It should be noted that the March returns are not the lowest in the year (as should be the

case for the tax-loss selling). Turn of the

month effect is observed significantly in both Sensex and Nifty.
Perspectives on Financial Markets and Systems

Study of Calendar Anomalies in Indian Stock Markets

Neeraj Amarnani
Associate Professor
Institute of Management, Nirma University, Ahmedabad

Parth Vaidya
Student
Institute of Management, Nirma University, Ahmedabad

Abstract
Stock market anomalies can be broadly categorized as calendar, fundamental and technical
anomalies. Calendar anomalies however are among the most discussed issues in the
financial literature. This is because these anomalies are the primary contributors towards
the abnormalities in the stock returns. Calendar anomalies are basically defined as an
irregular pattern of stock returns which are based on a calendar year. This paper attempts to
determine the existence of calendar anomalies, namely, Day of the week effect, Turn of the
month effect and Month of the year effect in Indian stock market. Daily data of Sensex and
Nifty for the period of 1993-2013 is analyzed using different statistical techniques. The
tests indicate absence of significant day of the week effect and month of the year effect,
while significant turn of the month effect is observed. There are multiple hypotheses
associated with anomalies, but only turn of the month stands valid for Indian context.

Key-Words: Calendar anomalies, Day of the week effect, Turn of the month effect, Month of the year
effect

Introduction
Literary meaning of an anomaly is a strange or unusual occurrence. Anomaly is a term that is
generic in nature and it applies to any fundamental novelty of fact, new and unexpected
phenomenon or a surprise with regard to any theory, model or hypothesis (George & Elton 2001).

While in standard finance theory, financial market anomaly means a situation in which a
performance of stock or a group of stocks deviate from the assumptions of efficient market
hypotheses. Such movements or events which cannot be explained by using efficient market
hypothesis are called financial market anomalies (Silver 2011).

Tversky & Kahneman (1986) defined market anomaly as “a deviation from the presently accepted
paradigms that is too widespread to be ignored, too systematic to be dismissed as random error and
too fundamental to be accommodated by relaxing the normative system”.

247

Electronic copy available at: http://ssrn.com/abstract=2398195

 Behavioural Finance

Efficient Market Hypothesis (EMH) suggests that markets are rational and their prices fully reflect
all available information. Due to the timely actions of investors prices of stocks quickly adjust to
the new information, and reflect all the available information. So no investor can beat the market by
generating abnormal returns consistently.

But it is found in many stock exchanges of the world that these markets are not following the rules
of EMH. The functioning of these stock markets often witness deviations from the rules of EMH.
These deviations are called anomalies. These anomalies are the indicator of inefficient markets and
have strong implications for stock market efficiency as well as trading strategies in the market.

According to their pattern, anomalies can be divided into three basic types:
1. Fundamental anomalies
2. Technical anomalies
3. Calendar or seasonal anomalies

These anomalies are represented in tabular form as below:

Table 1: Anomalies in Functioning of Stock Markets

Anomalies
Fundamental Technical Calendar
Value Anomaly Moving Average Weekend
Low price to book Trading Range Break Turn of the month
High Dividend Yield Turn of the year
Low Price-to-Earnings January

This paper focuses on determining existence of calendar anomalies.

Research Problem
The present research attempts to address the question of how anomalies such as those tabulated
above can be evaluated to detect patterns of abnormal returns.

248

Electronic copy available at: http://ssrn.com/abstract=2398195

Perspectives on Financial Markets and Systems

Literature Survey

1. Day of the Week Effect

This effect relates to the difference in returns across different days of the week. The main findings
have been lowest and usually negative returns on Mondays and exceptionally large returns on
Fridays as compared to other days of the week (French, 1980; Hess, 1981; Cornell, 1985; Keim and
Stambaugh, 1984). The variance in stock returns is found to be largest on Mondays and lowest on
Fridays. A study by Wang et al. (1997) finds that the negative Monday returns occur in the last two
weeks of the month and that mean Monday returns for the first three weeks of the month are not
significantly different from zero.

