Anomalies, such as calendar effects, could be defined as phenomena where systematic returns patterns are observed. Partisans to informational market efficiency suggest that calendar effects are prone to disappear, as investors in the market could implement strategies in order to take advantage of these anomalous behaviors. Thus we often evocate the ‘self destruction property of anomalies'. However, according to Marquering, Nisser & Valla study's over 1960 – 2003 on DJIA, some calendar effects seem to persist, despite their publication in academic journals. In particular, “turn of the month effect” has been persistent over the time and does not seem to have disappeared. “Week-end effect” and “January effect” were still persistent in the 1990's, although they seem to have progressively disappeared recently. Consequently, have the main calendar effects disappear over the time? The objective of this paper is to determine, whether or not, main calendar effects were persistent over 1998 - 2001 in several European countries and in the United States. The next section synthesizes main previous studies on calendar effects. Then section 3 describes the methodology used for our study.
[...] As this result contradicts the numerous previous studies on January Effect - positive returns were observed in January - we assume that our result is due to an accident (Actually, we have 7*12 = 84 Student tests. Thus, for significance level tests appear significant, whereas it is not the case). In February, March, April, May, June, July, October, November and December, no return's particular behaviour is observed. I. August Effect In order to test the existence of an August Effect in both France and Poland we construct the following model: , where R is the daily return, D1 represents August and D2 represents the other months. [...]
[...] Our objective in this paper is not to resolve or explain these anomalies but, rather, to test if they are present in the broad European stock markets and on the NASDAC 100 stock index Data & Methodology The persistence of these anomalies are tested in seven countries (Belgium, France, United Kingdom, the United States, the Netherlands, Germany and Poland) on their respective main index (BEL 20, CAC 40, FTSE 30 IND, NASDAQ 100, AEX, DAX 30 and POLWG over a three-year period ( to 05.03 .2001), with daily data, i.e observations (As the holidays number remains very low compare to our observations number, we take it into account in our regressions). [...]
[...] t-Statist Prob. ient Error ic Equation: REG_GER Test Value df Probabil Statistic ity Dependent Variable: POL Method: Least Squares Variable Coeffic Std. t-Statist Prob. ient Error ic Equation: REG_POL Test Value df Probabil Statistic ity Appendix A2: Friday Effect Wald Test: Equation: REG_FR Test Value df Probabil Statistic ity Dependent Variable: FR Method: Least Squares Variable Coeffic Std. t-Statist Prob. ient Error ic Wald Test: Equation: REG_NL Test Value df Probabil Statistic ity Wald Test: Equation: REG_GER Test Value df Probabil Statistic ity Appendix B1: Intra-month results Dependent Variable: BEL Method: Least Squares Variable Coeffic Std. [...]
[...] F-statistic P-Value Daily return on Thursdays & Fridays Significantly different from 0 at significance level Thus in France, returns on Thursdays and Fridays are significantly different from returns on the other days at significance level. Furthermore, these daily returns are significantly positive at significance level. Consequently, daily returns equal to in France on Thursdays and Fridays. F-statistic P-Value Daily return on Fridays Significantly different from 0 at significance level In the Netherlands, returns on Fridays are significantly different from returns on the other days at approximately significance level. [...]
[...] 469-81 Jaffe, Jeffrey; Westerfield, Randolph ; The Week-End Effect in Common Stock Returns: The International Evidence, Journal of Finance, Jun85, Vol Issue p433 Johnson, Jackie; Sum Weng Cheng ; Holidays and Trading and Return Patterns of Australian SPI Futures, Journal of Derivatives, Summer2002, Vol Issue p56-67 Ma, Christopher K.; Goebel, Paul R.; On the Seasonalities of Mortgage- Backed Security Prices, Journal of Real Estate Research, Spring91, Vol Issue p19 Marquering, Wessel; Nisser, Johan; Valla, Toni ; Disappearing anomalies: a dynamic analysis of the persistence of anomalies, Applied Financial Economics, Feb2006, Vol Issue p291-302 Lakonishok, Josef; Maberly, Edwin ; The Weekend Effect: Trading Patterns of Individual and Institutional Investors, Journal of Finance, Mar1990, Vol Issue p231-243 Smit, C.F.; Smit, E.vdM. [...]
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