IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v47y2022ipas1544612321005766.html
   My bibliography  Save this article

The Groundhog Day stock market anomaly

Author

Listed:
  • Shanaev, Savva
  • Shuraeva, Arina
  • Fedorova, Svetlana

Abstract

This paper discovers a distinct calendar anomaly on the US stock market associated with the Groundhog Day prognostication tradition across 1928–2021. There are significant positive abnormal returns around the “prediction” of an early spring, while buy-and-hold returns around the “prediction” of a long winter are 2.78% lower. The results are robust in subsamples, to a set of placebo tests for international stock indices, and cannot be explained by January effect, the “halloween Indicator”, turn-of-the-month effect, or other seasonalities. The findings imply major and persistent irrational optimism of US investors revolving around Groundhog Day early spring prognostications.

Suggested Citation

  • Shanaev, Savva & Shuraeva, Arina & Fedorova, Svetlana, 2022. "The Groundhog Day stock market anomaly," Finance Research Letters, Elsevier, vol. 47(PA).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005766
    DOI: 10.1016/j.frl.2021.102641
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612321005766
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2021.102641?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Zhang, Jilin & Lai, Yongzeng & Lin, Jianghong, 2017. "The day-of-the-Week effects of stock markets in different countries," Finance Research Letters, Elsevier, vol. 20(C), pages 47-62.
    2. Cadsby, Charles Bram & Ratner, Mitchell, 1992. "Turn-of-month and pre-holiday effects on stock returns: Some international evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 497-509, June.
    3. Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September.
    4. Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A., 2005. "Winter blues and time variation in the price of risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 291-316, March.
    5. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    6. Dubois, M. & Louvet, P., 1996. "The day-of-the-week effect: The international evidence," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1463-1484, November.
    7. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019. "Rise and fall of calendar anomalies over a century," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 181-205.
    8. David Hirshleifer & Tyler Shumway, 2003. "Good Day Sunshine: Stock Returns and the Weather," Journal of Finance, American Finance Association, vol. 58(3), pages 1009-1032, June.
    9. Al-Hajieh, Heitham & Redhead, Keith & Rodgers, Timothy, 2011. "Investor sentiment and calendar anomaly effects: A case study of the impact of Ramadan on Islamic Middle Eastern markets," Research in International Business and Finance, Elsevier, vol. 25(3), pages 345-356, September.
    10. Abbes, Mouna Boujelbène & Abdelhédi-Zouch, Mouna, 2015. "Does hajj pilgrimage affect the Islamic investor sentiment?," Research in International Business and Finance, Elsevier, vol. 35(C), pages 138-152.
    11. Keef, Stephen P. & Khaled, Mohammed & Zhu, Hui, 2009. "The dynamics of the Monday effect in international stock indices," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 125-133, June.
    12. Savva Shanaev & Binam Ghimire, 2021. "Efficient scholars: academic attention and the disappearance of anomalies," The European Journal of Finance, Taylor & Francis Journals, vol. 27(3), pages 278-304, February.
    13. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
    14. Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 3-85, Wharton School Rodney L. White Center for Financial Research.
    15. Jaffe, Jeffrey F & Westerfield, Randolph, 1985. "The Week-End Effect in Common Stock Returns: The International Evidence," Journal of Finance, American Finance Association, vol. 40(2), pages 433-454, June.
    16. Sven Bouman & Ben Jacobsen, 2002. "The Halloween Indicator, "Sell in May and Go Away": Another Puzzle," American Economic Review, American Economic Association, vol. 92(5), pages 1618-1635, December.
    17. Dichtl, Hubert & Drobetz, Wolfgang, 2014. "Are stock markets really so inefficient? The case of the “Halloween Indicator”," Finance Research Letters, Elsevier, vol. 11(2), pages 112-121.
    18. Thaler, Richard H, 1987. "The January Effect," Journal of Economic Perspectives, American Economic Association, vol. 1(1), pages 197-201, Summer.
    19. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
    20. Jeffrey Jaffe & R. Westerfield, "undated". "The Week-End Effect in Common Stock Returns: The International Evidence," Rodney L. White Center for Financial Research Working Papers 03-85, Wharton School Rodney L. White Center for Financial Research.
    21. Symeonidis, Lazaros & Daskalakis, George & Markellos, Raphael N., 2010. "Does the weather affect stock market volatility?," Finance Research Letters, Elsevier, vol. 7(4), pages 214-223, December.
    22. David Hirshleifer & Ming Jian & Huai Zhang, 2018. "Superstition and Financial Decision Making," Management Science, INFORMS, vol. 64(1), pages 235-252, January.
    23. Loewenstein, George, 1999. "Experimental Economics from the Vantage-Point of Behavioural Economics," Economic Journal, Royal Economic Society, vol. 109(453), pages 23-34, February.
    24. Kayacetin, Volkan & Lekpek, Senad, 2016. "Turn-of-the-month effect: New evidence from an emerging stock market," Finance Research Letters, Elsevier, vol. 18(C), pages 142-157.
