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Calendar anomalies: Review of literature

Author

Listed:
  • Hira Irshad

    (School of Economics Finance and Banking, Universiti Utara, Changlun, Malaysia)

  • Hasniza Mohd Taib

    (School of Economics Finance and Banking, Universiti Utara, Changlun, Malaysia)

Abstract

A wide range of studies in economics and finance literature have addressed the issue of abnormal behaviour in equity returns during certain calendar dates. These abnormal equity returns behaviours are known as calendar anomalies which are in direct opposition to the efficient market hypothesis. The existence of calendar anomalies does not conform to the assumptions of market efficiency, therefore, implying that equity returns can be predicted relying on the calendar dates. The objective of current study is to review the prior studies regarding the calendar anomalies. For this purpose, the current study has adopted the review methodology and identified the most important studies in this area. Furthermore, the findings of these studies have been reviewed and summarized. By reviewing the previous studies, the current study has noted the growing inclination of recent studies towards the examination of these anomalies. Also, prevalence of these anomalies is documented in recent studies. The current study is the among first of those studies which have provided a comprehensive review of the previous studies conducted on the calendar anomalies. These summarized reviews of findings of previous research may help future research studies to hold a basic understanding regarding the existence of calendar anomalies in the world equity markets.

Suggested Citation

  • Hira Irshad & Hasniza Mohd Taib, 2017. "Calendar anomalies: Review of literature," Journal of Advances in Humanities and Social Sciences, Dr. Yi-Hsing Hsieh, vol. 3(6), pages 303-310.
    • Handle: RePEc:apb:jahsss:2017:p:303-310
    DOI: 10.20474/jahss-3.6.2
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    References listed on IDEAS

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