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Security price anomalies in the London International Stock Exchange: a 60 year perspective

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Cited by:

  1. Andrew Coutts & Christos Kaplanidis & Jennifer Roberts, 2000. "Security price anomalies in an emerging market: the case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 561-571.
  2. Erik Theissen, 2007. "An analysis of private investors' stock market return forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 35-43.
  3. Stephen Keef & Melvin Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 107-119.
  4. Obalade Adefemi A. & Muzindutsi Paul-Francois, 2019. "Calendar Anomalies, Market Regimes, and the Adaptive Market Hypothesis in African Stock Markets," Journal of Management and Business Administration. Central Europe, Sciendo, vol. 27(4), pages 71-94, December.
  5. Chong, Ryan & Hudson, Robert & Keasey, Kevin & Littler, Kevin, 2005. "Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1226-1236, December.
  6. Leonard Grebe & Dirk Schiereck, 2024. "Day-of-the-week effect: a meta-analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(4), pages 1057-1094, December.
  7. Paulo M. Gama & Elisabete F. S. Vieira, 2013. "Another look at the holiday effect," Applied Financial Economics, Taylor & Francis Journals, vol. 23(20), pages 1623-1633, October.
  8. Qiwei Chen & Lisa Jack & Andrew Wood, 2007. "Tax-loss selling and seasonal effects in the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1027-1035.
  9. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, July.
  10. Giovanis, Eleftherios, 2009. "The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets," MPRA Paper 22328, University Library of Munich, Germany.
  11. Joao Dionisio Monteiro & Jose Luis Miralles-Quiros & Jose Ramos Pires Manso, 2018. "Is There Seasonality in Traded and Non-Traded Period Returns in the US Equity Market? A Multiple Structural Change Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(1), pages 71-98, February.
  12. Brian Lucey, 2005. "Are local or international influences responsible for the pre-holiday behaviour of Irish equities?," Applied Financial Economics, Taylor & Francis Journals, vol. 15(6), pages 381-389.
  13. Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
  14. Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015. "The day-of-the-week effect is weak: Evidence from the European Real Estate Sector," Discussion Paper Series 2015_02, Department of Economics, University of Macedonia, revised May 2015.
  15. Qadan, Mahmoud & Kliger, Doron, 2016. "The short trading day anomaly," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 62-80.
  16. Satish K. Mittal & Sonal Jain, 2009. "Stock Market Behaviour: Evidences from Indian Market," Vision, , vol. 13(3), pages 19-29, July.
  17. 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.
  18. Meneu, Vicente & Pardo, Angel, 2004. "Pre-holiday effect, large trades and small investor behaviour," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 231-246, March.
  19. Andrew Worthington, 2010. "The decline of calendar seasonality in the Australian stock exchange, 1958–2005," Annals of Finance, Springer, vol. 6(3), pages 421-433, July.
  20. James Steeley, 2004. "Information processing and the UK weekend effect: do investors cut their losses on Mondays?," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 895-899.
  21. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
  22. Andrew C. Worthington, 2007. "National Exuberance: A Note On The Melbourne Cup Effect In Australian Stock Returns," Economic Papers, The Economic Society of Australia, vol. 26(2), pages 170-179, June.
  23. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2018. "European trading volumes on cross‐market holidays," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(4), pages 675-704, October.
  24. Miguel Balbina, 2002. "The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market," Working Papers w200211, Banco de Portugal, Economics and Research Department.
  25. Kemal Eyuboglu & Sinem Eyuboglu & Rahmi Yamak, 2016. "Predicting Intra-Day and Day of the Week Anomalies in Turkish Stock Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 18(59), pages 73-94, March.
  26. Adefemi A. Obalade & Paul-Francois Muzindutsi, 2021. "Are African Stock Markets Inefficient or Adaptive? Empirical Literature," Chapters, in: Vito Bobek & Chee-Heong Quah (ed.), Emerging Markets, IntechOpen.
  27. Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.
  28. Steeley, James M., 2001. "A note on information seasonality and the disappearance of the weekend effect in the UK stock market," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1941-1956, October.
  29. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "Holiday effects during quiet and turbulent times," MPRA Paper 41625, University Library of Munich, Germany, revised 07 Mar 2012.
  30. Abdelrehim, Neveen & Maltby, Josephine & Toms, Steven, 2012. "Accounting for power and control: The Anglo-Iranian oil nationalisation of 1951," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 23(7), pages 595-607.
  31. Anwar, Yunita & Mulyadi, Martin Surya, 2009. "The day of the week effects in Indonesia, Singapore, and Malaysia stock market," MPRA Paper 16873, University Library of Munich, Germany.
  32. Harshita & Shveta Singh & Surendra S. Yadav, 2019. "Unique Calendar Effects in the Indian Stock Market: Evidence and Explanations," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 35-58, April.
  33. Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
  34. 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.
  35. Giovanis, Eleftherios, 2009. "Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB," MPRA Paper 22326, University Library of Munich, Germany.
  36. Vicent AragO-Manzana & M Angeles Fernandezizquierdo, 2003. "Monthly seasonality of the returns and volatility of the IBEX-35 index and its futures contract," Applied Economics Letters, Taylor & Francis Journals, vol. 10(3), pages 129-133.
  37. 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.
  38. Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
  39. A. Gregoriou & A. Kontonikas & N. Tsitsianis, 2004. "Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 215-220.
  40. Xing Lu & Neel Patel, 2016. "Festivity Anomaly in Indian Stock Market," Economics Bulletin, AccessEcon, vol. 36(2), pages 851-856.
  41. Brian Lucey & Edel Tully, 2006. "Seasonality, risk and return in daily COMEX gold and silver data 1982-2002," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 319-333.
  42. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
  43. Nisar, Sabahat & Asif, Rabia & Ali, Amjad, 2021. "Testing the Presence of the January Effect in Developed Economies," MPRA Paper 112548, University Library of Munich, Germany.
  44. Dimitar Tonchev & Tae-Hwan Kim, 2004. "Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1035-1043.
  45. J. Andrew Coutts & Peter Hayes, 1999. "The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 67-71.
  46. Brian Lucey, 2004. "Robust estimates of daily seasonality in the Irish equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(7), pages 517-523.
  47. Andreas Georgantopoulos & Anastasios Tsamis, 2011. "Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 211-219.
  48. Brian Lucey, 2000. "Anomalous daily seasonality in Ireland?," Applied Economics Letters, Taylor & Francis Journals, vol. 7(10), pages 637-640.
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