    25. Michael H. Breitner & Christian Dunis & Hans-Jörg Mettenheim & Christopher Neely & Georgios Sermpinis & Azizah Abu Bakar & Antonios Siganos & Evangelos Vagenas‐Nanos, 2014. "Does Mood Explain the Monday Effect?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(6), pages 409-418, September.
    26. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
    27. Shaista Wasiuzzaman, 2017. "Religious anomalies in Islamic stock markets: The Hajj Effect in Saudi Arabia," Journal of Asset Management, Palgrave Macmillan, vol. 18(3), pages 157-162, May.
    28. Teng, Chia-Chen & Yang, J. Jimmy, 2018. "Chinese Lunar New Year effect, investor sentiment, and market deregulation," Finance Research Letters, Elsevier, vol. 27(C), pages 175-184.
    29. Richard H. Thaler, 2000. "From Homo Economicus to Homo Sapiens," Journal of Economic Perspectives, American Economic Association, vol. 14(1), pages 133-141, Winter.
    30. Al-Khazali, Osamah, 2014. "Revisiting fast profit investor sentiment and stock returns during Ramadan," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 158-170.
    31. Brian Lucey, 2000. "Friday the 13th and the philosophical basis of financial economics," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(3), pages 294-301, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Virag Kegl & Dora Greta Petroczy, 2024. "The Effect of Seasonal Depression on Stock Market Returns," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 23(3), pages 117-139.
    2. Potrykus Marcin & Augustynowicz Urszula, 2024. "The “autumn effect” in the gold market—does it contradict the Adaptive Market Hypothesis?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 60(3), pages 157-172.
    3. Deari Fitim & Ulu Yasemin, 2023. "The Turn-of-the-Month Effect: Evidence from Macedonian Stock Exchange," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(3), pages 86-100, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, December.
    2. Kim, Jae H. & Shamsuddin, Abul, 2023. "Stock market anomalies: An extreme bounds analysis," International Review of Financial Analysis, Elsevier, vol. 90(C).
    3. Meher Shiva Tadepalli & Ravi Kumar Jain, 2018. "Persistence of calendar anomalies: insights and perspectives from literature," American Journal of Business, Emerald Group Publishing Limited, vol. 33(1/2), pages 18-60, May.
    4. Nicholas Apergis & Alexandros Gabrielsen & Lee Smales, 2016. "(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
    5. Mostafa Saidur Rahim Khan & Naheed Rabbani, 2019. "Market Conditions and Calendar Anomalies in Japanese Stock Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 187-209, June.
    6. Mehmet Hasan Eken & Taylan Ozgür Uner, 2010. "Calendar Effects in the Stock Market and a Practice Relatedn to the Istanbul Stock Exchange Market (ISEM)," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 59-95.
    7. Lobão, Júlio, 2019. "Seasonal anomalies in the market for American depository receipts," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 24(48), pages 241-265.
    8. Faruk Bostanci & Saim Kilic, 2010. "The Effects of Free Float Ratios on Market Performance: An Empirical Study on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 1-14.
    9. Nicholas Apergis & Rangan Gupta, 2016. "Can Weather Conditions in New York Predict South African Stock Returns?," Working Papers 201634, University of Pretoria, Department of Economics.
    10. A. R. Zafer Sayar & Onder Kaymaz & Ali Alp, 2010. "The Effect of the Transparency Level of the ISE-Listed Banks on Liquidity," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 12(45), pages 27-58.
    11. Birru, Justin, 2018. "Day of the week and the cross-section of returns," Journal of Financial Economics, Elsevier, vol. 130(1), pages 182-214.
    12. repec:bor:iserev:v:12:y:2012:i:45:p:1-26 is not listed on IDEAS
    13. Vipul Kumar Singh, 2019. "Day-of-the-week effect of major currency pairs: new evidences from investors’ fear gauge," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 493-507, December.
    14. Apergis, Nicholas & Gupta, Rangan, 2017. "Can (unusual) weather conditions in New York predict South African stock returns?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 377-386.
    15. Veera Lenkkeri & Wessel Marquering & Ben Strunkmann-Meister, 2006. "The Friday Effect in European Securitized Real Estate Index Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 31-50, August.
    16. Sakhr Miss & Michel Charifzadeh & Tim A. Herberger, 2020. "Revisiting the monday effect: a replication study for the German stock market," Management Review Quarterly, Springer, vol. 70(2), pages 257-273, May.
    17. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
    18. Khalil Jebran & Shihua Chen, 2017. "Examining anomalies in Islamic equity market of Pakistan," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 7(3), pages 275-289, July.
    19. Konstantinos Drakos, 2010. "Terrorism activity, investor sentiment, and stock returns," Review of Financial Economics, John Wiley & Sons, vol. 19(3), pages 128-135, August.
    20. Yihao Zhang & Yu Jiang & Yongji Guo, 2017. "The effects of haze pollution on stock performances: evidence from China," Applied Economics, Taylor & Francis Journals, vol. 49(23), pages 2226-2237, May.
    21. Jie Hou & Wendong Shi & Jingwei Sun, 2019. "Stock Returns, weather, and air conditioning," PLOS ONE, Public Library of Science, vol. 14(7), pages 1-10, July.
    22. Wasiuzzaman, Shaista, 2018. "Seasonality in the Saudi stock market: The Hajj effect," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 273-281.

    More about this item

    Keywords

    Stock market; Stock market anomaly; Behavioural finance; Groundhog day;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005766. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.