nach oben

Erschienen in:

2018 | OriginalPaper | Buchkapitel

6. Januaries, Mays, and Lunar Cycles: Stock Selection with Seasonal Anomalies

verfasst von : Adam Zaremba, Jacob “Koby” Shemer

Erschienen in: Price-Based Investment Strategies

Verlag: Springer International Publishing

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

Seeking seasonal regularities in the stock market is as old as the art of investment analysis. January seasonality and “sell in May and go away” are patterns known to any stock market investor. While popular, they still remain extremely controversial. For a long time, the seasonal anomalies belonged to the most “magical” tools of technical analysis. Nonetheless, the recent research has completely changed the picture as many of the seasonal anomalies could be captured by the so-called cross-sectional seasonality—the foundation of all seasonal anomalies. In short, the cross-sectional seasonality is the tendency of the stocks which in the same calendar month in the past performed well (poorly) on average to continue to outperform (underperform) in the following year. Following these considerations in this chapter, the authors reviewed the seasonal anomalies and re-examined the performance of strategies based on cross-sectional seasonality in 24 international stock markets.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Vorheriges Kapitel Are Stocks Lotteries? The Shape of Distribution Matters

Nächstes Kapitel Predicting Prices Based on… Prices? The Role of Nominal Prices

For classical literature, see, for example, Rozeff and Kinney (1976), French (1980), Gibbons and Hess (1981), Lakonishok and Levi (1982), Roll (1983), Keim (1983), Reinganum (1983), Ariel (1987), and Haugen and Lakonishok (1988).

An investigation of analogous patterns in government bond markets by Zaremba and Schabek (2017) found no similar evidence.

For further examinations, see Jacobsen et al. (2005), Hong and Yu (2007), Doeswijk (2008), Dumitriu et al. (2012), Sum (2013), Okada and Yamasaki (2014), Dichtl and Drobetz (2015), Dzhabarov and Ziemba (2016), Kamstra et al. (2017), Hirshleifer et al. (2017), and Zaremba and Schabek (2017).

Nighter pooled investigations of multiple anomalies in developed, emerging, and frontier markets produced supportive evidence of the “other January effect” (Zaremba and Szyszka 2016; Zaremba 2017; Zaremba and Andreu Sánchez 2017).

While the study of Białkowski et al. (2012) is usually considered seminal, Husain (1998) and Seyyed et al. (2005) delivered some earlier evidence on the Ramadan seasonality.

For further evidence, see Mustafa (2011), Ariss et al. (2011), Alumdhaf (2012), Nai-Chiek (2013), Alatiyat (2014), Białkowski et al. (2013), Al-Khazali (2014), Weber and Nickol (2016), Sonjaya and Wahyudi (2016), and Ali et al. (2017).

For references on the weekend effect, see French (1980), Gibbons and Hess (1981), Keim and Stambaugh (1984), Jaffe and Westerfield (1985), Harris (1986), Connolly (1989), Aggarwal and Rivoli (1989), Lakonishok and Maberly (1990), Abraham and Ikenberry (1994), Sias and Starks (1995), Dubois and Louvet (1996), Choudhry (2000), Rubinstein (2001), Steeley (2001), and Sullivan et al. (2001).

For evidence, see Ariel (1990), Cadsby and Ratner (1992), Bhana (1994), Kim and Park (1994), Arsad and Coutts (1997), Meneu and Pardo (2004), Marrett and Worthington (2009), Ciao et al. (2009), Tiakas (2010), Gama and Viera (2013), Alagidede (2013), and Carchano and Pardo (2015).

For evidence, see, for example, Ogden (1990), Cadsby and Ratner (1992), Hensel and Ziemba (1996), Kunkel et al. (2003), or Ziemba (1991).

Abraham, A., & Ikenberry, D. L. (1994). The individual investor and the weekend effect. Journal of Financial and Quantitative Analysis, 29(2), 263–277.CrossRef

Aggarwal, R., & Rivoli, P. (1989). Seasonal and day-of-the-week effects in four emerging stock markets. Financial Review, 24(4), 541–550.CrossRef

Alagidede, P. (2013). Month of the year and pre-holiday effects in African stock markets. South African Journal of Economic and Management Sciences, 16(1). Available at http://www.scielo.org.za/scielo.php?script=sci_arttext&pid=S2222-34362013000100006 CrossRef

Alatiyat, M. (2014). Ramadan effect on UAE stock market – Banks sector. Available at SSRN: https://ssrn.com/abstract=2449967 or https://doi.org/10.2139/ssrn.2449967. Accessed 24 Oct 2017.

