Panel Analysis of Calendar Anomalies in the South African Stock Market
Keywords:
Equity; day of the week; turn of the month; holiday; JanuaryAbstract
Calendar anomalies in stock markets play a paramount role is explaining stock returns dynamics. The objective of this study is to determine whether day of the week, turn of the month, holiday and January seasonality exists in the South African stock market. The Johannesburg stock exchange indices data comprised of Top 40, All Shares, Basic Materials, Industrials, Consumer Goods, Health Care, Consumer Services, Telecommunications, Financials and Technology covering the period 1995-2018. Pooled panel with Arellano robust standard errors model was employed. The pooled panel model with Arellano robust estimates results for the day of the week revealed a positive Monday effect. A positive turn of the month effect was observed. Positive post-holiday was found. The results revealed October effect. The study recommends that investors trade on Mondays to earn the highest return during the week. Investors have the potential to earn excess returns when they invest on turn of the month period. For the holiday strategy, investors should trade on the day after the holiday since will entail more profits from the investment. Investors can earn more money through trading in October than in January. The existence of calendar anomalies in the South African equity market invalidates efficient market hypothesis. The novelty of the study lies in the use of sectorial indices in assessment calendar anomalies in a developing stock market.
References
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Alagidede, P. 2013. Month of the year and pre-holiday effects in African stock markets. South African Journal of Economics and Management Sciences, 16(1):64-74.
Alagidede, P. & Panagiotidis, T. 2009. Calendar anomalies in the Ghana stock exchange. Journal of Emerging Market Finance, 8(1):1–23.
Alberg, D., Shalit. H. & Yosef, R. 2008. Estimating stock market volatility using asymmetric GARCH models. Applied Financial Economics, 18(15):1201-1208.
Al-Ississ, M. 2015. The holy day effect. Journal of Behavioral and Experimental Finance, 5(2015):60–80.
Al-Khazali, O. 2014. Revisiting fast profit investor sentiment and stock returns during Ramadan. International Review of Financial Analysis, 33(C):158–170.
Al-Loughani, N. & Chappell. D. 2001. Modelling the day of the week effect in the Kuwait Stock Exchange: A nonlinear GARCH representation, Applied Financial Economics, 11(4):353-359.
Alrashidi, F., Ahmed, M. & Beneid, F. 2014. The calendar impact and trading behavior: An empirical evidence from around the globe. International Business & Economics Research Journal, 13(5):1025-1032.
Arellano, M. 2004. Panel data econometrics. Oxford: Oxford University Press.
Ariss, T., Rezvanian, R. & Mehdian. 2011. Calendar anomalies in the Gulf Cooperation Council stock markets. Emerging Markets Review, 12(1):293–307.
Astin, A. J. L. 2015. Analysis of calendar effects and market anomalies on the Johannesburg stock exchange.Masters Thesis.Nelson Mandela Metropolitan University.
Auret, C. & Cline, R. 2011. Do the value, size and January effects exist on the JSE?,Investment Analysts Journal, 40(74):29-37.
Beladi, H., Chao, C.C. & Hu, M. 2016. The Christmas effect—Special dividend announcements. International Review of Financial Analysis, 43(C):15–30.
Bergsma, K. & Jiang, D. 2016. Cultural New Year holidays and stock returns around the world. Financial Management, 1(1):3-35.
Berument, H., Coskun, M.N. & Sahin, A. 2007. Day of the week effect on foreign exchange market volatility: Evidence from Turkey. Research in International Business and Finance, 21(2007):87–97.
Bhana, N. 1985. The Monday effect on the Johannesburg Stock Exchange. South African Journal of Business Management, 16(1):7-11.
Bhattacharya, K., Sarkar, N. & Mukhopadhyay, D. 2003. Stability of the day of the week effect in return and in volatility at the Indian capital market: A GARCH approach with proper mean specification. Applied Financial Economics, 13(8):553-563.
Birru, J. 2018. Day of the week and the cross-section of returns. Journal of Financial Economics, 130(1):182–214.
Brooks, C. & Persand, G. 2001. Seasonality in Southeast Asian stock markets: Some new evidence on day-of-the-week effects. Applied Economics Letters, 8(3):155-158.
