Rise and fall of calendar anomalies over a century

Plastun Alex; Sibande Xolani; Gupta Rangan; Wohar Mark E.

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Rise and fall of calendar anomalies over a century

机译：一个世纪的日历异常的上升和下降

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In this paper, we conduct a comprehensive investigation of calendar anomaly evolution in the US stock market (given by the Dow Jones Industrial Average) for the 1900-2018 period. We employ various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis and Mann-Whitney tests, modified cumulative abnormal returns approach), R/S analysis, and the trading simulation approach to analyse the evolution of the following calendar anomalies: day of the week effect, turn of the month effect, turn of the year effect, and the holiday effect. The results revealed that 'golden age' of calendar anomalies was in the middle of the 20th century. However, since the 1980s all calendar anomalies disappeared. This is consistent with the Efficient Market Hypothesis.

机译：在本文中，我们对1900-2018期间进行了对美国股市日历异常演进的全面调查。我们采用各种统计技术（平均分析，学生的T检验，ANOVA，Kruskal-Wallis和Mann-Whitney检验，修改累积异常返回方法），R / S分析和分析以下演变的交易仿真方法日历异常：本周的一天效果，转向月效应，转向年效果，以及节日效果。结果表明，日历异常的“黄金时代”是在20世纪中叶。但是，自20世纪80年代以来，所有日历异常都消失了。这与高效的市场假设一致。

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来源
《The North American journal of economics and finance》 |2019年第7期|181-205|共25页
作者
Plastun Alex; Sibande Xolani; Gupta Rangan; Wohar Mark E.;
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作者单位

Sumy State Univ Fac Econ & Management Sumy Ukraine;

Univ Pretoria Dept Econ Pretoria South Africa;

Univ Pretoria Dept Econ Pretoria South Africa;

Univ Nebraska Coll Business Adm Lincoln NE 68583 USA|Loughborough Univ Sch Business & Econ Loughborough LE11 3TU Leics England;

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正文语种 eng
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关键词
Calendar anomalies; Day of the week effect; Turn of the month effect; Turn of the year effect; Holiday effect; Stock market; Dow Jones Industrial Average Index;

机译：日历异常;本周的一天效果;转向月效应;年度效果;假期效果;股票市场;道琼斯工业平均指数;

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Rise and fall of calendar anomalies over a century

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