Ali, I., Akhter, W., & Ashraf, N. (2017). Impact of Muslim Holy Days on Asian stock markets: An empirical evidence. Cogent Economics & Finance, 5(1). https://doi.org/10.1080/23322039.2017.1311096.

Al-Khazali, O. (2014). Revisiting fast profit investor sentiment and stock returns during Ramadan. International Review of Financial Analysis, 33, 158–170. https://doi.org/10.1016/j.irfa.2014.02.003.CrossRef

Alumdhaf, F. (2012). The Islamic calendar effects: Evidence from twelve stock markets. International Research Journal of Finance and Economics, 87, 187–191.

Ariel, R. A. (1987). A monthly effect in stock returns. Journal of Financial Economics, 18, 161–174.CrossRef

Ariel, R. A. (1990). High stock returns before holidays: Existence and evidence on possible causes. Journal of Finance, 45(5), 1611–1626.CrossRef

Ariss, R. T., Rezwanian, R., & Mehdian, S. M. (2011). Calendar anomalies in the Gulf Cooperation Council stock markets. Emerging Markets Review, 12(3), 293–307. https://doi.org/10.1016/j.ememar.2011.04.002.CrossRef

Arsad, Z., & Coutts, J. A. (1997). Security price anomalies in the London international stock exchange: A 60 year perspective. Applied Financial Economics, 7(5), 455–464.CrossRef

Beit-Hallahmi, B., & Argyle, M. (1997). The psychology of religious behaviour, belief and experience. London: Routledge.

Bhana, N. (1994). Public holiday share price behavior on the Johannesburg Stock Exchange. Investment Analysts Journal, 23(39), 45–49.

Białkowski, J., Etebari, A., & Wiśniewski, T. (2012). Fast profits: Investor sentiment and stock returns during Ramadan. Journal of Banking and Finance, 36(3), 835–845.CrossRef

Białkowski, H., Bohl, M. T., Kaufmann, P., & Wiśniewski, T. P. (2013). Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey. Emerging Markets Review, 15, 211–232.CrossRef

Bohl, M. T., & Salm, C. A. (2010). The other January effect: International evidence. European Journal of Finance, 16, 173–182. https://doi.org/10.1080/13518470903037953.CrossRef

Bouman, S., & Jacobsen, B. (2002). The Halloween indicator, “Sell in May and go away”: Another puzzle. American Economic Review, 92(5), 1618–1635. https://doi.org/10.1257/0002828027620246.CrossRef

Cadsby, C. B., & Ratner, M. (1992). Turn-of-month and pre-holiday effects on stock returns: Some international evidence. Journal of Banking & Finance, 16(3), 497–509.CrossRef

Carchano, O., & Pardo, A. (2015). The pan-European holiday effect. Spanish Journal of Finance and Accounting, 44(2), 134–145. https://doi.org/10.1080/02102412.2015.1016716.CrossRef

Castro, F. H., & Schabek, T. (2014). Sell not only in May. Seasonal effects in emerging and developed markets. Available at SSRN: http://ssrn.com/abstract=2458515 or https://doi.org/10.2139/ssrn.2458515. Accessed 23 Oct 2017.

Choudhry, T. (2000). Day of the week effect in emerging Asian stock markets: Evidence from the GARCH model. Applied Financial Economics, 10(3), 235–242.CrossRef

Ciao, X., Premachandra, I. M., & Bhabra, G. S. (2009). Firm size and the pre-holiday effect in New Zealand. International Research Journal of Finance and Economics, 32, 171–187. ISSN: 1450-2887.

