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Article
Publication date: 13 July 2015

K. Stephen Haggard, Jeffrey Scott Jones and H Douglas Witte

The purpose of this paper is to determine the extent to which outliers have persisted in augmenting the Halloween effect over time and to offer an econometric test of…

Abstract

Purpose

The purpose of this paper is to determine the extent to which outliers have persisted in augmenting the Halloween effect over time and to offer an econometric test of seasonality in return skewness that might provide a partial explanation for the Halloween effect.

Design/methodology/approach

The authors split the Morgan Stanley Capital International data for 37 countries into two subperiods and, using median regression and influence vectors, examine these periods for a possible change in the interplay between outliers and the Halloween effect. The authors perform a statistical assessment of whether outliers are a significant contributor to the overall Halloween effect using a bootstrap test of seasonal differences in return skewness.

Findings

Large returns (positive and negative) persist in being generally favorable to the Halloween effect in most countries. The authors find seasonality in return skewness to be statistically significant in many countries. Returns over the May through October timeframe are negatively skewed relative to returns over the November through April period.

Originality/value

This paper offers the first statistical test of seasonality in return skewness in the context of the Halloween effect. The authors show the Halloween effect to be a more complex phenomenon than the simple seasonality in mean returns documented in prior research.

Details

Managerial Finance, vol. 41 no. 7
Type: Research Article
ISSN: 0307-4358

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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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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

Keywords

Content available
Article
Publication date: 29 April 2019

Júlio Lobão

The literature provides extensive evidence for seasonality in stock market returns, but is almost non-existent concerning the potential seasonality in American depository…

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Abstract

Purpose

The literature provides extensive evidence for seasonality in stock market returns, but is almost non-existent concerning the potential seasonality in American depository receipts (ADRs). To fill this gap, this paper aims to examine a number of seasonal effects in the market for ADRs.

Design/methodology/approach

The paper examines four ADRs for the period from April 1999 to March 2017 to look for signs of eight important seasonal anomalies. The authors follow the standard methodology of using dummy variables for the time period of interest to capture excess returns. For comparison, the same analysis on two US stock market indices is conducted.

Findings

The results show the presence of a highly significant pre-holiday effect in all return series, which does not seem to be justified by risk. Moreover, turn-of-the-month effects, monthly effects and day-of-the-week effects were detected in some of the ADRs. The seasonality patterns under analysis tended to be stronger in emerging market-based ADRs.

Research limitations/implications

Overall, the results show that significant seasonal patterns were present in the price dynamics of ADRs. Moreover, the findings lend support to the idea that emerging markets are less efficient than developed stock markets.

Originality/value

This is the most comprehensive study to date for indication of seasonal anomalies in the market for ADRs. The authors use an extensive sample that includes recent significant financial events such as the 2007/2008 financial crisis and consider ADRs with different characteristics, which allows to draw comparisons between the differential price dynamics arising in developed market-based ADRs and in the ADRs whose underlying securities are traded in emerging markets.

Details

Journal of Economics, Finance and Administrative Science, vol. 24 no. 48
Type: Research Article
ISSN: 2077-1886

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Article
Publication date: 15 June 2010

Pieter C.M. Cornelis

Whereas investments in new attractions continue to rise within the theme park industry, knowledge regarding the effects of new attractions on theme park performance and…

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3473

Abstract

Purpose

Whereas investments in new attractions continue to rise within the theme park industry, knowledge regarding the effects of new attractions on theme park performance and attendance remains scarce. In order to isolate these effects, the purpose of this paper is to present the results of an econometric study explaining the variance in theme park visitor numbers and quantifying the effects of new attractions on theme park attendance.

Design/methodology/approach

The paper is based on an econometric study, in which models were produced for four European theme parks. No pooled modelling was used, meaning that four different models were created; one for each participating theme park. Various variables affecting theme park attendance were identified and quantified, and subsequently the effects of new attractions on visitor numbers were isolated.

Findings

Findings indicate that all new attractions opened at Park D during the research period have had a positive long‐term influence on attendance. This positive influence lasted for no more than two years. No significant short‐term influence was found. There were significant differences in effect between new attractions which could not yet be explained.

