Les indices empiriques de la saisonnalité - Les anomalies calendaires du marché

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12 pages word

anglais

finance

étude de marché

publié le 02/08/2008

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Résumé

anomalies, such as calendar effects, could be defined as phenomena where systematic returns patterns are observed. Partisans to informational market efficiency suggest that calendar effects are prone to disappear, as investors in the market could implement strategies in order to take advantage of these anomalous behaviours. Thus we often evocate the ‘self destruction property of anomalies’. However, according to Marquering, Nisser & Valla study’s over 1960 – 2003 on DJIA, some calendar effects seem to persist, despite their publication in academic journals. In particular, “turn of the month effect” has been persistent over the time and does not seem to have disappeared. “Week-end effect” and “January effect” were still persistent in the 1990’s, although they seem to have progressively disappeared recently. Consequently, have the main calendar effects disappear over the time? The objective of this paper is to determine, whether or not, main calendar effects were persistent over 1998 - 2001 in several European countries and in the United States. The next section synthesizes main previous studies on calendar effects. Then section 3 describes the methodology used for our study. Section 4 investigates the results obtained for intra-week, intra-month and intra-year effects for our seven countries over 1998 - 2001. Finally, section 5 concludes this study.

Sommaire

Calendar Anomalies & Previous Research
1. January Effect – January premium
2. Turn-of-the-month Effect – First-half month dominates
3. Week-End or Day-of-the-week Effect – Friday premium vs. Monday discount
4. Holiday Effect – Pre-holiday rise
Data & Methodology
Empirical Results & Interpretation
1. Intra-Week Results
2. Friday Effect
3. Intra-Month Results
4. First Week Effect
5. Intra-Year Results
6. August Effect
7. September Effect