Along with the growth of Taiwan¡¦s capital markets, the public tend to serve stocks as the main investment tool. Underwriting markets are also monitored by investors. Generally, Taiwanese firms¡¦ stocks possess ¡§honeymoon periods¡¨ after they went public, in which the stocks kept gaining prices for consecutive days. Due to the phenomenon, companies tend to went public once the requirements are satisfied. On the other hand, investors are willing to purchase such stocks, thus let the underwriting market prosper. The aspect of initial public offerings (IPOs) is also gaining attention of researchers. This research aims at examining the relation between Taiwanese firms¡¦ IPOs¡¦ initial return and the Monday effect and Intra-month effect. This thesis also tried to discover that whether Taiwanese IPOs possess differences between size and industry groups. The results indicate that Taiwanese IPOs have lower return if issued in Mondays, which is the Monday effect. The reason may be that the closed market in weekends allowed investors to spend more time to search and to analyze information and to hinder themselves from overreaction. In addition, when issuing companies are determining underwriting prices, they tend to serve discount as a risk compensation for the uninformed investors, thus when investors have more time to analyze their investment decisions, the issuing companies need not to discount to induce investors.

This paper documents a major shift in market microstructure during the period 1990 through 1999. In particular, a dramatic change in the pattern of cash flows by individual and institutional investors is documented. The question becomes, what effect this change has on day-of-the-week return patterns for the Dow Jones Industrial Average, Standard and Poor's 500 index, and Standard and Poor's 500 index futures. I find Monday's return pattern has changed in the decade of the 1990's. Not only is Monday's mean return significantly large and positive for all indices, the entire anomalous pattern occurs from Monday's open to Monday's close - an intraday effect. In addition, I find evidence that trading volume is a factor in explaining the anomalous behaviour of Monday's returns. New York Stock Exchange trading volume is significantly lower on Mondays from the trading volume of other days of the week but the trading activity of individual investors is significantly higher. More recently, individual investors have increased their buying activity on Mondays relative to prior periods. Finally, Monday exhibits the largest returns in the first two trading hours when the Dow Jones Industrial Average returns are decomposed into hourly returns. The research emphasizes the dynamic nature of the time series patterns of stock returns and the suggestion day-of-the-week return patterns are not robust over time. Therefore, familiarity with market microstructure issues is just as important as the statistical techniques utilized.

Σκοπός της παρούσας είναι ο έλεγχος της ύπαρξης ημερολογιακών ανωμαλιών στη λειτουργία των διεθνών αγορών, όπως αυτή αποτυπώνεται στην πορεία των χρηματιστηριακών δεικτών κατά την περίοδο 01.01.1988 έως 31.03.2008. Όταν μια ημερολογιακή ανωμαλία γίνεται γνωστή στην αγορά, είναι αναμενόμενο η αντίδραση των επενδυτών στην αναμονή της να βαίνει φθίνουσα με το χρόνο. Για την απόρριψη ή την επιβεβαίωση της υπόθεσης αυτής, στην παρούσα μελέτη, ελέγχεται η ύπαρξη ημερολογιακών ανωμαλιών στις αποδόσεις 15 διεθνών χρηματιστηριακών αγορών τα τελευταία 20 έτη. Κυρίαρχος σκοπός της συγκεκριμένης μελέτης είναι ο έλεγχος της μεταβολής των τάσεων στις προτιμήσεις και τις προσδοκίες των επενδυτών τόσο κατά το πέρασμα των χρόνων όσο και με βάση τη θέση κάθε αγοράς στον παγκόσμιο χάρτη ανάπτυξης. Η εξεταζόμενη περίοδος χωρίζεται σε δύο επιμέρους υποπεριόδους με γνώμονα την διεθνή κρίση που ξεκίνησε στα τέλη του 1999 και επηρέασε καθοριστικά την πορεία της παγκόσμιας οικονομίας. Προσπαθούμε, επομένως, να μελετήσουμε την προσαρμογή των αγορών στις συνθήκες και τα δεδομένα που δημιουργούνται έπειτα από ένα σημαντικό γεγονός. Η μεγάλη βάση του δείγματος - ξεπερνά τα είκοσι έτη, το πλήθος των εξεταζόμενων δεικτών και η προσπάθεια μελέτης διαφορετικών τάσεων με βάση ένα κομβικό σημείο της πορείας της ιστορίας αλλά και με βάση την κατηγοριοποίηση των αγορών ανάλογα με το βαθμό ανάπτυξής τους, διαφοροποιούν την παρούσα μελέτη, και πιστεύουμε ότι αποτελούν ένα ισχυρό κίνητρο για έναν μελετητή ή επενδυτή να αφιερώσει χρόνο στην παρούσα μελέτη. Εξάλλου, τόσο η αξιοσημείωτη διαφοροποίηση των αποτελεσμάτων στις δύο εξεταζόμενες υποπεριόδους, όσο και η χαλαρή τάση που εμφανίζεται σε κάθε κατηγορία αγορών, θεωρούμε ότι δικαιώνουν το εν λόγω εγχείρημα. / When a calendar anomaly becomes acquaintance in the market, the reaction of investors is expected to go declining with the time. For the reject or the confirmation of this affair, in the present study, we check the existence of calendar anomalies in the output of 15 International Stock Exchange markets the last 20 years. The examined period (1988-2008) is separated in two subperiods taking into consideration the international crisis that began in the dues of 1999 in order to be checked the stability of results. The empirical results show important differentiation of results in the two examined subperiods. In any case, the segregation of indicators according to their places in the world market does not appear to attribute substantially conclusions. Specifically in the case of emerging markets, these show that they mark an autonomous movement and to be influenced more by other (internal, mainly) factors.

