Calendar anomalies in the stock market and recommendations for investors regarding the day (month) of purchase and sale - Investments

Calendar anomalies in the stock market and recommendations for investors regarding the day (month) of purchase and sale

The unevenness in earning profit on different days of the week was noted in the US market back in the 30s. last century. Fred Kelly (1930) noted that the worst day for purchases in the stock market is the beginning of the week - Monday (during Monday, the price falls). Then noted M. Fields (Fields, 1931) that the best day for buying is the last day of the week (at that time it was Saturday, the US stock market worked six days a week). Later, these identified anomalies were more accurately tested first in the US market, and then in other capital markets. So, Frank Cross (Cross, 1973) comparing the yields on Mondays and Fridays, found that on Friday for a larger number of observations the index grew (523 days was observed, 313 days - decrease and 8 days - unchanged), and on Mondays the index decreased (333 days - growth, 501 days - decrease and 10 days - without changing the index). Widely known is the work of Kenneth French (French, 1980) on the analysis of the "Monday effect" (testing the hypothesis of the negative return on the index on Monday).

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Calendar effects, or anomalies (repetitions, calendar seasonal s) are defined as the systematic fixation of increased profitability on certain days or months of the year, which is not explained by changes in macro indicators, sector changes or changes in the fundamental factors at the level companies. For example, market investors note lunar cycles that affect the stock market when, on average, the yield on the first four days of the new moon is statistically higher than the yield observed for the first days of the full moon.

Historically, the US market has developed in such a way that the maximum average market returns of the shares are fixed in December - January, zero in the summer months and negative in September - October, which gave rise to Wall Street saying: "In May, sell and go for a walk" (& quot; Sell in May and go away & quot;).

This action differs from government bonds, which demonstrate low profitability at the beginning of the year and high investment results in the fall. Another & quot; January effect & quot; (January effect), or the January barometer, predicts that the January investment results have some predictive power for the next 11 months, which corresponds to the saying: "January returns: how are things going in January, this year and will & quot ;. Analysts explain this effect by the psychological features of investors who perceive calendar dates as certain landmarks and January becomes an estimate of changes in appetite for risk in relation to the previous year. This explanation can also confirm the effects of the end of calendar periods (month and year).

The anomaly of the end of the calendar period is that the stock market shows peaks of values ​​at the end of each month and year (one week before the end and a week after). McConnell and Xu (McConnell, Xu, 2008) demonstrate for annual comparisons that excess returns were recorded in the 1926-2005 period. during the four-day window (on the last working day of the month, and the first three working days), the average long-term yield on other days showed a negative value. It is interesting that this effect is not characteristic only for the end of the year. The same dependence is revealed at the end of each month and in different capital markets. It would seem that a simple explanation of this effect - investors at the end of the calendar period bring money to the market to work - is untenable, since it is not confirmed by the corresponding calendar dependencies of inflows to mutual investment funds or other investment inputs of market participants.

Holiday anomalies are manifested as the peak of stock prices on the eve of major holidays (for example, revealed for the US, China), and sometimes for a few days after the holidays (days after Christmas, Thanksgiving, Halloween, etc.). Other markets have also identified similar anomalies, including not only the holidays of the American calendar (Chinese New Year, Japanese Gold Week).

Grimbacher, co-authors Grimbacher, Swinkels, Van Vliet (2010) compare various calendar anomalies on the American market on a segment of 1963-2008. and it is shown that the Halloween effect and the end-of-month effect are the strongest.

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Another calendar anomaly is the & quot; Halloween indicator & quot; ( Hallowe'en indicator) - beginning of the period for a successful purchase of risky assets (period starts around Halloween date of 31 October and continues until the spring, we note that the US market known market decline is often observed in September - October, for a few days or weeks before Halloween).

Day-of-the-week effects are also widely researched (the day of the week was the first anomaly that investors paid attention to), not only the returns, but also the volatility profitability. If volatility does not differ much by day, then during the trading day a clear pattern is revealed - higher at the beginning and end of the trading day, which also corresponds to a change in the liquidity of intraday trading. Increased volatility is fixed before the announcements of important macroeconomic news, for individual stocks, volatility also increases before the announcement of financial results.

An interesting aspect of testing the anomaly of the day of the week is related to the search for stocks (companies) for which the effect manifests itself in a larger form (for example, testing the effect of company size on the effect). The work of Donald Keith and Robert Stambach (Keim, Stambaugh, 1983) showed that a large negative yield on Mondays is characteristic of companies with large capitalization.

The specific nature of the day's anomaly on the Russian market is analyzed in the works of E. Fedorova and E. Gilenko (2008) and S. Vatrushkin (2013).

But followers of the "day of week" anomaly there are also opponents. Robert Connolly (1989) was the first to question the conclusions obtained earlier, showing possible causes of errors, for example, ignoring heteroscedasticity. As a result of applying OLS - and GARCH -models, it is found that the "Monday effect" existed only until the mid-1970s. Kamara (Kamara, 1997) explains the disappearance of the & quot; Monday effect & quot; decrease in transaction costs of exchange trade. Jeffrey Jaffa and Randolph Westerfield, Gaffe, Westerfield, 1985) examine the behavior of shares in several markets (the United States, Japan, Canada, Australia and the United Kingdom) and find that the US, Canada and the UK have a negative return on the stock index on Monday, while for Japan and Australia, the negative yield is typical for Tuesday, i.e. country characteristics determine the effect. Chang and co-authors (Chang, 1993) present extensive testing of the "day of the week effect" on the world markets on the The FT-Actuaries World Indices index (verification of the independence of the average yield of the index from the day of the week). The effect of the day of the week for Austria, Belgium, Denmark, France, Germany, Italy, the Netherlands, Norway, Switzerland, Sweden, the United Kingdom, USA, Canada, Australia, Hong Kong, Japan, Malaysia, New Zealand, Singapore, South Africa has not been revealed for markets Ireland, Spain and Mexico (after adjusting the testing model for heteroskedasticity, Belgium, Denmark, Germany and the USA also fall into the list of markets with no effect).

Another possible explanation for the & quot; Monday effect & quot; (T + 5), and, accordingly, the adjustment after the increased profitability of the end of the week, but this assumption was not supported (Lakonishok, Levi, 1982).

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