Cadsby, C.B. 1992. The CAPM and the calendar: Empirical anomalies and the risk-return relationship. Management Science, 38(11):1543-1561.
Chancharat, S., Maporn, S., Phuensane, P. & Chancharat, N. 2018. Volatility of holiday effects in Thai stock market. Kasetsart Journal of Social Sciences, xxx(2018):1-6.
Compton, W., Kunkel, R.A. & Kuhlemeyer, G. 2013. Calendar anomalies in the Russian stocks and bonds. Managerial Finance, 39(2):1138-1154.
Coutts, J. A. & Sheikh, M. A. 2002. The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg stock exchange 1987-1997. Applied Financial Economics, 12(12):863-871.
Demirer, R. & Karan, M.B. 2002. An investigation of the day of the week effect on stock returns in Turkey. Emerging Markets Finance & Trade, 38(6):47-77.
Derbali, A. & Hallara. 2016. Day of the week effect on the Tunisian stock market return and volatility. Cogent Business & Management, 3(2016):1-12.
Dodd, O. & Gakhovich, A. 2011. The holiday effect in Central and Eastern European financial markets. Investment Management and Financial Innovations, 8(4):29-35.
Dumitriu, R., Stefanescu, R. & Nistor, C. 2012. Holiday effects on the Romanian stock market. https://www.researchgate.net/publication/228318451_Holiday_Effects_on_the_Romanian_Stock_Market Date of access: 10 Oct 2018.
Fama, E. 1965. Random walks in stock market prices. Financial Analysts Journal, 21(5):55-59.
Fama, E., Fisher, L., Jensen, M.C. & Roll, R. 1969. The adjustment of stock prices to new information. International Economic Review, 10(1):1-21.
Fama, E. F. 1970. Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2):383-417.
Floros, C. 2008. The monthly and trading month effects in Greek stock market returns:1996-2002. Managerial Finance, 34(7):453-464.
French, J. J. 2011. The dynamic interaction between foreign equity flows and returns: evidence from the Johannesburg stock exchange. The International Journal of Business and Finance Research, 5(4):45-56.
Gavriilidis, K., Kallinterakis, V. & Tsalavoutas, I. 2016. Investor mood, herding and the Ramadan effect. Journal of Economic Behavior & Organization, 132(S):23–38. Delhi: National Publishing House.
Halari, A., Helliar, C., Power, D.M. & Tantisantiwong, N. 2018. Taking advantage of Ramadan and January in Muslim countries. The Quarterly Review of Economics and Finance xxx(2018):xxx–xxx.
Jebran, K. & Chen, S. 2017. Examining anomalies in Islamic equity market of Pakistan. Journal of Sustainable Finance & Investment, 7(3):275-289.
Kahneman, D. 2011. Thinking, fast and slow. New York: Farrar, Straus and Giroux.
Kaplanski, G. & Levy, H. 2012. The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE). Quantitative Finance, 12(8):1283-1298.
Kato, K. 1990. Weekly patterns in Japanese stock returns. Management Science, 36(9):1031-1043.
Khouri, Y. 2013. An empirical analysis of the turn-of-the-month and January anomalies in five emerging stock markets. Masters Thesis. The British University in Dubai.
Kiymaz, H. & Berument, H. 2003. The day of the week effect on stock market volatility and volume: International evidence. Review of Financial Economics, 12(2003):363–380.
Kuhn, T. S. 1970. The structure of scientific revolutions. Chicago: The University of Chicago Press.
Kunkel, R.A., Compton, W.S. & Beyer, S. 2003. The turn of the month effect still lives: The international evidence. International Review of Financial Analysis, 12(2003):207-221.
Lakonishok, J. & Levi, M. 1982. Weekend effects on stock returns: A note. The Journal of Finance, 37(3):883-889.
Lakonishok, J. & Smidt, S. 1988. Are seasonal anomalies real? A ninety year perspective. Review of Financial Studies, 1(4):403-425.
Liano, K. & Gup, B.E. 1989. The day of the week effect in stock returns over business cycles. Financial Analysts Journal, 45(4):74-77.
