Multidimensional analysis of monthly stock market returns
Multidimensional analysis of monthly stock market returns
Author(s): Osman GulsevenSubject(s): Business Economy / Management, Policy, planning, forecast and speculation, Transformation Period (1990 - 2010), Present Times (2010 - today), Financial Markets
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: stock markets; calendar effect; decomposition; dummy variable; logistic regression;
Summary/Abstract: This study examines the monthly returns in Turkish and American stock market indices to investigate whether these markets experience abnormal returns during some months of the calendar year. The data used in this research includes 212 observations between January 1996 and August 2014. I apply statistical summary analysis, decomposition technique, dummy variable estimation, and binary logistic regression to check for the monthly market anomalies. The multidimensional methods used in this article suggest weak evidence against the efficient market hypothesis on monthly returns. While some months tend to show abnormal returns, there is no absolute unanimity in the applied approaches. Nevertheless, there is a strikingly negative May effect on the Turkish stocks following a positive return in April. Stocks tend to be bullish in December in both markets, yet we do not observe anya significant January effect is not observed.
Journal: Analele Ştiinţifice ale Universităţii »Alexandru Ioan Cuza« din Iaşi. Ştiinţe economice
- Issue Year: 61/2014
- Issue No: 2
- Page Range: 181-196
- Page Count: 16
- Language: English