Historical Evolution of Monthly Anomalies in International Stock Markets

43 Pages Posted: 31 Jul 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: June 5, 2019

Abstract

This paper is a comprehensive investigation of the evolution of various monthly anomalies (January effect, December effect, and the Mark Twain effect) in the US stock market for its entire history. This is done using various statistical techniques (average analysis, Student’s t-test, ANOVA, the Mann-Whitney test) and a trading simulation approach). To confirm our results we extended the analysis to the UK, Japan, Canada, France, Switzerland, Germany and Italy stock markets. The results indicate that the January effect was most prevalent in the US and that the December effect and the Mark Twain effect were never prevalent in the US. This result was confirmed in other markets as well. The January effect was most prevalent in the middle of the 20th century but has since disappeared. Furthermore, the January effect provided exploitable profit opportunities. Our results are consistent and add to the existing literature through the use of a complete history of the US market. Overall, the US stock market is consistent with the Adaptive Market Hypothesis.

Keywords: Calendar Anomalies, Month of the Year Effect, Stock Market, Efficient Market Hypothesis, January Effect, December Effect, Mark Twain Effect

JEL Classification: G12, C63

Suggested Citation

Plastun, Oleksiy and Sibande, Xolani and Gupta, Rangan and Wohar, Mark E., Historical Evolution of Monthly Anomalies in International Stock Markets (June 5, 2019). Available at SSRN: https://ssrn.com/abstract=3427653 or http://dx.doi.org/10.2139/ssrn.3427653

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 )

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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