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Calendar Anomalies in Stock Markets

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Capital Markets and Investment Decision Making

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Abstract

In the non-investing world, an anomaly is a strange or unusual occurrence. In financial markets, anomalies refer to situations when a security or group of securities performs contrary to the notion of efficient markets, where security prices are said to reflect all available information at any point in time.

The individual investor should act consistently as an investor and not as a speculator.

Ben Graham

Raj S. Dhankar and Madhumita Chakravarty. Are there Calendar Anomalies in the Bourses of South Asia ? Finance India, Indian Institute of Finance, Vol. XX No. 3, Sept. 2006.

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Notes

  1. 1.

    The Milanka Price Index (MPI) was introduced in January 1999 replacing the Sensitive Price Index (SPI). Hence in this study, we consider the Sensitive Price Index from January 1991 to December 1998 and Milanka Price Index from January 1999 to December 2001.

  2. 2.

    It seems in the year 1996 and up to February 1997 trading took place on Sundays, instead of Fridays in Pakistan. Later on, Sunday became a holiday and Friday a trading day.

  3. 3.

    In Nepal Stock Exchange, trading took place on Sunday also up to August 1999.

  4. 4.

    See, for example, Chaudhury (1991); Karmakar and Chakraborty (2000a).

  5. 5.

    In Bangladesh, there are six trading days. Friday is the weekly holiday, and Sunday is a trading day unlike other countries studied.

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Authors and Affiliations

  1. Faculty of Management Studies (FMS), University of Delhi, New Delhi, India

    Raj S. Dhankar

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Dhankar, R.S. (2019). Calendar Anomalies in Stock Markets. In: Capital Markets and Investment Decision Making. Springer, New Delhi. https://doi.org/10.1007/978-81-322-3748-8_6

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