Research limitations/implications

The research by design only takes into account the economic effects of new attractions and disregards all environmental and socio‐cultural effects. Even though the research provides an accurate approximation of the effects of new attractions on attendance, this effect should, according to the author, not be perceived as a stand‐alone effect yet as a part of a complex system. A situational approach taking into account several other situational as well as qualitative factors would do the complex reality more justice than a, even though effective, simplified and general approach.

Practical implications

Industry operators can now use the econometric model presented in this paper to determine the effects of new attractions on their theme park's attendance and use this knowledge to further fine‐tune their investment policy.

Originality/value

The paper presents the first econometric model successful at isolating and quantifying a new attraction's effect on theme park attendance and can thus be a valuable tool in perfecting one's investment policy. The paper furthermore includes a brief introduction to a situational approach of determining a new attraction's effects on theme park performance.

Details

Worldwide Hospitality and Tourism Themes, vol. 2 no. 3
Type: Research Article
ISSN: 1755-4217

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Article
Publication date: 14 September 2015

K. Stephen Haggard

The purpose of this paper is to examine the stock return impact of “lucky” numbered days in markets dominated by Chinese participants. The existence of such patterns might…

Abstract

Purpose

The purpose of this paper is to examine the stock return impact of “lucky” numbered days in markets dominated by Chinese participants. The existence of such patterns might present arbitrage opportunities for investors who do not share a belief in the Chinese system of “lucky” numbers.

Design/methodology/approach

In univariate and multivariate analyses, the author examines the statistical significance of return differences between “lucky” numbered days and other days. The author examines samples which only consider single digit days and months, and the author also considers samples based on the last digit of the day or month. Based on the findings in these tests, the author designs and tests a trading strategy on the Shenzhen Exchange that produces significant risk-adjusted returns in excess of the buy-and-hold return on the Shenzhen Composite Index.

Findings

The author shows that “lucky” numbered dates impact stock returns in Chinese markets and demonstrate a “lucky” number date trading strategy for the Shenzhen market that produces risk-adjusted returns in excess of the market return.

Originality/value

Prior research on home address numbers and stock trading codes shows that, in markets dominated by Chinese participants, assets with identifiers containing numbers defined by Feng Shui as “lucky” sell at a premium and assets with identifiers containing “unlucky” numbers sell at a discount. In such markets, prices are more likely to end in a “lucky” number than an “unlucky” number. Chinese firms also tend to price their shares at IPO using “lucky” numbers and avoiding “unlucky” numbers. The author extends this literature to examine whether dates containing “lucky” and “unlucky” numbers experience stock returns significantly different than other days on Chinese stock exchanges.

Details

Managerial Finance, vol. 41 no. 9
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 19 February 2021

Sashikanta Khuntia and J.K. Pattanayak

This study broadly attempts to explore adaptive or dynamics patterns of calendar effects existed in the cryptocurrency market as per the adaptive market hypothesis (AMH…

Abstract

Purpose

This study broadly attempts to explore adaptive or dynamics patterns of calendar effects existed in the cryptocurrency market as per the adaptive market hypothesis (AMH) framework. Another agendum of this study is to investigate the quantum of extra returns which may result from the presence of calendar effects.

Design/methodology/approach

The present study considers both parametric and non-parametric approaches to verify calendar effects empirically. Specifically, this study has implemented Generalised Autoregressive Conditional Heteroscedasticity (1, 1) and Kruskal–Wallis tests in the rolling window approach to reveal adaptive patterns of calendar effects. Additionally, the present study has used the implied trading strategy to evaluate the volume of excess returns resulted from calendar effects than buy-and-hold (BH) strategy.

Findings

The overall results of the current study exhibit that calendar effect in the cryptocurrency market is dynamic rather than static which indicates the calendar effect is a time-varying phenomenon. Moreover, this study also confirmed that ITS is not suitable to obtain extra returns despite the existence of calendar effects.

Research limitations/implications

The present study has covered some broad aspects of calendar anomalies in the cryptocurrency market, keeping aside certain other limitations which need to be addressed in the following dimensions. Future studies may aim at addressing issues like, Turn-of-the-Year effect, Halloween effect, weather effect, and Month-of-the-Year effects, and try to explore the reasons of presence of dynamic patterns of calendar effects.

Practical implications

The significant implication of this study is that it alerts investors about market return predictability due to calendar patterns or effects in different periods. It also suggests the period in which the ITS can perform better than the BH strategy.

