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Research on stock market anomalies: a systematic literature review, synthesis and framework for future research

Author

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  • Jitender Kumar
  • Vinay Sharma
  • Pankaj Kumar
  • Garima Rani

Abstract

The current study aims to conduct a systematic literature review (SLR) to shed light on the current state of research on stock market anomalies, identify key publications, conduct content analysis and assemble the key findings. We highlight journal listing, country and region-wise classification, research methods, statistical techniques, citation analysis and future research issues. The authors systematically review 121 papers from 54 journals indexed in Web of Science (WoS), Scopus and Australian Business Deans Council (ABDC) regarding stock market anomalies during the last 48 years (1976-2024). In the current review, only 39 papers are related to 2000-2011, but 54 refer to 2012-2024. The results show that most (95.87%) of the selected studies are empirical. Further, to make this review more focused and systematic, key theme is considered: antecedents of anomalies, mediators and moderators and consequences of anomalies. The conceptual framework is prepared after synthesising the literature to reflect various anomalies impact on stock return.

Suggested Citation

  • Jitender Kumar & Vinay Sharma & Pankaj Kumar & Garima Rani, 2025. "Research on stock market anomalies: a systematic literature review, synthesis and framework for future research," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 18(1), pages 52-75.
    • Handle: RePEc:ids:ijmefi:v:18:y:2025:i:1:p:52-75
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