Download or read book Monday Effect and Stock Return Seasonality written by Dr. Rengasamy Elango and published by . This book was released on 2010 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates whether the anomalous 'weekend effect' found in many developed and developing markets around the world is also present in the rapidly emerging Indian equity market. We use the real-time data of three of the major indices of the National Stock Exchange of India (NSE) for 1999-2007 period. Standardizing the data, we apply a set of descriptive and inferential statistics on the above three indices. Our analysis produced mixed results indicating that the Monday returns are negative and low in the case of two out of three indices. The K-W test, which is a non-parametric test applied to examine whether the ranks of mean returns for each day of the week are equal, shows evidence of a statistically significant difference in the case of one sample index, CNX Samp;P Nifty Junior. The implication is that the weekend effect is present in small stocks. Dummy variable regression, which again examines the weekend effect shows that Monday returns are negative in one of the bench-mark indices, the NSE Samp;P Nifty confirming that the Indian Market is inefficient and could be exploited to maximize returns. Surprisingly, Wednesdays have yielded the highest mean returns across indices. However, volatility is also higher in these stocks. These findings offer interesting opportunities for individual investors and portfolio managers to place bid/ask orders in order to maximize their returns. However, due caution needs to be exercised while making the above decisions.

Download or read book A Monthly Effect in Stock Returns written by Robert A. Ariel and published by Palala Press. This book was released on 2018-03-03 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Download or read book Seasonal Effects on Stock Markets and How We Can Benefit from It in Our Investing and Trading Activity written by Pimarn Charn and published by Booktango. This book was released on 2016-03-11 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: To increase our possibility to win and profit in investing and trading we got to know seasonal effects on stock markets. This is about understanding existing market patterns and cycles. We explain all these patterns in plain and simple terms that investors or traders can grasp in a short reading period so they could increase an odd on their favor to win or profit in the stock markets. Some investors and traders will be interested in the market patterns and cycles in some points. Some may already have gone on searching this information. Many of them are disappointed as they didn’t find it. They will acquire the information here and don’t have to read all kind of theories and references that many other books of this kind present. As investors and traders, we just want to know what they are and how good we could and should believe in it. Also, what is the simple logic behind this belief or information? Are they making sense to us? What are their applications? Should we be more comfortable to apply it in our situation? Do they really work? How could we benefit from it and make profit in our investing and trading activities. One of the significant phenomena is the best trading period of the year. It often occurs time after time. Also, we will learn all kinds of seasonal effects which include calendar effects, month of the year effects, government related effects, day and hour of the week and day, and the supply and demand of goods and services. On the month of year effects, we will learn about January barometer, September effect, May principle or Halloween indicator, Mark Twain effect, The Santa Claus rally or December effect, and January effect. On the government related effect, we will be learning about the presidential election effect and the congressional effect. On the demand and supply of goods and services, we will explain on how market supply and demand affect the stock price.

Download or read book Stock Market Anomalies written by Elroy Dimson and published by CUP Archive. This book was released on 1988-03-17 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Return Seasonality in the Major World Stock Markets written by Mark C. Kennard and published by . This book was released on 1991 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Seasonal Stock Market Trends written by Jay Kaeppel and published by John Wiley & Sons. This book was released on 2008-12-22 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a seasonal bias to the stock market, and by paying attention to the seasonal market tendencies you can gain an edge in the stock market over the long haul. Seasonality offers a practical approach to investing and trading. What better way to learn how to employ seasonal systems than learning from Jay Kaeppel, a master in the analysis of seasonal trends? Kaeppel walks you through this phenomenon that continues to work consistently, providing you with his ultimate seasonal index to make the calendar work for you. Stock Market Seasonals provides a never-before-seen definitive guide that illustrates how to utilize a combination of four basic seasonal tendencies in order to maximize returns.