The international evidence of this effect has been somewhat mixed. Kiymaz and Berument (2003)
inquired into the day of the week effect with respect to the stock market volatility and level of
trading activity. Variation in stock returns caused by the amount of trading was also inspected. To
address these issues, daily prices from the stock indices of five countries namely, Canada, Germany,
Japan, UK and US (NYSE Index) were taken into account for the period 1988 to 2003. Returns
from all these indices were exhibited in terms of local currencies.

Results revealed that lowest returns were observed for Japan on Tuesdays, for Canada, the United
Kingdom and the United States on Wednesdays and for Germany on Fridays. On the other hand,
highest returns were observed for the United States on Tuesdays, for Japan on Wednesdays, for
Germany and United Kingdom on Thursdays and for Canada on Fridays. An overall positive trend
of mean daily returns was detected for Canada, Germany, the United Kingdom and the United
States while a negative trend was marked for Japan. It can hence be recognized that the distribution
of the returns was not normal and rather skewed. However, the largest trading activity happened on
Wednesdays for the United States and on Thursdays for the United Kingdom and Canada.

Dubois and Louvet (1996) find returns to be lower for the beginning of the week (but not
necessarily Monday) for European countries, Hong Kong and Canada. They did, however, observe
that the anomaly disappeared in the USA for the most recent periods. Agrawal and Tandon (1994),
find negative Monday returns in nine countries and negative Tuesday returns in eight countries (out
of 19 countries). Also, the Tuesday returns are lower than Monday returns in eight countries.
Mahendra Raj and Damini Kumari (2006) did not find negative Monday effect in India. Instead,
Monday returns are positive while Tuesday returns are negative.

249
 Behavioural Finance

2. Turn of the Month Effect

According to this calendar anomaly the mean returns in early days of the month are higher than
other days of the month. Cadsby & Ratner (1992) studied turn of the month effect for USA, Canada,
Switzerland, Germany, UK and Australia while no such effect they found in Japan, Hong Kong,
Italy and France. While turn-of- the- month effect which is the large returns on the last trading day
of the month is found in fourteen countries (Agrawal & Tandon 1994).

Different researchers have used different event windows to study Turn of the Month Effect. Ariel
(1987) while evaluating turn of the month effect, defined his event window as (-1, +4) i.e. last
working day of previous month and first four days of upcoming month. Lakonishok and Smidt
(1988) analyzed Dow Jones Industrial Average (DJIA) for turn of the month effect with an event
window of (-1, +3) i.e. last working day of previous month and first three days of new month.

The reason behind the turn of the month effect is due to the mental behaviour of the investors that
they sell their shares at the end of the month and expect the positive change for the next month and
release of new information at the end and start of the new month. Investors in this way get
maximum benefit by selling at the end of the month and repurchasing at the start of the new month
so that these incorporate new information. Abhijeet Chandra (2009) found significant turn of the
month effect in Indian scenario.

Kok and Wong (2004) reviewed third month anomaly in five ASEAN countries during the time
period involving the ASEAN financial crisis in 1997. Third month anomaly is basically when a
particular month is divided into three sections and then returns in each of the sections is calculated
and analyzed. First section incorporated returns from the 28th day of the previous month till the 7th
day of the current month, second section included returns from the 8th day to 17th day of the month
and the last section included returns from the 19th day till the 27th day of the month.

Five ASEAN countries included in the data were: Malaysia, Singapore, Thailand, Indonesia and the
Philippines. The time period under study was from 1992 to 2002.

During the pre-crisis period all five countries presented different patterns of returns during different
sections of the month. Malaysia, Indonesia and Philippines recorded highest average returns during
the first section of the month whereas lowest returns were witnessed in the second section of the
month by Malaysia and Indonesia.

250
Perspectives on Financial Markets and Systems

3. Month of the Year Effect

This effect reflects variation in return of different months in a year (Gultekin & Gultekin 1983).
January returns are greatest due to year-end tax loss selling of shares disproportionally (Branch
1977). The general argument is that January effect is due to tax-loss hypothesis investors sell in
December and buy back in January. Mahendra Raj and Damini Kumari (2006) did not find positive
January effects in India.

