Calendar effects in New York stock market / Nur Fatimah Zahraa' Mohamed Noor

Zahraa' Mohamed Noon, Nur Fatimah (2007) Calendar effects in New York stock market / Nur Fatimah Zahraa' Mohamed Noor. [Student Project] (Submitted)

Abstract

In this paper examines the calendar in New York stock market, particularly month of the year effect (January effect) and day of the week effect (Monday effects). Unlike other empirical works suggest expanding the model to cover several main effects. By doing so we find that the January is not the only effect, and it cannot be rejected that the effect from selected years are so powerful that it can affect the empirical findings. When evaluating the significance of calendar effects, such as those associated with Monday and January, it is necessary to control for all possible calendar effects to avoid spurious results. Also contributes to the discussion of calendar effects and their significance. It derives a test for calendar specific anomalies, which control for the full space of possible calendar effects. My findings are that calendar are not significant in January effect and Monday effect, and it is primarily October result that exhibits the significant anomalies by use regression analysis. A regression analysis was conducted to identify the important variables in the future. To this end it will refer to an empirical analysis based on the New York stock index for the January 1997 to January 2007 period. In recent years it seems that the calendar effects have diminished except in small cap stock indices.

Metadata

Item Type: Student Project
Creators:
Creators
Email / ID Num.
Zahraa' Mohamed Noon, Nur Fatimah
2005374807
Contributors:
Contribution
Name
Email / ID Num.
Thesis advisor
Hoong, Tay Bee
UNSPECIFIED
Thesis advisor
Jaafar, Muhamad Sukor
UNSPECIFIED
Subjects: H Social Sciences > HB Economic Theory. Demography > Economics
H Social Sciences > HG Finance > Investment, capital formation, speculation
Divisions: Universiti Teknologi MARA, Johor > Segamat Campus > Faculty of Business and Management
Programme: Bachelor of Business Administration (HONS) Finance
Keywords: Stock market; Investment
Date: 2007
URI: https://ir.uitm.edu.my/id/eprint/74151
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