Originality/value

It is the first study in the cryptocurrency literature which has adopted the AMH framework to verify adaptive calendar effects or anomalies. Furthermore, this study, instead of a mere examination of the presence of calendar effects, has evaluated the potential of calendar effects to produce extra returns through trading strategies.

Details

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

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Article
Publication date: 13 April 2012

K. Stephen Haggard and H. Douglas Witte

The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects.

Abstract

Purpose

The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects.

Design/methodology/approach

The authors suggest the use of an F‐test to examine mean stationarity of asset pricing effects across subperiods. The superiority of this test is demonstrated through examination of the Halloween Effect using simulated data and the Morgan Stanley Capital International (MSCI) data for 18 developed economies.

Findings

It is found that the suggested F‐test provides results superior to a simple examination of the magnitude and statistical significance of estimated regression coefficients across subperiods when attempting to determine mean stationarity.

Originality/value

This paper sheds light on an analytical oversight in the asset pricing anomalies literature and suggests an appropriate test to address this oversight.

Details

Managerial Finance, vol. 38 no. 5
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 5 February 2018

Harshita Harshita, Shveta Singh and Surendra S. Yadav

The purpose of this paper is to ascertain the monthly seasonality in the Indian stock market after taking into consideration the market features of leptokurtosis…

Abstract

Purpose

The purpose of this paper is to ascertain the monthly seasonality in the Indian stock market after taking into consideration the market features of leptokurtosis, volatility clustering and the leverage effect.

Design/methodology/approach

Augmented Dickey-Fuller, Phillips-Perron and Kwaitkowski-Phillips-Schmidt-Shin tests are deployed to check stationarity of the series. Autocorrelation function, partial autocorrelation function and Ljung-Box statistics are employed to check the applicability of volatility models. An exponential generalized auto regressive conditionally heteroskedastic model is deployed to test the seasonality, where the conditional mean equation is a switching model with dummy variables for each month of the year.

Findings

Though the financial year in India stretches from April to March, the stock market exhibits a November effect (returns in November are the highest). Cultural factors, misattribution bias and liquidity hypothesis seem to explain the phenomenon.

Research limitations/implications

The paper endeavors to provide a review of possible explanations behind month-of-the-year effect documented in literature in the past four decades. Further, the unique evidence from the Indian stock market supports the argument in the literature that monthly seasonality, by nature, may not be a consistent/robust phenomenon. Therefore, it needs to be examined from time to time.

Originality/value

As the seasonality in the stock market and resultant anomalies are dynamic phenomena, the paper reports the current seasonality/anomalies prevalent in the Indian market. This would aid investors in designing short-term investment portfolios (based on anomalies present) in order to earn abnormal returns.

Details

Journal of Advances in Management Research, vol. 15 no. 1
Type: Research Article
ISSN: 0972-7981

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Article
Publication date: 15 October 2020

Gylfi Magnusson

The subject of this paper is seasonal variation in the return on stocks. The phenomenon we analyze here is known as the “Halloween effect” or the trading strategy “sell in…

Abstract

Purpose

The subject of this paper is seasonal variation in the return on stocks. The phenomenon we analyze here is known as the “Halloween effect” or the trading strategy “sell in May and go away.” The authors test the hypothesis that stock markets tend to return considerably less in the six months beginning in May than in the other half of the year. This effect has shown persistency over time and is seemingly large enough to be a candidate for economic significance.

Design/methodology/approach

The authors analyze monthly data from 13 countries for the period 1958–2019, using the Kruskal–Wallis test, t-test and a boot-strap based estimator. In addition, we look a sub-periods for a larger group of countries and include data on both stock returns and interest rates.

Findings

The authors find a strong seasonal effect in a large majority of the markets, with the period from November to April seeing higher returns than the other six months of the year. This result also holds for a larger sample of countries based on data from a shorter period. The effect is found to be economically significant in most countries in the sample. The authors examine one potential explanation for seasonal variation in stock returns, i.e. seasonal affective disorder (SAD). The authors find some, albeit weak, support for this hypothesis.

Originality/value

This paper uses a rich dataset that has not been used for this purpose before and robust tests of statistical and economic significance to shed light on an important aspect of global financial markets.

Details

Managerial Finance, vol. 47 no. 2
Type: Research Article
ISSN: 0307-4358

Keywords

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