A study by Ligon (1997) suggests that the January effect is significantly related to excessive
investor liquidity in that month. He finds that higher January volume and lower real interest rates
are correlated with higher January returns. Bensman (1997) also attributes this effect to a
behavioural finance phenomenon of irrational exuberance of investors.

Haug and Hirschey (2006) reviewed the January anomaly for large cap and small cap stocks by
examining the value weighted and equal weighted returns. They also tested the existence of this
anomaly for small cap stocks after the progression of the Tax Reform Act of 1986. Causes for
January effect were identified as well by exploring the Fama and French’s (1993) size, book to
market and momentum factors.

Wong et al. (2006) also analyzed the January effect inherent in the Singaporean stock market. Tests
of January effect revealed that during the pre-crisis period the average returns in January were
higher than the average returns for the rest of the year, difference however not being very
noticeable.

Ariss et al. (2011) also inquired about the January anomaly in the Gulf Cooperation Council (GCC)
indices. A very interesting pattern of returns that was observed in the GCC indices was that instead
of January, high, positive and significant returns were obtained in the month of December. These
returns were also significantly higher than the returns on all the other months of the year. Therefore,
it was concluded that GCC countries had a December effect instead of January effect as in other
markets of the world.

Keong (2010) concluded that most of the Asian markets exhibit positive December expect Hong
Kong, Japan, Korea and china. Few countries also exhibit positive January, April and may effect
and only Indonesia exhibit negative august effect. In India, April effect may be observed owing to
the tax loss saving hypothesis.

251
 Behavioural Finance

Research Methodology
1. Data
The data for this study consist of daily closing values of BSE Sensex and NSE Nifty for the period
1993-2013. All the data points where returns are zero are eliminated. Also those weeks where data
is not available for all 5 trading days of the week are eliminated.

2. Methodology
The daily/monthly returns are calculated as:
Rt = 100 * ln (I (t) / I (t-1))
Where I (t) refer to index price on day/month t

The tests performed are listed below:

2.1 Regression using dummy variables:

Donald B. Keim (1983) suggested a regression model with dummy variables as a method of testing
the anomalies as given below:

1) Day-of-the-week effect
Model: Rt = a0 + a1d1 + a2d2 + a3d3 + a4d4 + ut
where Rt is the return on day t, ai is the mean return for each day-of-the-week;
d1 through d5 are day-of-the-week dummies that are either 0 or 1 (d1= 1 for Monday and 0
otherwise and so on);
ut is the random error term for day t.

Hypothesis (Ho): a1 = a2 = a3 = a4

If this hypothesis is rejected, it would imply that the mean daily returns ai are significantly different
from each other, i.e. there is seasonality in returns across different days of the week.

2) Month of the year effect

Model: Rt = a0 + aidit + ut

252
Perspectives on Financial Markets and Systems

where Rt is the monthly return in month t; a0, expected monthly return; ai, mean return for the ith
month; dit, dummy variable for months of the year and are 0 or 1 (d2t = 1 for February and 0
otherwise and so on).

Hypothesis (Ho): a2 = a3 = ... = a11

If this hypothesis is rejected, it implies that return for that month is significantly different from
other months of the year. The signs of coefficients a2 to a11 indicate whether the difference is
positive or negative.

3) Turn of the Month effect

A four-day (-1, +3) window is used and following regression equation is run:
Rt = β0 + β1d2t + εt
Significant positive value of coefficient β1 will prove the Turn of the Month effect.
2.2 ANOVA (Analysis of Variance)
ANOVA helps determine significance of variation between mean of more than two groups.

1) Day-of-the-week effect
ANOVA is carried out between 5 sets of returns, each set representing return of a particular day of
the week.
2) Month of the year effect
ANOVA is carried out between 12 sets of returns, each set representing returns of a particular
month.
3) Turn of the Month effect
ANOVA is carried out between 2 sets of returns, one being turn of the month days and the others
days.