Connolly, R. A. (1989). An examination of the robustness of the weekend effect. Journal of Financial and Quantitative Analysis, 24(2), 133–169.CrossRef

Daradkeh, T. K. (1992). Parasuicide during Ramadan in Jordan. Acta Psychiatrica Scandinavica, 86(3), 253–254.CrossRef

Davis, J. (1994). The cross-section of realized stock returns: The pre-COMPUSTAT evidence. Journal of Finance, 49, 1579–1593. https://doi.org/10.1111/j.1540-6261.1994.tb04773.x.CrossRef

Dichtl, H., & Drobetz, W. (2015). Sell in May and go away: Still good advice for investors? International Review of Financial Analysis, 38, 29–43. https://doi.org/10.1016/j.irfa.2014.09.007.CrossRef

Doeswijk, R. Q. (2008, June). The optimism cycle: Sell in May. De Economist, 156, 175. https://doi.org/10.1007/s10645-008-9088-z.CrossRef

Dubois, M., & Louvet, P. (1996). The day-of-the-week effect: The international evidence. Journal of Banking and Finance, 20(9), 1463–1484.CrossRef

Dumitriu, R., Stefanescu, R., & Nistor, C. (2012). The Halloween effect during quiet and turbulent times. Available at SSRN: https://ssrn.com/abstract=2043757 or https://doi.org/10.2139/ssrn.2043757. Accessed 23 Oct 2017.

Dzhabarov, C. S., & Ziemba, W. T. (2016). Sell in May and go away in the equity index futures markets. Available at SSRN: https://ssrn.com/abstract=2721068 or https://doi.org/10.2139/ssrn.2721068. Accessed 23 Oct 2017.

French, K. R. (1980). Stock returns and the weekend effect. Journal of Financial Economics, 8(1), 55–69.CrossRef

Gama, P. M., & Viera, E. F. S. (2013). Another look at the holiday effect. Applied Financial Economics, 23(20), 1623–1633. https://doi.org/10.1080/09603107.2013.8426384.CrossRef

Gibbons, M. R., & Hess, P. (1981). Day of the week effects and asset returns. Journal of Business, 54(4), 579–596.CrossRef

Harris, L. (1986). A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16(1), 99–117.CrossRef

Haug, M., & Hirschey, M. (2006). The January effect. Financial Analyst Journal, 62(5), 78–88.CrossRef

Haugen, R. A., & Lakonishok, J. (1988). The incredible January effect: The stock market’s unsolved mystery. Homewood: Dow Jones-Irwin.

Hensel, C. R., & Ziemba, W. T. (1996). Investment results from exploiting turn-of-the-month effects. Journal of Portfolio Management, 22(3), 17–23.CrossRef

Heston, S. L., & Sadka, R. (2008). Seasonality in the cross-section of stock returns. Journal of Financial Economics, 87(2), 418–445. https://doi.org/10.1016/j.jfineco.2007.02.003.CrossRef

Heston, S. L., & Sadka, R. (2010). Seasonality in the cross-section of stock returns: The international evidence. Journal of Financial and Quantitative Analysis, 45(5), 1133–1160.CrossRef

Hirshleifer, D. A., Jiang, D., & Men, Y. (2017). Mood beta and seasonalities in stock returns. Available at SSRN: https://ssrn.com/abstract=2880257. Accessed 23 Oct 2017.

Hong, H. G., & Yu, J. (2007). Gone fishin’: Seasonality in trading activity and asset prices. Available at SSRN: https://ssrn.com/abstract=676743 or https://doi.org/10.2139/ssrn.676743. Accessed 23 Oct 2017.

Husain, F. (1998). A seasonality in the Pakistani equity market: The Ramadhan effect. Pakistani Development Review, 37(1), 77–81.

Jacobsen, B., & Zhang, C. Y. (2014). The Halloween indicator, ‘Sell in May and go away’: An even bigger puzzle. Available at SSRN: http://ssrn.com/abstract=2154873 or https://doi.org/10.2139/ssrn.2154873. Accessed 23 Oct 2017.

Jacobsen, B., Mamun, A., & Visaltanachoti, N. (2005). Seasonal, size and value anomalies. Available at SSRN: https://ssrn.com/abstract=784186 or https://doi.org/10.2139/ssrn.784186. Accessed 23 Oct 2017.

Jaffe, J., & Westerfield, R. (1985). The week-end effect in common stock returns: The international evidence. Journal of Finance, 40(2), 433–454.CrossRef

Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: A SAD stock market cycle (Federal Reserve Bank of Atlanta working paper No. 2002-13a; Sauder School of Business working paper). Available at SSRN: https://ssrn.com/abstract=208622 or https://doi.org/10.2139/ssrn.208622. Accessed 23 Oct 2017.

