Calendar anomalies in the Gulf Cooperation Council stock markets

被引：36

作者：

Ariss, Rima Turk ^{[2
]}

Rezvanian, Rasoul ^{[1
]}

Mehdian, Seyed M. ^{[3
]}

机构：

[1] NE Illinois Univ, Chicago, IL 60625 USA

[2] Lebanese Amer Univ, Chouran Beirut 11022801, Lebanon

[3] Univ Michigan, Flint, MI 48502 USA

来源：

EMERGING MARKETS REVIEW | 2011年 / 12卷 / 03期

关键词：

Calendar anomalies; Stock market efficiency; Gulf Cooperation Council; RETURNS;

D O I：

10.1016/j.ememar.2011.04.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine calendar anomalies in Gulf Cooperation Council (GCC) stock markets and document a Friday-type effect that occurs on the last trading day of the week and which we call "Wednesday effect", since Wednesday is the last day before the weekend in the leading market for the region. This effect, however, is more pronounced outside the month of Ramadan. We also find a statistically significant positive December effect, contrary to the January effect documented in Western countries. The presence of such anomalies may provide money managers with opportunities to optimally time their trades based on daily and monthly price fluctuations. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：293 / 307

页数：15

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