Loffe, S. 2008. The Day of the Week Effect on the JSE Securities Exchange since 1994. Masters Thesis. University of the Witwatersrand.
Ma, C.K. & Goebel, P.R. 1991. On the seasonality of mortgage-backed security prices. The Journal of Real Estate Research, 6(1):19-38.
Mahlophe, M. I. 2015. Effect of market anomalies on expected returns on the JSE: A cross-sector analysis. Vaal Triangle: North-West University (Thesis-Masters).
Mangala, D & Sharma, S.K. 2007. Are there monthly and turn of the month effects in Indian stock marksets?: Evidence and implications. Paradigm, 11(2) :16-22.
Marrett, G.J. & Worthington, A.C. 2009. An empirical note on the holiday effect in the Australian stock market, 1996–2006. Applied Economics Letters, 16(17):1769–1772.
Mashruwala, C.A. & Mashruwala, S.D. 2011. The pricing of accruals quality: January versus the rest of the year. The Accounting Review, 86(4):1349-1381.
Mehta, K. & Chander, R. 2009. Seasonality in Indian stock market: A re-examination of January effect. Asia-Pacific Business Review, 5(4):28-42.
Mishkin, F.S. & Eakins, S.G. 2018. Financial markets and institutions. 9th ed. Harlow: Pearson Education.
Moleko, N. & Ikhide, S. 2016. Pension funds evolution, reforms and trends in South Africa. Available at Pension Institute: https://www.pensions-institute.org/workingpapers/wp1608.pdf Date of access: 23 July 2017.
Mbululu, D. & Chipeta, C. 2012. Day of the week effect: Evidence from the nine economic sectors of the JSE. Investment Analysts Journal, 41(75):55-65.
Nawaz, S. &Mirza, N., 2012. Calendar anomalies and stock returns: A literature survey, Journal of Basic and Applied Scientific Research, 2(12):12321-29.
Norvaisiene, R., Stankeviciene, J. & Lakstutiene, A. 2015. Seasonality in the Baltic stock markets. Procedia-Social and Behavioural Sciences, 213(2015):468-473.
Odgen, J.P. 1990. Turn of the month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects. The Journal of Finance, 45(4):1259-1272.
Oguzsoy, C.B. & Guven, S. 2003. Stock returns and the day of the week effect in Istanbul Stock Exchange. Applied Economics, 35(8):959-971.
Oguzsoy, C.B. & Guven, S. 2006. Turn of the month and turn of the month surrounding days effects in Istanbul stock exchange. Journal of Emerging Market Finance, 5(1):1-13.
Podgorski, B. 2018. Impact of the January effect on return rates in the markets of the 2004 EU enlargement. Journal of Management and Business Administration: Central Europe, 26(1):27-48.
Pompian, M.M. 2012. Behavioral finance and investor types: managing behavior to make better investment decisions. New Jersey: John Wiley & Sons.
Qadan, M. & Kliger, D. 2016. The short trading day anomaly. Journal of Empirical Finance, 38(PA): 62–80.
Reinganum, M. 1984. What the Anomalies Mean. The Journal of Finance, 39(3):837-840.
Ritter, J.R. 1988. The buying and selling behavior of individual investors at the turn of the year. Journal of Finance, 43(3):28-30.
Sanaullah, A., Shah, S. M. A., Ather, M., Ali, E., & Asla, M. R. 2012. How behavioral aspects affect market efficiency: Evidence from KSE 100 Index. Global Journal of Management and Business Research, 12(10).
Sar, V.D. 2003. Calendar effects on the Amsterdam stock exchange. De Economist, 151(3):271-292.
Seif, M., Docherty, P. & Shamsuddin, A. 2017. Seasonal anomalies in advanced emerging stock markets. The Quarterly Review of Economics and Finance, 66(C):169–181.
Shiu, Y.W., Lee, C.I. & Gleason, K.C. 2014. Institutional shareholdings and the January effects in Taiwan. Journal of Multinational Financial Management, 27(2014):49-66.
Silva, P.M. 2010. Calendar “anomalies” in the Portuguese stock market. Investment Analysts Journal, 71(2010):37-50.