Kamstra, M. J., Kramer, L. A., Levi, M. D., & Wermers, R. (2017). Seasonal asset allocation: Evidence from mutual fund flows. Journal of Financial and Quantitative Analysis, 52(1), 71–109. https://doi.org/10.1017/S002210901600082X.CrossRef

Keim, D. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12, 13–32.CrossRef

Keim, D. B., & Stambaugh, R. F. (1984). A further investigation of the weekend effect in stock returns. Journal of Finance, 39(3), 819–835.CrossRef

Keloharju, M., Linnainmaa, J. T., & Nyberg, P. (2016). Return seasonalities. Journal of Finance, 71(4), 1557–1590.CrossRef

Kim, C.-W., & Park, J. (1994). Holiday effects and stock returns: Further evidence. Journal of Financial and Quantitative Analysis, 29(1), 145–157.CrossRef

Knerr, I., & Pearl, P. L. (2008). Ketogenic diet: Stoking energy stores and still posing questions. Experimental Neurology, 11, 11–13.CrossRef

Kunkel, R. A., Compton, W. S., & Beyer, S. (2003). The turn-of-the-month effect still lives. International Review of Financial Analysis, 12(2), 207–221.CrossRef

Lakonishok, J., & Levi, M. (1982). Weekend effects on stock returns: A note. Journal of Finance, 37(3), 883–889.CrossRef

Lakonishok, J., & Maberly, E. (1990). The weekend effect: Trading patterns of individual and institutional investors. Journal of Finance, 45(1), 231–243.CrossRef

Loughran, T. (1997). Book-to-market across firm size, exchange, and seasonality: Is there an effect? Journal of Financial and Quantitative Analysis, 30, 607–618. https://doi.org/10.2307/2331199.CrossRef

Marrett, G. J., & Worthington, A. C. (2009). An empirical note on the holiday effect in the Australian stock market, 1996–2006. Applied Economic Letters, 16(17), 1769–1772.CrossRef

Marshall, B. R., & Visaltanachoti, N. (2010). The other January effect: Evidence against market efficiency? Journal of Banking & Finance, 34(10), 2413–2424. https://doi.org/10.1016/j.jbankfin.2010.03.019.CrossRef

Meneu, V., & Pardo, A. (2004). Pre-holiday effect, large trades and small investor behavior. Journal of Empirical Finance, 11(2), 231–246. https://doi.org/10.1016/j.jempfin.2003.01.002.CrossRef

Mustafa, K. (2011). The Islamic calendar effect on Karachi stock market. Global Business Review, 13(3), 562–574.

Nai-Chiek, A. (2013). Seasonality in Southeast Asian stock markets: The Ramadan effect. The IUP Journal of Applied Finance, 19(3), 75–92.

Novy-Marx, R. (2012). Is momentum really momentum? Journal of Financial Economics, 103, 429–453.CrossRef

Ogden, J. P. (1990). Turn-of-month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects. Journal of Finance, 45(4), 1259–1272.CrossRef

Okada, K., & Yamasaki, T. (2014). Investor sentiment in news and the calendar anomaly – New evidence from a large textual data. Available at SSRN: https://ssrn.com/abstract=2394008 or https://doi.org/10.2139/ssrn.2394008. Accessed 23 Oct 2017.

Reinganum, M. R. (1983). The anomalous stock market behavior of small firms in January – Empirical tests for tax-loss selling effects. Journal of Financial Economics, 12, 89–104.CrossRef

Rogalski, R. J., & Tinic, S. M. (1986). The January size effect: Anomaly or risk measurement? Financial Analysts Journal, 42(6), 63–70.CrossRef

Roll, R. (1983). Vas ist das? The turn-of-the-year effect and the return premia of small firms. Journal of Portfolio Management, 9(Winter), 18–28.CrossRef

Rozeff, M. S., & Kinney, W. R. (1976). Capital market seasonality: The case of stock returns. Journal of Financial Economics, 3, 379–4012.CrossRef

Rubinstein, M. (2001). Rational markets: Yes or no? The affirmative case. Financial Analysts Journal, 57(3), 15–29.CrossRef

Schwert, G. W. (2003). Anomalies and market efficiency. In G. Constantinides, M. Harris, & R. Stulz (Eds.), Handbook of the economics of finance. Amsterdam: North Holland.

