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1 – 10 of over 41000The purpose of this study is to examine the impact of thin trading on the day‐of‐the‐week effect in the emerging equity markets of the United Arab Emirates (UAE). Researchers have…
Abstract
Purpose
The purpose of this study is to examine the impact of thin trading on the day‐of‐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 day‐of‐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 day‐of‐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 day‐of‐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 day‐of‐the‐week effect on the emerging financial markets in the UAE. The study provides empirical evidence on their degree of market efficiency. If the day‐of‐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
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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 consideration the…
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.
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– 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.
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Md. Bokhtiar Hasan, M. Kabir Hassan, Md. Mamunur Rashid, Md. Sumon Ali and Md. Naiem Hossain
In this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid…
Abstract
Purpose
In this study, the authors evaluate seven calendar anomalies’–the day of the week, weekend, the month of the year, January, the turn of the month (TOM), Ramadan and Eid festivals–effects in both the conventional and Islamic stock indices of Bangladesh. Also, the authors examine whether these anomalies differ between the two indices.
Design/methodology/approach
The authors select the Dhaka Stock Exchange (DSE) Broad Index (DSEX) and the DSEX Shariah Index (DSES) of the DSE as representatives of the conventional and Islamic stock indices respectively. To carry out the investigation, the authors employ the generalized autoregressive conditional heteroskedasticity (GARCH) typed models from January 25, 2011, to March 25, 2020.
Findings
The study’s results indicate the presence of all these calendar anomalies in either conventional or Islamic indices or both, except for the Ramadan effect. Some significant differences in the anomalies between the two indices (excluding the Ramadan effect) are detected in both return and volatility, with the differences being somewhat more pronounced in volatility. The existence of these calendar anomalies argues against the efficient market hypothesis of the stock markets of Bangladesh.
Practical implications
The study’s results can benefit investors and portfolio managers to comprehend different market anomalies and make investment strategies to beat the market for abnormal gains. Foreign investors can also be benefited from cross-border diversifications with DSE.
Originality/value
To the authors’ knowledge, first the calendar anomalies in the context of both conventional and Islamic stock indices for comparison purposes are evaluated, which is the novel contribution of this study. Unlike previous studies, the authors have explored seven calendar anomalies in the Bangladesh stock market's context with different indices and data sets. Importantly, no study in Bangladesh has analyzed calendar anomalies as comprehensively as the authors’.
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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 markets…
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.
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This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021.
Abstract
Purpose
This study aims to investigate the day-of-the-week (DoW) effect in globally listed private equity (LPE) markets using daily data covering the period 2004–2021.
Design/methodology/approach
To investigate the existence of the DoW effect in globally LPE markets, ordinary least squares regression, generalised autoregressive conditional heteroscedasticity (GARCH) regression and robust regressions are used. In addition, robustness audits are conducted by subdividing the sampling period into two sub-periods: pre-financial and post-financial crisis.
Findings
Limited statistically significant evidence is found for the DoW effect. By taking time-varying volatility into account, a statistically significant DoW effect can be observed, indicating that the DoW effect is driven by time-varying volatility. Economic significance is captured through visual inspection of average daily returns, which illustrate that Monday returns are lower than the other weekdays.
Practical implications
The results have important implications on whether to adopt a DoW strategy for investors in LPE. The findings show that higher returns on selected days of the week for certain indices are possible.
Originality/value
To the best of the author’s knowledge, this paper provides the first study to examine the DoW effect for globally LPE markets by using LPX indices and contributes valuable insights on this growing asset class.
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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.
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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…
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.
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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 day‐of‐the week anomaly, by using psychological approach.
Abstract
Purpose
This research aims to explore and explain the determinants of irrational financial decision making, especially the day‐of‐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 day‐of‐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 day‐of‐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 day‐of‐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 day‐of‐the week anomaly.
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This paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.
Abstract
Purpose
This paper examines the effect of the holy month of Ramadan on the returns and conditional volatility of cryptocurrency markets.
Design/methodology/approach
The closing prices of six cryptocurrencies have been considered. The study employs different classical tests for checking if the efficiency behaviour is similar during Ramadan celebration days and non-Ramadan days. Besides, dummy variable regression technique for assessing this anomaly on returns and volatilities has been applied.
Findings
Although no significant effect on returns and volatility for Litecoin has been found, the results provide evidence about the existence of the Ramadan effects in cryptocurrency markets. The results of the mean equations show the existence of Ramadan effect for Ethereum, Ripple, Stellar and BinanceCoin for all considered models. Significant effect on Bitcoin returns is found with an autoregressive model of order 1. The results of conditional volatility show Ramadan effect on volatility is not detected.
Originality/value
First, a new contribution in the incipient study of cryptocurrency analysis. Second, a comprehensive review of recently published empirical articles about Ramadan effect on traditional assets has been carried out. Third, unlike most of the papers focussed on the study of Bitcoin, this study has been extended to six cryptocurrencies. Ramadan effect have not been analysed in cryptomarkets yet. This study come to fill this gap and analyses Ramadan effect, previously documented for traditional assets, in particular, stock index from Muslim countries, but not yet analysed in the cryptocurrency markets.
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