Results
Day of the week effect - ANOVA
H0: The average daily return of every working day of the week is statistically equal

253
 Behavioural Finance

Sensex
Table 2: Sensex Day of the Week Anova Single Factor

SUMMARY
Groups Count Sum Average Variance
Monday 776 44.335 0.057 3.674
Tuesday 776 -6.325 -0.008 2.034
Wednesday 776 70.296 0.091 2.308
Thursday 776 17.079 0.022 2.298
Friday 776 14.168 0.018 2.903

ANOVA
Source of Variation SS Df MS F P-value F crit
Between Groups 4.567785 4 1.142 0.432 0.786 2.374
Within Groups 10243.1 3875 2.643
Total 10247.66 3879

Average return on Monday is not negative, indeed Tuesday returns are negative. Average return of
Wednesday is highest with 0.091%. In ANOVA table, from p-value, the model is statistically
insignificant at 5% confidence level. Null hypothesis is not rejected. Thus, average returns of
different days are not significantly different from each other. Day of the week effect is not exhibited
by Sensex.

Nifty
Table 3: Nifty Day of the Week Anova Single Factor

SUMMARY
Groups Count Sum Average Variance
Monday 786 -47.075 -0.060 3.626
Tuesday 786 -45.106 -0.057 1.967
Wednesday 786 167.631 0.213 2.313
Thursday 786 9.596 0.012 2.215
Friday 786 35.105 0.045 2.787

ANOVA
Source of Variation SS Df MS F P-value F crit
Between Groups 39.17029 4 9.793 3.793 0.004 2.374
Within Groups 10132.63 3925 2.582
Total 10171.8 3929

254
Perspectives on Financial Markets and Systems

Monday returns are negative. Least average return is on Monday and highest average return is
observed for Wednesday. In ANOVA table, p-value of 0.004 indicates that the model is statistically
significant at 5% confidence level. So, null hypothesis is rejected. Thus, average returns of different
days are significantly different from each other. Day of the week effect is found in Nifty.

Day of the week – Regression

H0: The average daily return of every working day of the week is statistically equal

Table 4: Regression Output: Day of the Week Effect

Regression
Statistics Sensex Nifty
Multiple R 0.021 0.062
R Square 0.000 0.004
Adjusted R Square -0.001 0.003
Standard Error 1.626 1.607
Observations 3880 3930

Sensex Nifty
Coeff- Std Coeff- Std
icients Error t Stat P-value icients Error t Stat P-value
Intercept ( -
Monday) 0.0571 0.0584 0.9789 0.3277 -0.060 0.057 1.045 0.296
Tuesday -0.0653 0.0825 -0.7909 0.4290 0.003 0.081 0.031 0.975
Wednesday 0.0335 0.0825 0.4053 0.6853 0.273 0.081 3.370 0.001
Thursday -0.0351 0.0825 -0.4255 0.6705 0.072 0.081 0.890 0.374
Friday -0.0389 0.0825 -0.4710 0.6377 0.105 0.081 1.290 0.197
F- stat 0.432 F crit 2.374 p-value 0.786 Fstat. 3.793 Fcrit 2.374 p-value 0.004

Sensex
Intercept coefficient gives average return for Monday (0.057%). Monday returns are not negative,
while Tuesday returns are negative (-.0653%). Almost all dummy variable coefficients are negative
and none of them are statistically significant. Model is statistically insignificant at 5% confidence
interval. Daily returns of every working day are statistically different. Monday effect is not found in
Sensex.

255
 Behavioural Finance

Nifty
Intercept coefficient gives average return for Monday (-0.060%). Intercept is lowest as compared to
coefficients of dummy variables. All dummy variable coefficients are positive and almost none of
them are statistically significant. The model is statistically significant at 5% confidence level. Day
of the week effect is found in Nifty. But Monday returns are not significantly less as compared to
other weekday returns.