Seyyed, F., Abraham, A., & Al-Hajji, M. (2005). Seasonality in stock returns and volatility. The Ramadan effect. Research in International Business and Finance, 19(3), 374–383.CrossRef

Sias, R. W., & Starks, L. T. (1995). The day-of-the-week anomaly: The role of institutional investors. Financial Analysts Journal, 51(3), 58–67.CrossRef

Sonjaya, A. R., & Wahyudi, I. (2016). The Ramadan effect: Illusion or reality? Arab Economic and Business Journal, 11(1), 55–71. https://doi.org/10.1016/j.aebj.2016.03.001.CrossRef

Steeley, J. M. (2001). A note on information seasonality and the disappearance of the weekend effect in the UK stock market. Journal of Banking and Finance, 25(1), 1941–1956.CrossRef

Stivers, C., Sun, L., & Sun, Y. (2009). The other January effect: International, style, and subperiod evidence. Journal of Financial Markets, 12, 521–546.CrossRef

Sullivan, R., Timmermann, A., & White, H. (2001). Dangers of data mining: The case of calendar effects in stock returns. Journal of Econometrics, 105(1), 249–286.CrossRef

Sum, V. (2013). Stock market performance: High and low months. Available at SSRN: https://ssrn.com/abstract=2275061 or https://doi.org/10.2139/ssrn.2275061. Accessed 23 Oct 2017.

Swinkels, L., & van Vliet, P. (2012). An anatomy of calendar effects. Journal of Asset Management, 13(4), 271–286.CrossRef

Tiakas, I. (2010). The economic gains of trading stocks around holidays. Journal of Financial Research, 33(1), 1–26. https://doi.org/10.1111/j.1475-6803.2009.01260.x.CrossRef

Weber, C., & Nickol, P. (2016). More on calendar effects on Islamic stock markets. Review of Middle East Economics and Finance, 12(1), 65–113. https://doi.org/10.1515/rmeef-2015-0039.CrossRef

Yao, Y. (2012). Momentum, contrarian, and the January seasonality. Journal of Banking and Finance, 36, 2757–2769. https://doi.org/10.1016/j.jbankfin.2011.12.004.CrossRef

Zaremba, A. (2015). The January seasonality and the performance of country-level value and momentum strategies. Copernican Journal of Finance & Accounting, 2, 195–209. http://apcz.pl/czasopisma/index.php/CJFA/article/view/CJFA.2015.024 CrossRef

Zaremba, A. (2017). Performance persistence in anomaly returns: Evidence from frontier markets. Available at SSRN: https://ssrn.com/abstract=3060876. Accessed 31 Oct 2017.

Zaremba, A., & Szyszka, A. (2016). Is there momentum in equity anomalies? Evidence from the Polish emerging market. Research in International Business and Finance, 38, 546–564. https://doi.org/10.1016/j.ribaf.2016.07.004.CrossRef

Zaremba, A., & Andreu Sánchez, L. (2017). Paper profits or real money? Trading costs and stock market anomalies in country equity indices. Available at https://doi.org/10.2139/ssrn.3038514

Zaremba, A., & Schabek, T. (2017). Seasonality in government bond returns and factor premia. Research in International Business and Finance, 41, 292–302. https://doi.org/10.1016/j.ribaf.2017.04.036.CrossRef

Zaremba, A., & Umutlu, M. (2018, in press). Strategies can be expensive too! The value spread and asset allocation in global equity markets. Applied Economics.

Zhang, C. Y., & Jacobsen, B. (2013). Are monthly seasonals real? A three century perspective. Review of Finance, 17(5), 1743–1785.CrossRef

Ziemba, W. T. (1991). Japanese security market regularities: Monthly, turn of the month and year, holiday and golden week effects. Japan and the World Economy, 3, 119–146.CrossRef

Titel: Januaries, Mays, and Lunar Cycles: Stock Selection with Seasonal Anomalies
verfasst von: Adam Zaremba
Jacob “Koby” Shemer
Verlag: Springer International Publishing
Buch: Price-Based Investment Strategies
Print ISBN: 978-3-319-91529-6

Electronic ISBN: 978-3-319-91530-2

Copyright-Jahr: 2018
DOI: https://doi.org/10.1007/978-3-319-91530-2_6