Revisiting calendar anomalies: Three decades of multicurrency evidence
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- 作者：Satish Kumar ; satishwar1985@gmail.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：F31 ; G12 ; G13 ; G14 ; G15
- 刊名：Journal of Economics and Business
- 出版年：2016
- 出版时间：July-August 2016
- 年：2016
- 卷：86
- 期：Complete
- 页码：16-32
- 全文大小：630 K
文摘
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We examine the day–of–the–week (DOW), turn–of–month (TOM) and January effect.
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The returns during Monday to Wednesday are higher than Thursday and Friday returns.
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The returns during January are higher than the returns during rest of the year.
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TOM trading days’ returns are lower than the returns during non-TOM trading days.
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Emerging currencies show stronger anomalies than advanced and developed currencies.
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The calendar anomalies have gradually disappeared in the recent times.