Title: Calendar anomalies: a survey of the literature

Authors: Nikunj Patel; Martin Sewell

Addresses: Institute of Management, Nirma University, Ahmedabad 382481, India ' University of Cambridge, The Old Schools, Trinity Lane, Cambridge, CB2 1TN, UK

Abstract: The specific purpose of this paper is to investigate the empirical evidence of stock price anomalies, especially day-of-the-week, month-of-the-year and the holiday effect. The review covers the critical evaluation of calendar anomalies, and the major focus has been given to extensively cited papers. Most of the researchers have found evidence of a negative Monday effect, though a relatively small number of researchers have refuted these results. We found a clear indication of a January effect in developed stock markets; however, there was no consensus in developing and least developed countries. Most of the researchers found a strong pre-holiday effect in the majority of markets; however, a few researchers found that the pre-holiday effect has diminished. The research could be extended to include other calendar anomalies such as the turn-of-the-month effect and semi-month effect. This research is helpful to all stakeholders of the stock market, specifically to regulators for maintaining market efficiency.

Keywords: efficient market hypothesis; behavioural finance; calendar anomalies; day-of-the-week; month-of-the-year; holiday effect; literature review; stock price anomalies; stock prices; stock markets; market efficiency; calendar effects.

DOI: 10.1504/IJBAF.2015.072405

International Journal of Behavioural Accounting and Finance, 2015 Vol.5 No.2, pp.99 - 121

Received: 24 Nov 2014
Accepted: 27 May 2015
Published online: 12 Oct 2015 *

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