This paper primarily studies the possible existence of the January Effect or the Turn-Of-The-Year Effect in the Indian stock markets and the study proceeds on two propositions. First, if the January anomaly is ascribed to the tax-related selling, it should be clearly evident in the month of...

The paper investigates Indian momentum profitability along with its performance stability round the year using the stock price data from National Stock Exchange (NSE). Results show evidence in favor of momentum profitability over the sample period from 1997 to 2013. Moreover, the momentum...

Day of the week effect phenomenon is one of the most important calendar anomalies that have been observed in many stock markets in all over the world. This specific phenomenon has been observed and studied by many researchers for many years and as a consequence there are a lot of different...

An examination of the Shiller cyclically adjusted pricing-earnings (CAPE) ratio reveals its forecasting power for 12-month CRSP equally weighted (EW) excess returns and value weighted (VW) excess returns. The 12-month EW excess returns following low CAPE ratios are, on average, 20.7% higher than...

This study examines the statistical properties required to model the dynamics of both the returns and volatility series of the daily stock market returns in six Gulf Cooperation Council countries, namely Bahrain, Oman, Kuwait, Qatar, Saudi Arabia, and the United Arab Emirates, under different...

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...

Using several proxies for seasonal affective disorder (SAD), we find that SAD negatively affects IPO first trading day return (underpricing) during the 1981-1989 and 1999-2000 periods, but not during the 1990-1998 and 2001-2007 periods. During those periods when SAD affects IPO underpricing,...