The Turn of the month effect is one of the better-known calendar anomalies. If a stock market is affected by the Turn of the month effect, it records significantly higher returns during a relatively short time period around the end of the old month and the beginning of the new one, than during...

Even though the presence of the-day-of-the-week effect has been documented in finance literature, its presence in the aftermath of a financial crisis has not been explored. This paper investigates the presence of day-of-the-week effect and returns volatility in fifteen Asia Pacific Financial...

In this paper, we examine the January effect in China’s A-share stock market from January 1995 to December 2019 using both the solar and lunar calendars. We find consistent with the existing literature the absence of a traditional January effect in the solar calendar; however, we observe a...

This study investigates the day of the week effect and the January effect on the Stock Exchange of Mauritius (SEM). Positive and statistically significant Wednesday and Friday effects are observed. Surprisingly we also find a positive and significant Monday effect but smaller in magnitude. The...

The ancient Chinese Almanac lists days that are (in)auspicious for certain actions or events. We find that the initial returns for Initial Public Offerings (IPO), an essential corporate event, are significantly lower on days listed by the Almanac as unlucky. The effect of calendar superstition...

In equity markets, it is common to find calendar anomalies, which have been the subject of several studies in recent decades, even some of them showing that over time these anomalies have disappeared. In this context, this paper analyzes one of these anomalies, the end-of-the-month effect, in...

In this research I examined a calendar anomaly that occurs at the beginning of each quarter. Through an examination of 34 years of daily and annual returns for the S&P500 and 13 years of returns for popular ETFs, I have demonstrated the existence of the First Day of Quarter (FDQ) effect. By...

The objective of the paper is to examine the possible holiday effects in the stock returns from a group of 28 countries. In our investigation we employ daily values of some representative indexes from January 2000 to December 2011. We split this sample in two sub-samples: before and during the...

We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative returns are followed by higher co-exceedance between U.S....