<abstract xmlns="http://www.w3.org/1999/xhtml"><p>In this article, we provide a detailed review on the behavior of calendar anomalies (day–of–the–week, January and turn–of–month in particular) to understand their evolution over time. The research in the area of stock market indicates negative returns on Monday and positive returns on Friday; however, in the currency markets, results are opposite, that is, the returns on Monday are positive and higher than the returns on Friday which show negative returns. For the January (TOM) effect, the literature suggest that the returns during January (TOM trading days) are higher (lower) than the returns during rest of the year (non–TOM trading days). Further, these calendar anomalies were stronger during the 1980s and 1990s and have gradually diminished in the recent times which indicate that the markets have achieved a higher degree of efficiency.</p></abstract>

In this article, we provide a detailed review on the behavior of calendar anomalies (day–of–the–week, January and turn–of–month in particular) to understand their evolution over time. The research in the area of stock market indicates negative returns on Monday and positive returns on Friday; however, in the currency markets, results are opposite, that is, the returns on Monday are positive and higher than the returns on Friday which show negative returns. For the January (TOM) effect, the literature suggest that the returns during January (TOM trading days) are higher (lower) than the returns during rest of the year (non–TOM trading days). Further, these calendar anomalies were stronger during the 1980s and 1990s and have gradually diminished in the recent times which indicate that the markets have achieved a higher degree of efficiency.

A Review on the Evolution of Calendar Anomalies

IBS Hyderabad (ICFAI Foundation for Higher Education)

Studies in Business and Economics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"A Review on the Evolution of Calendar Anomalies"}

In this article, we provide a detailed review on the behavior of calendar anomalies (day–of–the–week, January and turn–of–month in particular) to understand...

A Review on the Evolution of Calendar Anomalies

Published Online: Jun 15, 2017

Page range: 95 - 109

DOI: https://doi.org/10.1515/sbe-2017-0008

Keywords
Calendar anomalies, Day–of–the–week, January, Turn–of–month

© 2017 Kumar Satish, published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

A Review on the Evolution of Calendar Anomalies

Published Online: Jun 15, 2017

Page range: 95 - 109

DOI: https://doi.org/10.1515/sbe-2017-0008

KeywordsCalendar anomalies, Day–of–the–week, January, Turn–of–month

© 2017 Kumar Satish, published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
Calendar anomalies, Day–of–the–week, January, Turn–of–month