Download or read book Why You Win or Lose written by Fred C. Kelly and published by Courier Corporation. This book was released on 2012-09-21 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: DIVA successful speculator shares his secrets, showing how to make money through the stock market by using amateur psychology skills and studying crowd reaction to market fluctuations. /div

Download or read book The Incredible January Effect written by Robert A. Haugen and published by McGraw-Hill Professional Publishing. This book was released on 1987 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Incredible January Effect digs into one of the mysteries of the stock market--that for decades, certain kinds of securities have been producing unaccountably high returns during the first month of the year. Enlightening and highly useful.

Download or read book Market Maker Price Discrimination written by Walter Hugo Prahl and published by . This book was released on 1994 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Seasonality of Volatility written by Michael Thomas Boudreau and published by . This book was released on 1988 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Capital Gain Lock In Effect and Return Seasonality written by Peter Klein and published by . This book was released on 2004 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper conducts an empirical analysis of whether stock return seasonality is related to the capital gain lock-in effect. In the spirit of a recent paper by Ayers, Lefanowicz and Robinson (2003), it tests two hypotheses that are implied by the asset pricing theory developed by Klein (2001). The first hypothesis is that in the month of January, stocks with losses should have large returns and stocks with gains should have relatively poor returns. The second is that in the last few months of the year this effect is reversed, i.e., stocks with losses should have low returns compared to stocks with gains. Both hypotheses are well supported, in the precise way expected, in tests on the cross-section of stock returns for January and for the last few months of the year. These results also provide an alternate explanation of the quot;dispositionquot; effect.

Download or read book Real Stock Returns written by Prasad V. Bidarkota and published by . This book was released on 1997 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Calendar Anomalies And Arbitrage written by William T Ziemba and published by World Scientific. This book was released on 2012-07-25 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.

Download or read book Great Investment Ideas written by William T Ziemba and published by World Scientific Publishing Company. This book was released on 2016-09-08 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: Great Investment Ideas is a collection of articles published in the Journal of Portfolio Management from 1993 to 2015. The book contains useful ideas for investment management and trading and discusses the methods, results and evaluation of great investors. It also covers important topics such as the effect of errors in means, variances and co-variances in portfolio selection problems, stock market crashes and stock market anomalies, portfolio theory and practice, evaluation theory, etc. This book is a must-have publication for investors and financial experts, researchers and graduate students in finance.

Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Download or read book Day of the Week Effects in NSE Stock Returns written by Varun Arora and published by . This book was released on 2008 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market, primarily trying to detect the quot;Day of the Week Effectquot; in the Stocks listed on the National Stock Exchange. It covers the post-reform period. The study uses the Daily return data of the stocks listed on National Stock Exchange and Bombay Stock Exchange Index for the period from November 1994 to September 2007 for analysis. After examining the stationarity of the return series, by applying quot;Kruskal Wallisquot; test and quot;One Way Anovaquot; i.e. using both Parametric and Non Parametric Tests, we specify an Augmented Dummy Regressive model to find the Day of the week effect monthly effect in stock returns in India. Another feature of our study was that we analysed the day of the week effect in three different phases of market ie. quot;Consolidationquot; Phase, quot;Bearishquot; Phase and the quot;Bullishquot; Phase. This was carried with an intention to see whether the day of the week effect was visible in these specific market phases or not. The results confirm the existence of seasonality (in the form of Day of the Week Effect) stock returns in India for 66 Stocks spanning across various sectors that we analysed - The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns and make abnormal profits. However the Day of the Week effect was found to be absent in the Bullish as well as the Bearish phase, which was a departure from our previous belief of the existence of this effect in all phases of the market.

Download or read book An Extended Look at the Seasonality of Stock Returns written by Justin Michael Bagshaw and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine seasonal effects relating to stock index returns including the weekend effect, December effect, and the turn-of-the-month effect with daily data from the Dox Jones Industrial Average and the S&P 500. I find that the publication of a paper in 1989 by Josef Lakonishok and Seymour Smidt has substantially reduced the amount of significantly abnormal returns in the years following. In some cases, the effects have also slightly reversed.