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Calendar anomalies: a survey of the literature

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  • Nikunj Patel
  • Martin Sewell

Abstract

The specific purpose of this paper is to investigate the empirical evidence of stock price anomalies, especially day-of-the-week, month-of-the-year and the holiday effect. The review covers the critical evaluation of calendar anomalies, and the major focus has been given to extensively cited papers. Most of the researchers have found evidence of a negative Monday effect, though a relatively small number of researchers have refuted these results. We found a clear indication of a January effect in developed stock markets; however, there was no consensus in developing and least developed countries. Most of the researchers found a strong pre-holiday effect in the majority of markets; however, a few researchers found that the pre-holiday effect has diminished. The research could be extended to include other calendar anomalies such as the turn-of-the-month effect and semi-month effect. This research is helpful to all stakeholders of the stock market, specifically to regulators for maintaining market efficiency.

Suggested Citation

  • Nikunj Patel & Martin Sewell, 2015. "Calendar anomalies: a survey of the literature," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(2), pages 99-121.
    • Handle: RePEc:ids:ijbeaf:v:5:y:2015:i:2:p:99-121
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    Citations

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    Cited by:

    1. Yingying Xu & Jichang Zhao, 2022. "Can sentiments on macroeconomic news explain stock returns? Evidence form social network data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2073-2088, April.
    2. Dumitriu, Ramona & Stefanescu, Răzvan, 2019. "The extended Friday the 13th Effect in the US stock returns," MPRA Paper 95296, University Library of Munich, Germany, revised 22 Jul 2019.
    3. Alexandre Garel & Benjamin Le pendeven, 2021. "Calendar effects and crowdfunded projects," Economics Bulletin, AccessEcon, vol. 41(3), pages 1407-1417.
    4. Alexandre Garel & Benjamin Le Pendeven, 2021. "Calendar effects and crowdfunded projects," Post-Print hal-03377772, HAL.
    5. Sproule, Robert & Gosselin, Gabriel, 2023. "Is the research agenda for calendar anomalies “much do about nothing”?," MPRA Paper 117001, University Library of Munich, Germany.
    6. Elena Valentina Tilica, 2018. "Turn-of-the-month and day-of-the-week patterns: two for the price of one? The Romanian situation," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 10(1), pages 047-058, June.
    7. Rajesh Elangovan & Francis Gnanasekar Irudayasamy & Satyanarayana Parayitam, 2022. "Month-of-the-Year Effect: Empirical Evidence from Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(3), pages 449-476, September.
    8. Zaremba, Adam & Schabek, Tomasz, 2017. "Seasonality in government bond returns and factor premia," Research in International Business and Finance, Elsevier, vol. 41(C), pages 292-302.

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