Month of the year – ANOVA

H0: The average monthly return of every month of the year is statistically equal

Sensex
Table 5: Sensex Month of the Year ANOVA
SUMMARY
Groups Count Sum Average Variance
January 20 1.835 0.092 71.642
February 20 35.921 1.796 36.162
March 20 -29.806 -1.490 61.766
April 20 21.362 1.068 57.041
May 20 3.057 0.153 100.184
June 20 32.837 1.642 58.181
July 20 26.723 1.336 32.326
August 20 29.668 1.483 40.555
September 20 21.438 1.072 65.310
October 20 -39.282 -1.964 76.754
November 20 33.808 1.690 69.474
December 20 73.573 3.679 20.275

ANOVA
Source of Variation SS Df MS F P-value F crit
Between Groups 508.2084 11 46.201 0.804 0.636 1.831
Within Groups 13103.75 228 57.473
Total 13611.96 239

256
Perspectives on Financial Markets and Systems

Nifty
Table 6: Nifty Month of the Year ANOVA
SUMMARY
Groups Count Sum Average Variance
January 20 3.415 0.171 90.164
February 20 33.872 1.694 33.282
March 20 -19.154 -0.958 58.917
April 20 10.077 0.504 50.467
May 20 5.087 0.254 98.767
June 20 27.698 1.385 54.530
July 20 25.951 1.298 32.694
August 20 28.973 1.449 42.109
September 20 24.606 1.230 59.911
October 20 -47.478 -2.374 91.186
November 20 40.222 2.011 68.213
December 20 82.111 4.106 22.200

ANOVA
Source of Variation SS Df MS F P-value F crit
Between Groups 564.361 11.000 51.306 0.876 0.564 1.831
Within Groups 13346.387 228.000 58.537
Total 13910.748 239.000

p-values for both Sensex(0.636) and Nifty(0.564) indicate that model is statistically insignificant at
5% confidence level, so we can conclude that monthly returns are not significantly different from
each other. March and October give negative returns.

257
 Behavioural Finance

Month of the year – Regression

H0: The average monthly return of every month of the year is statistically equal

Table 7: Regression Output: Month of the Year Effect

SUMMARY
OUTPUT
Regression Statistics Sensex Nifty
Multiple R 0.193 0.201
R Square 0.037 0.041
Adjusted R Square -0.009 -0.006
Standard Error 7.581 7.651
Observations 240 240

Sensex Nifty
Coefficients Std. Err t Stat P-value Coefficients Std. Err t Stat P-value
Intercept –
0.092 1.695 0.054 0.957 0.171 1.711 0.1 0.921
January
February 1.704 2.397 0.711 0.478 1.523 2.419 0.629 0.53
March -1.582 2.397 -0.66 0.51 -1.128 2.419 -0.466 0.641
April 0.976 2.397 0.407 0.684 0.333 2.419 0.138 0.891
May 0.061 2.397 0.025 0.98 0.084 2.419 0.035 0.972
June 1.55 2.397 0.647 0.519 1.214 2.419 0.502 0.616
July 1.244 2.397 0.519 0.604 1.127 2.419 0.466 0.642
August 1.392 2.397 0.58 0.562 1.278 2.419 0.528 0.598
September 0.98 2.397 0.409 0.683 1.06 2.419 0.438 0.662
October -2.056 2.397 -0.858 0.392 -2.545 2.419 -1.052 0.294
November 1.599 2.397 0.667 0.506 1.84 2.419 0.761 0.448
December 3.587 2.397 1.496 0.136 3.935 2.419 1.626 0.105

Intercept coefficient gives average return for January with reference to Sensex (0.092%) and Nifty
(0.171%). It is not highest in both Sensex and Nifty. Except for March and October, all dummy
variable coefficients are positive and none of them are statistically significant. The model is
statistically insignificant at 5% confidence level. Although monthly returns are different from each
other, results of ANOVA and multiple regression exhibits that month of the year effect and January
effect are not observed in Sensex and Nifty.

