Rise and Fall of Calendar Anomalies over a Century

University of Pretoria Department of Economics Working Paper Series (2019)

45 Pages Posted: 25 Apr 2019 Last revised: 8 May 2019

See all articles by Oleksiy Plastun

Oleksiy Plastun

Sumy State University

Xolani Sibande

University of Pretoria - Department of Economics

Rangan Gupta

University of Pretoria - Department of Economics

Mark E. Wohar

University of Nebraska at Omaha

Date Written: January 7, 2019

Abstract

In this paper, we conduct a comprehensive investigation of calendar anomaly evolution in the US stock market (given by the Dow Jones Industrial Average) for the 1900 to 2018 period. We employ various statistical techniques (average analysis, Student’s t-test, ANOVA, the Kruskal-Wallis and Mann-Whitney tests) and the trading simulation approach to analyse the evolution of the following calendar anomalies: day of the week effect, turn of the month effect, turn of the year effect, and the holiday effect. The results revealed that ‘golden age’ of calendar anomalies was in the middle of the 20th century. However, since the 1980s all calendar anomalies disappeared. This is consistent with the Efficient Market Hypothesis.

Keywords: Calendar Anomalies, Day of the Week Effect, Turn of the Month Effect, Turn of the Year Effect, Holiday Effect, Stock Market, Dow Jones Industrial Average Index

JEL Classification: G12, C63

Suggested Citation

Plastun, Oleksiy and Sibande, Xolani and Gupta, Rangan and Wohar, Mark E., Rise and Fall of Calendar Anomalies over a Century (January 7, 2019). University of Pretoria Department of Economics Working Paper Series (2019). Available at SSRN: https://ssrn.com/abstract=3362148 or http://dx.doi.org/10.2139/ssrn.3362148

Oleksiy Plastun (Contact Author)

Sumy State University ( email )

Rymskyi-Korsakov str., 2
Sumy, 40000
Ukraine

Xolani Sibande

University of Pretoria - Department of Economics ( email )

South Africa

Rangan Gupta

University of Pretoria - Department of Economics ( email )

Lynnwood Road
Hillcrest
Pretoria, 0002
South Africa

Mark E. Wohar

University of Nebraska at Omaha ( email )

Department of Economics
6708 Pine Street MH 332S
Omaha, NE 68182
United States
402-554-3712 (Phone)
402-554-2853 (Fax)

HOME PAGE: http://cba.unomaha.edu/faculty/mwohar/WEB/homepage.html

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