Teng, C. & Liu, V.W. 2013. The pre-holiday effect and positive emotion in the Taiwan Stock Market, 1971-2011. Investment Analysts Journal, 42(77):35-43.
Tilica, E.V. & Oprea, D. 2014. Seasonality in the Romanian stock market: The day of the week effect. Procedia Economics and Finance, 15(2014):704-710.
Torres-Reyna, O. 2007. Panel data analysis fixed and random effects using Stata. http://dss.princeton.edu/training/Panel101.pdf Date of access: 15 Oct 2018.
Ülküa, N. & Rogers, M. 2018. Who drives the Monday effect? Journal of Economic Behavior and Organization, 148 (C):46–65.
Vasileiou, E. 2017. Calendar anomalies in stock markets during financial crisis: The S&P 500 case. (In Haciog˘lu, U. & Dinc¸er, H., ed. Global financial crisis and its ramifications on capital markets: Opportunities and threats in volatile economic conditions. Cham: Springer. p. 493-506).
Weigand, R.A. 2014. Applied equity analysis and portfolio management. New Jersey: John Wiley & Sons.
Winkelried, D. & Iberico, L.A. 2018. Calendar effects in Latin American stock markets. Emprical Economics,54(3):1215-1235.
Yan, Z., Cheng, L., Zhao, Y. & Haung, C. 2016. Daily short covering activity and the weekend effect: Evidence from Taiwan. Pacific-Basin Finance Journal, 36 (C):166–184.
Yang, A.S. 2016. Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions. Emerging Markets Review, 28(C):140–154.
Yuan, T. Gupta, R. & Bianchi, R.J. 2015. The pre-holiday effect in China: Abnormal returns or compensation for risk? Review of Pacific Basin Financial Markets and Policies, 18(3):1-28.
Yuan, T. & Gupta, R. 2014. Chinese Lunar New Year effect in Asian stock markets, 1999–2012. The Quarterly Review of Economics and Finance, 54(4):529–537.
Zhang, J., Lai, Y. & Lin, J. 2017. The day of the week effects of stock markets in different countries. Finance Research Letters, 20(2017):47–62.
Zhang, T., Chueh, H. & Hsu, Y.H. 2015. Day of the week trading patterns of informed and uninformed traders in Taiwan's foreign exchange market. Economic Modelling, 47(2015):271–279.
27four. 2013.An insight into African pension funds and financial markets. http://www.27four.com/wp-content/uploads/2013/12/An-Insight-into-African-Pension-Funds-and-Financial-Markets.pdf. Date of access: 23 July 2017.
Alagidede, P. 2013. Month of the year and pre-holiday effects in African stock markets. South African Journal of Economics and Management Sciences, 16(1):64-74.
Alagidede, P. & Panagiotidis, T. 2009. Calendar anomalies in the Ghana stock exchange. Journal of Emerging Market Finance, 8(1):1–23.
Alberg, D., Shalit. H. & Yosef, R. 2008. Estimating stock market volatility using asymmetric GARCH models. Applied Financial Economics, 18(15):1201-1208.
Al-Ississ, M. 2015. The holy day effect. Journal of Behavioral and Experimental Finance, 5(2015):60–80.
Al-Khazali, O. 2014. Revisiting fast profit investor sentiment and stock returns during Ramadan. International Review of Financial Analysis, 33(C):158–170.
Al-Loughani, N. & Chappell. D. 2001. Modelling the day of the week effect in the Kuwait Stock Exchange: A nonlinear GARCH representation, Applied Financial Economics, 11(4):353-359.
Alrashidi, F., Ahmed, M. & Beneid, F. 2014. The calendar impact and trading behavior: An empirical evidence from around the globe. International Business & Economics Research Journal, 13(5):1025-1032.
Arellano, M. 2004. Panel data econometrics. Oxford: Oxford University Press.
Ariss, T., Rezvanian, R. & Mehdian. 2011. Calendar anomalies in the Gulf Cooperation Council stock markets. Emerging Markets Review, 12(1):293–307.
Astin, A. J. L. 2015. Analysis of calendar effects and market anomalies on the Johannesburg stock exchange.Masters Thesis.Nelson Mandela Metropolitan University.
