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Monday Effect and Stock Return Seasonality

Monday Effect and Stock Return Seasonality
Author: Dr. Rengasamy Elango
Publisher:
Total Pages: 15
Release: 2010
Genre:
ISBN:

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This study investigates whether the anomalous 'weekend effect' found in many developed and developing markets around the world is also present in the rapidly emerging Indian equity market. We use the real-time data of three of the major indices of the National Stock Exchange of India (NSE) for 1999-2007 period. Standardizing the data, we apply a set of descriptive and inferential statistics on the above three indices. Our analysis produced mixed results indicating that the Monday returns are negative and low in the case of two out of three indices. The K-W test, which is a non-parametric test applied to examine whether the ranks of mean returns for each day of the week are equal, shows evidence of a statistically significant difference in the case of one sample index, CNX Samp;P Nifty Junior. The implication is that the weekend effect is present in small stocks. Dummy variable regression, which again examines the weekend effect shows that Monday returns are negative in one of the bench-mark indices, the NSE Samp;P Nifty confirming that the Indian Market is inefficient and could be exploited to maximize returns. Surprisingly, Wednesdays have yielded the highest mean returns across indices. However, volatility is also higher in these stocks. These findings offer interesting opportunities for individual investors and portfolio managers to place bid/ask orders in order to maximize their returns. However, due caution needs to be exercised while making the above decisions.


A Monthly Effect in Stock Returns

A Monthly Effect in Stock Returns
Author: Robert A. Ariel
Publisher: Palala Press
Total Pages: 52
Release: 2018-03-03
Genre: History
ISBN: 9781379114314

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This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.


Seasonal Effects on Stock Markets and How We Can Benefit from It in Our Investing and Trading Activity

Seasonal Effects on Stock Markets and How We Can Benefit from It in Our Investing and Trading Activity
Author: Pimarn Charn
Publisher: Booktango
Total Pages: 106
Release: 2016-03-11
Genre: Business & Economics
ISBN: 146896917X

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To increase our possibility to win and profit in investing and trading we got to know seasonal effects on stock markets. This is about understanding existing market patterns and cycles. We explain all these patterns in plain and simple terms that investors or traders can grasp in a short reading period so they could increase an odd on their favor to win or profit in the stock markets. Some investors and traders will be interested in the market patterns and cycles in some points. Some may already have gone on searching this information. Many of them are disappointed as they didn’t find it. They will acquire the information here and don’t have to read all kind of theories and references that many other books of this kind present. As investors and traders, we just want to know what they are and how good we could and should believe in it. Also, what is the simple logic behind this belief or information? Are they making sense to us? What are their applications? Should we be more comfortable to apply it in our situation? Do they really work? How could we benefit from it and make profit in our investing and trading activities. One of the significant phenomena is the best trading period of the year. It often occurs time after time. Also, we will learn all kinds of seasonal effects which include calendar effects, month of the year effects, government related effects, day and hour of the week and day, and the supply and demand of goods and services. On the month of year effects, we will learn about January barometer, September effect, May principle or Halloween indicator, Mark Twain effect, The Santa Claus rally or December effect, and January effect. On the government related effect, we will be learning about the presidential election effect and the congressional effect. On the demand and supply of goods and services, we will explain on how market supply and demand affect the stock price.


Seasonal Stock Market Trends

Seasonal Stock Market Trends
Author: Jay Kaeppel
Publisher: John Wiley & Sons
Total Pages: 325
Release: 2008-12-22
Genre: Business & Economics
ISBN: 0470270438

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There is a seasonal bias to the stock market, and by paying attention to the seasonal market tendencies you can gain an edge in the stock market over the long haul. Seasonality offers a practical approach to investing and trading. What better way to learn how to employ seasonal systems than learning from Jay Kaeppel, a master in the analysis of seasonal trends? Kaeppel walks you through this phenomenon that continues to work consistently, providing you with his ultimate seasonal index to make the calendar work for you. Stock Market Seasonals provides a never-before-seen definitive guide that illustrates how to utilize a combination of four basic seasonal tendencies in order to maximize returns.


Stock Market Anomalies

Stock Market Anomalies
Author: Elroy Dimson
Publisher: CUP Archive
Total Pages: 328
Release: 1988-03-17
Genre: Business & Economics
ISBN: 9780521341042

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New Evidence on the Monday Seasonal in Stock Returns

New Evidence on the Monday Seasonal in Stock Returns
Author: Avraham Kamara
Publisher:
Total Pages:
Release: 1998
Genre:
ISBN:

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Equity derivatives and the institutionalization of equity markets affect the Monday seasonal. The seasonal in the Samp;P 500 declines significantly over 1962-1993. This decline is positively related to the ratio of institutional to individual trading volume. In contrast, the seasonal for small stocks does not decline and is unaffected by institutional versus individual trading. Higher trading costs sustain the seasonal in small stocks, and unlike the Samp;P, these costs are not lower for institutions than for individuals. Samp;P futures minus spot returns exhibit a reverse seasonal. Informed traders use the less costly futures market to exploit the seasonal.


The Incredible January Effect

The Incredible January Effect
Author: Robert A. Haugen
Publisher: McGraw-Hill Professional Publishing
Total Pages: 154
Release: 1987
Genre: Business & Economics
ISBN:

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The Incredible January Effect digs into one of the mysteries of the stock market--that for decades, certain kinds of securities have been producing unaccountably high returns during the first month of the year. Enlightening and highly useful.


Why You Win or Lose

Why You Win or Lose
Author: Fred C. Kelly
Publisher: Courier Corporation
Total Pages: 82
Release: 2012-09-21
Genre: Business & Economics
ISBN: 0486147843

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DIVA successful speculator shares his secrets, showing how to make money through the stock market by using amateur psychology skills and studying crowd reaction to market fluctuations. /div