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Trading the Days vs. Days of Trading: An Empirical Literature Survey on Calendar Anomalies Across Markets
This thesis provides a comprehensive theoretical and empirical review of over five decades of research on two of the most examined calendar anomalies: the day-of-the-week and weekend effect. The expansive literature is classified into five different phases to demonstrate and review the evolution of...
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| Format: | Thesis |
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AUC Knowledge Fountain
2021
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| _version_ | 1867613419931172864 |
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| access_status_str | Open Access |
| author | Kiryakos, Mariam Ashraf |
| author_browse | Kiryakos, Mariam Ashraf |
| author_facet | Kiryakos, Mariam Ashraf |
| author_sort | Kiryakos, Mariam Ashraf |
| collection | Thesis |
| description | This thesis provides a comprehensive theoretical and empirical review of over five decades of research on two of the most examined calendar anomalies: the day-of-the-week and weekend effect. The expansive literature is classified into five different phases to demonstrate and review the evolution of research on these two seasonal anomalies. It also reconciles empirically the seemingly contradicting evidence documented by prior studies by adopting the lens of Adaptive Market Hypothesis (AMH) and conducting a cross-market analysis on the two calendar anomalies using the headline stock market indices of the ten largest economies by GDP as of 2019. The main methodology employs GARCH (1,1), T-GARCH (1,1) and rolling window analysis. Currency effects are also incorporated as a robustness check by running the analysis on US dollar returns. The results indicate that AMH offers a better explanation for the existence of these seasonalities across the sample markets and their time-variant behavior. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-2685 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:51.500Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-2685 Trading the Days vs. Days of Trading: An Empirical Literature Survey on Calendar Anomalies Across Markets Kiryakos, Mariam Ashraf This thesis provides a comprehensive theoretical and empirical review of over five decades of research on two of the most examined calendar anomalies: the day-of-the-week and weekend effect. The expansive literature is classified into five different phases to demonstrate and review the evolution of research on these two seasonal anomalies. It also reconciles empirically the seemingly contradicting evidence documented by prior studies by adopting the lens of Adaptive Market Hypothesis (AMH) and conducting a cross-market analysis on the two calendar anomalies using the headline stock market indices of the ten largest economies by GDP as of 2019. The main methodology employs GARCH (1,1), T-GARCH (1,1) and rolling window analysis. Currency effects are also incorporated as a robustness check by running the analysis on US dollar returns. The results indicate that AMH offers a better explanation for the existence of these seasonalities across the sample markets and their time-variant behavior. 2021-06-17T07:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/1656 https://fount.aucegypt.edu/context/etds/article/2685/viewcontent/Mariam_Ashraf_Fikry_Kiryakos_Thesis.pdf Theses and Dissertations AUC Knowledge Fountain Day-of-the-week effect Weekend effect Calendar anomalies Adaptive Market Hypothesis Rolling Sample Test GARCH model T-GARCH model stock markets Exchange rate effect. Finance and Financial Management |
| spellingShingle | Day-of-the-week effect Weekend effect Calendar anomalies Adaptive Market Hypothesis Rolling Sample Test GARCH model T-GARCH model stock markets Exchange rate effect. Finance and Financial Management Kiryakos, Mariam Ashraf Trading the Days vs. Days of Trading: An Empirical Literature Survey on Calendar Anomalies Across Markets |
| title | Trading the Days vs. Days of Trading: An Empirical Literature Survey on Calendar Anomalies Across Markets |
| title_full | Trading the Days vs. Days of Trading: An Empirical Literature Survey on Calendar Anomalies Across Markets |
| title_fullStr | Trading the Days vs. Days of Trading: An Empirical Literature Survey on Calendar Anomalies Across Markets |
| title_full_unstemmed | Trading the Days vs. Days of Trading: An Empirical Literature Survey on Calendar Anomalies Across Markets |
| title_short | Trading the Days vs. Days of Trading: An Empirical Literature Survey on Calendar Anomalies Across Markets |
| title_sort | trading the days vs days of trading an empirical literature survey on calendar anomalies across markets |
| topic | Day-of-the-week effect Weekend effect Calendar anomalies Adaptive Market Hypothesis Rolling Sample Test GARCH model T-GARCH model stock markets Exchange rate effect. Finance and Financial Management |
| url | https://fount.aucegypt.edu/etds/1656 https://fount.aucegypt.edu/context/etds/article/2685/viewcontent/Mariam_Ashraf_Fikry_Kiryakos_Thesis.pdf |
| work_keys_str_mv | AT kiryakosmariamashraf tradingthedaysvsdaysoftradinganempiricalliteraturesurveyoncalendaranomaliesacrossmarkets |