258
Perspectives on Financial Markets and Systems

Turn of the month: ANOVA

H0: Return of turn of the month (-1, +3) days and other days are statistically equal

Sensex
Table 8: Sensex Turn of the Month ANOVA
SUMMARY
Groups Count Sum Average Variance
Other Days 239 -0.6228 -0.0026 0.1854
ToM 239 55.6462 0.2328 0.7732

ANOVA
Source of Variation SS Df MS F P-value F crit
Between Groups 6.623846 1 6.6238 13.8202 0.0002 3.8611
Within Groups 228.1409 476 0.4793
kTotal 234.7648 477

Nifty
Table 9: Nifty Turn of the Month ANOVA
SUMMARY
Groups Count Sum Average Variance
Other days 240 0.3400 0.0014 0.1826
ToM 240 54.6812 0.2278 0.7245

ANOVA
Source of Variation SS Df MS F P-value F crit
Between Groups 6.152016 1 6.1520 13.5650 0.0003 3.8610
Within Groups 216.7838 478 0.4535
Total 222.9358 479

From the results of ANOVA test between returns of turn of the month (-1, +3) days and other days
of the month, p-values for Sensex (0.0002) and Nifty (0.0003) indicate that model is significant at
5% confidence level. So, we can conclude that these means are significantly different from each
other. Turn of the month effect is observed in both Sensex and Nifty.

Turn of the month: Regression

H0: Return of turn of the month (-1, +3) days and other days are statistically equal

259
 Behavioural Finance

Sensex
Table 10: Regression Output: Sensex Turn of the Month
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.172296
R Square 0.029686
Adjusted R Square 0.027647
Standard Error 0.69009
Observations 478

Coefficients Standard Error t Stat P-value

Intercept 0.2328 0.0446 5.2159 2.73E-07
Other Days -0.2409 0.0631 -3.8161 0.000153
F- statistic 13.820 F crit 3.861 p-value 0.0002

Nifty
Table 11: Regression Output: Nifty Turn of the Month
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.1661
R Square 0.0276
Adjusted R Square 0.0256
Standard Error 0.6734
Observations 480

Coefficients Standard Error t Stat P-value

Intercept – ToM 0.2278 0.0435 5.2412 0.0000
Other days -0.2264 0.0615 -3.6831 0.0003
F- statistic 13.565 F crit 3.861 p-value 0.0003

Intercept coefficient gives average return for Turn of the Month (-1, +3) days with reference to
Sensex (0.2328%) and Nifty (0.2278%). Dummy variable for other days of the month has negative
coefficient and are statistically significant. The model is statistically insignificant at 5% confidence
level. Thus, turn of the month effect is significantly observed in both Sensex and Nifty.

6. Conclusion
This study indicates that though the Indian market does exhibit seasonality in returns, this
seasonality is very different from that observed commonly in other developed foreign markets.

260
Perspectives on Financial Markets and Systems

Day of the week effect and negative Monday effect were observed in Nifty but not in Sensex. On
the surface, monthly returns look different from each other, but Month of the year effect is not
observed significantly both in Sensex and Nifty. It should be noted that the March returns are not
the lowest in the year (as should be the case for the tax-loss selling). Turn of the month effect is
observed significantly in both Sensex and Nifty.

The variance in seasonality in the Indian market as compared to the other developed markets
implies that this market is not yet integrated with the other world markets and can provide a good
portfolio diversification opportunity.

References
Agrawal, A. and Tandon, K. (1994), “Anomalies or illusions: Evidence from stock markets in
eighteen countries”, Journal of International Money and Finance, 13, pp. 83-106
Ariel, R. (1987), “A monthly effect in stock returns”, Journal of Financial Economics, 18, pp.161-74
Ariss, R T., Rezvanian, R., and Mehdian S. M. (2011), “Calendar anomalies in the Gulf
Cooperation Council stock markets”, Emerging Market Review, 12, pp.293-307
Branch, B. (1977), “A tax-loss trading rule”, Journal of Business, 50(2), pp. 198-207
Cadsby, C. B. and M. Ratner (1992) "Turn-of-Month and Pre-Holiday effects on Stock Returns:
Some International Evidence", Journal of Banking and Finance, 16, pp.497-509
Chandra A. (2009), “Stock Market Anomalies: A Calendar Effect in BSE-Sensex”, MPRA Paper No.
21290, posted March 2010
Chow, E., Hsiao, P. and Solt, M. (1997), “Trading Returns For The Weekend Effect Using Intraday
Data”, Journal of Business Finance and Accounting, 24(3/4), pp. 425-44
Cornell, B. (1985), “The Weekly Pattern In Stock Returns: Cash Versus Futures: A Note”, Journal
of Finance, 40(2), pp. 583-8
Dubois, M. and Louvet, P. (1996), “The Day-Of-The-Week Effect: The International Evidence”,
Journal of Banking and Finance, 20(9), pp. 1463-84
Fama, E.F., and K.R. French (1993), “Common Risk Factors in the Returns on Stocks and Bonds”,
Journal of Financial Economics, 33(1), pp. 3-56
Frankfurtera, G. M. and Mcgoun, E. G. (2001), "Anomalies in Finance What Are They and What
are They Good For? “International Review of Financial Analysis, 10, pp. 22
French, K. (1980), “Stock returns and the weekend effect”, Journal of Financial Economics, 8, pp.
55-69
Gultekin, M. and Gultekin, N. (1983), “Stock market seasonality: international evidence”, Journal
of Financial Economics, 12, pp. 469-81