Auret, C. & Cline, R. 2011. Do the value, size and January effects exist on the JSE?,Investment Analysts Journal, 40(74):29-37.
Beladi, H., Chao, C.C. & Hu, M. 2016. The Christmas effect—Special dividend announcements. International Review of Financial Analysis, 43(C):15–30.
Bergsma, K. & Jiang, D. 2016. Cultural New Year holidays and stock returns around the world. Financial Management, 1(1):3-35.
Berument, H., Coskun, M.N. & Sahin, A. 2007. Day of the week effect on foreign exchange market volatility: Evidence from Turkey. Research in International Business and Finance, 21(2007):87–97.
Bhana, N. 1985. The Monday effect on the Johannesburg Stock Exchange. South African Journal of Business Management, 16(1):7-11.
Bhattacharya, K., Sarkar, N. & Mukhopadhyay, D. 2003. Stability of the day of the week effect in return and in volatility at the Indian capital market: A GARCH approach with proper mean specification. Applied Financial Economics, 13(8):553-563.
Birru, J. 2018. Day of the week and the cross-section of returns. Journal of Financial Economics, 130(1):182–214.
Brooks, C. & Persand, G. 2001. Seasonality in Southeast Asian stock markets: Some new evidence on day-of-the-week effects. Applied Economics Letters, 8(3):155-158.
Cadsby, C.B. 1992. The CAPM and the calendar: Empirical anomalies and the risk-return relationship. Management Science, 38(11):1543-1561.
Chancharat, S., Maporn, S., Phuensane, P. & Chancharat, N. 2018. Volatility of holiday effects in Thai stock market. Kasetsart Journal of Social Sciences, xxx(2018):1-6.
Compton, W., Kunkel, R.A. & Kuhlemeyer, G. 2013. Calendar anomalies in the Russian stocks and bonds. Managerial Finance, 39(2):1138-1154.
Coutts, J. A. & Sheikh, M. A. 2002. The anomalies that aren't there: the weekend, January and pre-holiday effects on the all gold index on the Johannesburg stock exchange 1987-1997. Applied Financial Economics, 12(12):863-871.
Demirer, R. & Karan, M.B. 2002. An investigation of the day of the week effect on stock returns in Turkey. Emerging Markets Finance & Trade, 38(6):47-77.
Derbali, A. & Hallara. 2016. Day of the week effect on the Tunisian stock market return and volatility. Cogent Business & Management, 3(2016):1-12.
Dodd, O. & Gakhovich, A. 2011. The holiday effect in Central and Eastern European financial markets. Investment Management and Financial Innovations, 8(4):29-35.
Dumitriu, R., Stefanescu, R. & Nistor, C. 2012. Holiday effects on the Romanian stock market. https://www.researchgate.net/publication/228318451_Holiday_Effects_on_the_Romanian_Stock_Market Date of access: 10 Oct 2018.
Fama, E. 1965. Random walks in stock market prices. Financial Analysts Journal, 21(5):55-59.
Fama, E., Fisher, L., Jensen, M.C. & Roll, R. 1969. The adjustment of stock prices to new information. International Economic Review, 10(1):1-21.
Fama, E. F. 1970. Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2):383-417.
Floros, C. 2008. The monthly and trading month effects in Greek stock market returns:1996-2002. Managerial Finance, 34(7):453-464.
French, J. J. 2011. The dynamic interaction between foreign equity flows and returns: evidence from the Johannesburg stock exchange. The International Journal of Business and Finance Research, 5(4):45-56.
Gavriilidis, K., Kallinterakis, V. & Tsalavoutas, I. 2016. Investor mood, herding and the Ramadan effect. Journal of Economic Behavior & Organization, 132(S):23–38. Delhi: National Publishing House.
Halari, A., Helliar, C., Power, D.M. & Tantisantiwong, N. 2018. Taking advantage of Ramadan and January in Muslim countries. The Quarterly Review of Economics and Finance xxx(2018):xxx–xxx.
Jebran, K. & Chen, S. 2017. Examining anomalies in Islamic equity market of Pakistan. Journal of Sustainable Finance & Investment, 7(3):275-289.
Kahneman, D. 2011. Thinking, fast and slow. New York: Farrar, Straus and Giroux.
