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Monthly Calendar Anomalies

  • Gianluca Mattarocci
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

Seasonality in financial market returns is not only limited to the day of the week effect; calendar anomalies recur periodically on particular days of the month for both price dynamics and trade volumes (Pettengill and Jordan, 1988). The most important anomalies on a monthly time horizon relate to the existence of special closing days (holidays) or significant days (e.g., the turn of the month) on which the amount of liquidity available is different (Ziemba, 1994). Other studies have pointed out the role of investor irrationality in determining financial market performance, by identifying days of the month expected to be characterized by abnormal price behavior (e.g., Lucey 2000).

Keywords

Financial Market Abnormal Return Institutional Investor Investment Strategy Risky Asset 
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

© Gianluca Mattarocci 2014

Authors and Affiliations

  • Gianluca Mattarocci
    • 1
  1. 1.University of Rome Tor VergataItaly

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