261
 Behavioural Finance

Haug, M., and Hirschey M. (2006), “The January Effect”; Financial Analyst Journal, 62, pp. 78-88
Hess, P. (1981), “Day of the Week Effects and Asset Returns”, Journal of Business, 54(2), pp. 579-
95
Keim, D. B., and Stambaugh, F. (1984), “A Further Investigation Of Weekend Effects In Stock
Returns”, Journal of Finance, 39, pp. 819-840
Keim, D.B.(1983).:” Size-Related Anomalies and Stock Returns Seasonality: Further Empirical
Evidence”,Journal of Financial Economics, 12, pp. 13-32
Kiymaza, H. and Berument, H. (2003), “The Day of The Week Effect on Stock Market Volatility and
Volume: International Evidence”, Review of Financial Economics, 12 (2003), pp.363-380
Lakonishok J. and Smidt S. (1988), “Are Seasonal Anomalies Real? A Ninety-Year Perspective”,
The Review of Financial Studies, 1(4) (Winter, 1988), pp. 403-425
Latif M., Arshad S., Fatima M. and Farooq S. (2011), “Market Efficiency, Market Anomalies,
Causes, Evidences and Some Behavioural Aspects of Market Anomalies”, Research Journal of
Finance and Accounting, ISSN 2222-1697, 2(9/10), 2011
Lian, Kok Kim; Chen, Wong Yoke (2004), “Seasonal Anomalies of Stocks in Asean Equity
Markets”, Sunway College Journal, 1, pp. 1-11
Ligon, j. A. (1997),"A Simultaneous Test of Competing Theories Regarding the January Effect”,
Journal of Financial Research, 20(1), pp. 13-23
Lim boon keong (2010). "Month-of-the-year effects in Asian countries: a 20-year study" African
Journal of Business Management, 4(7), pp. 1351-1362
Nawaz1 S. and Mirza N. (2012), “Calendar Anomalies and Stock Returns: A Literature Survey”,
Journal of Basic and Applied Scientific Research 2(12) pp. 12321-12329, 2012
Raj, M., and Kumari, D.(2006). “Day-Of-The-Week And Other Market Anomalies In The Indian
Stock Market”, International Journal of Emerging Markets, 1(3),pp. 235-246
Silver, T. (2011), “Making Sense Of Market Anomalies”, Retrieved from
http://www.investopedia.com/articles/stocks/08/market-anomaly-efficient-market.asp on
November 15, 2013
Star, M. (1996), “The January Effect: Dead Or Just Missing In Action”, Pensions and Investments,
24(3), pp. 3-31
Tversky A. and Kahneman D. (1986), “Rational Choice and the Framing of Decisions”, Journal of
Business, 59(2), Part 2: The Behavioural Finance of Theory, pp.251-278
Wang, K., Li, Y. and Erickson, J. (1997), “A New Look At the Monday Effect”, Journal of Finance,
52(5), pp. 2171-86
Ward,S.(1997),“The Striking Price: Warm To The January Effect”, Barrons, 77(47), pp. 17
Wong, W. K., Agarwal, A., and Wong, N.T. (2006), “The Disappearing Calendar Anomalies in the
Singapore Stock Market”, The Lahore Journal of Economics, 11(2), pp. 123-139

262