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Models for Anomalies Studies

  • Sardar M. N. Islam
  • Sethapong Watanapalachaikul
Part of the Contributions to Economics book series (CE)

Abstract

One of the implications of the EMH is that stock prices and returns are distributed identically and independently. In one line of research on EMH, the effects of calendar time on stock prices have been examined to determine the empirical relevance of the above proposition of EMH. Although initially four types of investigations were conducted, recently much attention in empirical finance has been focused to study stock market anomalies in more areas including the day of the week effect, the January effect, the weekend and holiday effects, the semimonthly effect, and the turn of the month effect. A considerable number of studies on this issue have often resulted in inconclusive findings. They have found long-term historical anomalies in many stock markets revealing the complexities of the real life financial systems, which seem to contradict EMH.

Keywords

Stock Market Stock Return Daily Return Positive Return Negative Return 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Sardar M. N. Islam
    • 1
  • Sethapong Watanapalachaikul
    • 1
  1. 1.Centre for Strategic Economic StudiesVictoria UniversityMelbourne City MCAustralia

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