significantly by the external factors (time-of-day, day-of-week, age, gender and distance).

Practical implications

Hotel Facebook developers should post the most important promotions on Monday afternoon, targeting females aged between 25 and 34 years living within 50 miles of the hotel. Posting on hotel Facebook a few hours before “traffic” to avoid competition and gain visibility is important. Marketers should focus on giving feedback during peak times.

Originality/value

This empirical study extends prior studies on social media metrics to the effects of external factors on the engagement metrics within the hotel Facebook context. Increasing the number of engaged users improves the effectiveness of eWOM for a hotel, which lacks empirical evidence.

Details

Journal of Hospitality and Tourism Technology, vol. 8 no. 2
Type: Research Article
ISSN: 1757-9880

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Article
Publication date: 26 October 2012

Rayenda Khresna Brahmana, Chee‐Wooi Hooy and Zamri Ahmad

This research aims to explore and explain the determinants of irrational financial decision making, especially the dayof‐the week anomaly, by using psychological approach.

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2523

Abstract

Purpose

This research aims to explore and explain the determinants of irrational financial decision making, especially the dayof‐the week anomaly, by using psychological approach.

Design/methodology/approach

As it is a conceptual paper, this research explores the psychological biases literature and links it to the dayof‐the week anomaly. Using Ellis' ABC (Activating Event, Belief, and Consequences) Model, the authors survey and classify the stimulant as the occasion that stimulates the psychological biases of investors, and these psychological biases will bring a consequence in behaviour which is irrationality in weekend effect.

Findings

Adopting Ellis' ABC model, the paper constructs a theoretical framework that link the psychological biases and dayof‐the week anomaly. The theoretical model is also given as a proposed model for future empirical research.

Research limitations/implications

This paper contributes to research by giving the theoretical model and its framework. The latter, future research can examine the proposed psychological biases as the determinant of dayof‐the week anomaly empirically.

Originality/value

This paper conceptually builds a framework and derives a proposed equation model linking the psychological biases (weather, moon, attention bias, heuristic bias, regret, and cognitive bias) to the dayof‐the week anomaly.

Details

Humanomics, vol. 28 no. 4
Type: Research Article
ISSN: 0828-8666

Keywords

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Abstract

Details

Travel Survey Methods
Type: Book
ISBN: 978-0-08-044662-2

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