MONTHLY ANOMALIES IN STOCK MARKETS
a comparison around the Globe
Willemijn L. van Wettum*
Master Thesis MSc BA - Specialization: Finance
University of Groningen, Faculty of Economics and Business
Abstract
This paper uses a new dataset which investigates 49 countries for the January 2002 to December 2011 period, on calendar anomalies due to monthly patterns in stock market returns. This is done by examining whether calendar anomalies in daily market indices differ between countries due to their level of development. The month-of-the-year, January anomaly and the Turn-of-the-Months effects are examined by making use of OLS regressions. The developed markets show weak evidence for month-of-the-year effects, but the January and Turn-of-the month effects are found to be strong. All three the investigated calendar anomalies are found to be strong in the Emerging markets. In short, more calendar effects are found to be present in the Emerging markets, however the level of significant effects is found to be less as compared to the Developed markets.
JEL classifications: C12, C14, C22, G10, G12, G14, G15
Keywords: Calendar anomalies, Month-of-the-Year effect, January effect, Turn-of-the-month effect,
Seasonality’s, Developed & Emerging markets
Supervisor: Prof. Dr. L. Dam
*