Kaplanski, G. & Levy, H. 2012. The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE). Quantitative Finance, 12(8):1283-1298.
Kato, K. 1990. Weekly patterns in Japanese stock returns. Management Science, 36(9):1031-1043.
Khouri, Y. 2013. An empirical analysis of the turn-of-the-month and January anomalies in five emerging stock markets. Masters Thesis. The British University in Dubai.
Kiymaz, H. & Berument, H. 2003. The day of the week effect on stock market volatility and volume: International evidence. Review of Financial Economics, 12(2003):363–380.
Kuhn, T. S. 1970. The structure of scientific revolutions. Chicago: The University of Chicago Press.
Kunkel, R.A., Compton, W.S. & Beyer, S. 2003. The turn of the month effect still lives: The international evidence. International Review of Financial Analysis, 12(2003):207-221.
Lakonishok, J. & Levi, M. 1982. Weekend effects on stock returns: A note. The Journal of Finance, 37(3):883-889.
Lakonishok, J. & Smidt, S. 1988. Are seasonal anomalies real? A ninety year perspective. Review of Financial Studies, 1(4):403-425.
Liano, K. & Gup, B.E. 1989. The day of the week effect in stock returns over business cycles. Financial Analysts Journal, 45(4):74-77.
Loffe, S. 2008. The Day of the Week Effect on the JSE Securities Exchange since 1994. Masters Thesis. University of the Witwatersrand.
Ma, C.K. & Goebel, P.R. 1991. On the seasonality of mortgage-backed security prices. The Journal of Real Estate Research, 6(1):19-38.
Mahlophe, M. I. 2015. Effect of market anomalies on expected returns on the JSE: A cross-sector analysis. Vaal Triangle: North-West University (Thesis-Masters).
Mangala, D & Sharma, S.K. 2007. Are there monthly and turn of the month effects in Indian stock marksets?: Evidence and implications. Paradigm, 11(2) :16-22.
Marrett, G.J. & Worthington, A.C. 2009. An empirical note on the holiday effect in the Australian stock market, 1996–2006. Applied Economics Letters, 16(17):1769–1772.
Mashruwala, C.A. & Mashruwala, S.D. 2011. The pricing of accruals quality: January versus the rest of the year. The Accounting Review, 86(4):1349-1381.
Mehta, K. & Chander, R. 2009. Seasonality in Indian stock market: A re-examination of January effect. Asia-Pacific Business Review, 5(4):28-42.
Mishkin, F.S. & Eakins, S.G. 2018. Financial markets and institutions. 9th ed. Harlow: Pearson Education.
Moleko, N. & Ikhide, S. 2016. Pension funds evolution, reforms and trends in South Africa. Available at Pension Institute: https://www.pensions-institute.org/workingpapers/wp1608.pdf Date of access: 23 July 2017.
Mbululu, D. & Chipeta, C. 2012. Day of the week effect: Evidence from the nine economic sectors of the JSE. Investment Analysts Journal, 41(75):55-65.
Nawaz, S. &Mirza, N., 2012. Calendar anomalies and stock returns: A literature survey, Journal of Basic and Applied Scientific Research, 2(12):12321-29.
Norvaisiene, R., Stankeviciene, J. & Lakstutiene, A. 2015. Seasonality in the Baltic stock markets. Procedia-Social and Behavioural Sciences, 213(2015):468-473.
Odgen, J.P. 1990. Turn of the month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects. The Journal of Finance, 45(4):1259-1272.
Oguzsoy, C.B. & Guven, S. 2003. Stock returns and the day of the week effect in Istanbul Stock Exchange. Applied Economics, 35(8):959-971.
Oguzsoy, C.B. & Guven, S. 2006. Turn of the month and turn of the month surrounding days effects in Istanbul stock exchange. Journal of Emerging Market Finance, 5(1):1-13.
Podgorski, B. 2018. Impact of the January effect on return rates in the markets of the 2004 EU enlargement. Journal of Management and Business Administration: Central Europe, 26(1):27-48.
Pompian, M.M. 2012. Behavioral finance and investor types: managing behavior to make better investment decisions. New Jersey: John Wiley & Sons.
