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Sundays are blue : aren't they? ; the day-of-the-week effect on subjective well-being and socio-economic status
Akay, Alpaslan; Martinsson, Peter - 2009
This paper analyses whether individuals are influenced by the day of the week when reporting subjective well-being. By using a large panel data set and controlling for observed and unobserved individual characteristics, we find a large day-of the-week effect. Overall, we find a 'blue' Sunday...
Persistent link: https://www.econbiz.de/10003918937
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Calendar anomalies in the Ukrainian stock market
Caporale, Guglielmo Maria; Plastun, Alex - 2016
This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...
Persistent link: https://www.econbiz.de/10011456764
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Calendar anomalies in the Ukrainian stock market
Caporale, Guglielmo Maria; Plastun, Alex - 2016
This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...
Persistent link: https://www.econbiz.de/10011458018
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Calendar anomalies in the Ukrainian stock market
Caporale, Guglielmo Maria; Plastun, Alex - 2016
Persistent link: https://www.econbiz.de/10011536650
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Improved calendar time approach for measuring long-run anomalies
Dutta, Anupam - In: Cogent economics & finance 3 (2015) 1, pp. 1-14
time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this … paper, we show that a recently introduced calendar time methodology, known as Standardized Calendar Time Approach (SCTA …), controls well for heteroscedasticity problem which occurs in calendar time methodology due to varying portfolio compositions …
Persistent link: https://www.econbiz.de/10011449859
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Debunking two myths of the weekend effect
Cheong, Foong Soon - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-9
This paper finds the weekend effect to be a remarkably robust anomaly and refutes the widespread belief that the weekend effect is due to data-mining or a consequence of some unusual/rare events. Out-of-sample analysis finds both the mean and median return on Monday is lower than that on Friday...
Persistent link: https://www.econbiz.de/10011474547
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Changes of the Time Intervals Specific to Calendar Anomalies : The Case of TOQ Effect on Bucharest Stock Exchange
Stefanescu, Razvan - 2020
The Turn-of-the-quarter (TOQ) Effect is a calendar anomaly consisting in abnormal returns occurring in a specific time …+n). As many other anomalies, the TOQ Effect is not necessary persistent in time, so the interval [BQ-m; BQ+n] could … experience some changes. This paper explores such changes for the time intervals specific to the Turn-of-the-quarter (TOQ) Effect …
Persistent link: https://www.econbiz.de/10012824545
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Monday Mornings : Individual Investor Trading on Days of the Week and Times Within a Day
Richards, Daniel W. - 2020
Individual investors' demand for trading activity will vary over time according to their availability and desire to … selling of losses on Monday mornings, suggesting investors utilise spare time to process difficult trading decisions …
Persistent link: https://www.econbiz.de/10012850094
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Is the 'Quarter of Birth' Endogenous? Evidence from One Million Siblings in Taiwan
Fan, Elliott - 2014
Recent studies based on US data have provided evidence to suggest that the 'quarter of birth' (QOB) may be endogenous and that the use of QOB as an instrumental variable will consequently produce inconsistent estimates (see Buckles and Hungerman, 2013). Such potential endogeneity is addressed in...
Persistent link: https://www.econbiz.de/10013048103
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Calendar anomalies in African stock markets
Ferrouhi, El Mehdi; Kharbouch, Omar; Aguenaou, Samir; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-17
In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...
Persistent link: https://www.econbiz.de/10013184417