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Stock Market Anomalies: A Literature Review and Estimation of Calendar affects on the S&P 500 index
Jönköping University, Jönköping International Business School.
2006 (English)Independent thesis Basic level (degree of Bachelor), 10 points / 15 hpStudent thesis
Abstract [en]

This thesis investigates the Day-of-the-week, Month-of-the-year and Quarter-of-the-year effects. Historical data from the S&P 500 index between 1970- 2005 is analyzed. The purpose is to investigate if there is any evidence of increased returns (ROR) pattern related to seasonality during this period. The conclusion is that Wednesdays, December and Quarter 4 have had the highest ROR while Mondays, September and Quarter 3 have had the lowest ROR.

The empirical analysis found support for the Monday effect that Mondays are the days with the lowest stock returns. An investor would have earned on approximately four times more if you invested on Wednesdays instead of Mondays. Mondays was the only days with a negative ROR. I also found support for the weekend effect that return on Fridays are higher than returns on Mondays. Based on the empirical analysis a mid-of-the-week effect or Wednesday effect is also present.

No support was found for the January effect that stock prices should be higher in January than in December. What I however clearly could see was a September effect. September is the only month with negative returns. You would have on earned approximately three times as much if you invest in the beginning of December instead of the beginning of September. This leads to that the quarter 3 should be avoided due to a negative historical ROR.

Place, publisher, year, edition, pages
2006. , p. 32
Keywords [en]
Anomalies, S&P 500, Calendar affects
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-315OAI: oai:DiVA.org:hj-315DiVA, id: diva2:4020
Uppsok
samhälle/juridik
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Available from: 2006-02-14 Created: 2006-02-14

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
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More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
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  • Other locale
More languages
Output format
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