Qadan, M. & Kliger, D. 2016. The short trading day anomaly. Journal of Empirical Finance, 38(PA): 62–80.
Reinganum, M. 1984. What the Anomalies Mean. The Journal of Finance, 39(3):837-840.
Ritter, J.R. 1988. The buying and selling behavior of individual investors at the turn of the year. Journal of Finance, 43(3):28-30.
Sanaullah, A., Shah, S. M. A., Ather, M., Ali, E., & Asla, M. R. 2012. How behavioral aspects affect market efficiency: Evidence from KSE 100 Index. Global Journal of Management and Business Research, 12(10).
Sar, V.D. 2003. Calendar effects on the Amsterdam stock exchange. De Economist, 151(3):271-292.
Seif, M., Docherty, P. & Shamsuddin, A. 2017. Seasonal anomalies in advanced emerging stock markets. The Quarterly Review of Economics and Finance, 66(C):169–181.
Shiu, Y.W., Lee, C.I. & Gleason, K.C. 2014. Institutional shareholdings and the January effects in Taiwan. Journal of Multinational Financial Management, 27(2014):49-66.
Silva, P.M. 2010. Calendar “anomalies” in the Portuguese stock market. Investment Analysts Journal, 71(2010):37-50.
Teng, C. & Liu, V.W. 2013. The pre-holiday effect and positive emotion in the Taiwan Stock Market, 1971-2011. Investment Analysts Journal, 42(77):35-43.
Tilica, E.V. & Oprea, D. 2014. Seasonality in the Romanian stock market: The day of the week effect. Procedia Economics and Finance, 15(2014):704-710.
Torres-Reyna, O. 2007. Panel data analysis fixed and random effects using Stata. http://dss.princeton.edu/training/Panel101.pdf Date of access: 15 Oct 2018.
Ülküa, N. & Rogers, M. 2018. Who drives the Monday effect? Journal of Economic Behavior and Organization, 148 (C):46–65.
Vasileiou, E. 2017. Calendar anomalies in stock markets during financial crisis: The S&P 500 case. (In Haciog˘lu, U. & Dinc¸er, H., ed. Global financial crisis and its ramifications on capital markets: Opportunities and threats in volatile economic conditions. Cham: Springer. p. 493-506).
Weigand, R.A. 2014. Applied equity analysis and portfolio management. New Jersey: John Wiley & Sons.
Winkelried, D. & Iberico, L.A. 2018. Calendar effects in Latin American stock markets. Emprical Economics,54(3):1215-1235.
Yan, Z., Cheng, L., Zhao, Y. & Haung, C. 2016. Daily short covering activity and the weekend effect: Evidence from Taiwan. Pacific-Basin Finance Journal, 36 (C):166–184.
Yang, A.S. 2016. Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions. Emerging Markets Review, 28(C):140–154.
Yuan, T. Gupta, R. & Bianchi, R.J. 2015. The pre-holiday effect in China: Abnormal returns or compensation for risk? Review of Pacific Basin Financial Markets and Policies, 18(3):1-28.
Yuan, T. & Gupta, R. 2014. Chinese Lunar New Year effect in Asian stock markets, 1999–2012. The Quarterly Review of Economics and Finance, 54(4):529–537.
Zhang, J., Lai, Y. & Lin, J. 2017. The day of the week effects of stock markets in different countries. Finance Research Letters, 20(2017):47–62.
Zhang, T., Chueh, H. & Hsu, Y.H. 2015. Day of the week trading patterns of informed and uninformed traders in Taiwan's foreign exchange market. Economic Modelling, 47(2015):271–279.
27four. 2013.An insight into African pension funds and financial markets. http://www.27four.com/wp-content/uploads/2013/12/An-Insight-into-African-Pension-Funds-and-Financial-Markets.pdf. Date of access: 23 July 2017.
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2021-05-10
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Mazviona, B. W., Mah, G., & Choga, I. (2021). Panel Analysis of Calendar Anomalies in the South African Stock Market: Array. Acta Universitatis Danubius. Œconomica, 17(3). Retrieved from https://dj.univ-danubius.ro/index.php/AUDOE/article/view/978
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Economic Development, Technological Change, and Growth
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