Submitted by Maicon Juliano Schmidt (maicons) on 2015-07-06T14:43:40Z No. of bitstreams: 1 Fernando Schumann.pdf: 3125506 bytes, checksum: 2619389913d90e6922ec60563241a56a (MD5) / Made available in DSpace on 2015-07-06T14:43:40Z (GMT). No. of bitstreams: 1 Fernando Schumann.pdf: 3125506 bytes, checksum: 2619389913d90e6922ec60563241a56a (MD5) Previous issue date: 2013-02-27 / Nenhuma / A eficiência ou não dos mercados é um assunto que permanece polemizado por diversos acadêmicos e profissionais do mercado, na medida em que alguns sugerem sua eficiência, e outros se mostram contrários a essa ideia. Nesse contexto, o objetivo deste trabalho é o de verificar se os mercados acionários brasileiros podem ser considerados eficientes, na forma fraca, bem como investigar a possiblidade de existência de anomalias de mercado conhecidas como "efeito segunda-feira" e "efeito sell in may and go away". Com a finalidade de verificar a eficiência de mercado, utilizamos os testes de raiz unitária Dickey-Fuller Aumentado (ADF) e Phillips-Perron (PP). Para a constatação de presença do efeito segunda-feira, empregamos dois procedimentos, quais sejam: estimação dos coeficientes de regressão com o uso de variáveis dummies e teste de Wald, para averiguar uma possível igualdade estatística dos coeficientes; e teste F da Anova e teste de Kruskal-Wallis, para verificação de igualdade de médias e medianas, respectivamente. No que concerne à apuração do efeito sell in may and go away, foram utilizados apenas os testes F da Anova e teste de Kruskal-Wallis. Os resultados apresentados sugerem a eficiência do mercado na forma fraca, bem como a não identificação do efeito segunda-feira. No entanto, foi constatada a presença do efeito sell in may and go away para os ativos CSNA3 e USIM5, de acordo com a metodologia proposta, ou seja, uma sazonalidade favorável nos meses de novembro a abril para os respectivos ativos, o que, em suma, contraria a Hipótese de Mercados Eficientes (HME). / The efficiency of the markets or not is a matter that remains polemic by several academics and market professionals, in the sense that some studies suggest its effectiveness, and others show themselves against this idea. In this context, the aim of this work is to verify whether the Brazilian stock markets may be considered efficient in the weak form, as well as investigate the possibility of existence of market anomalies known as “Monday Effect” and “Sell in may and go away Effect”. In order to verify the market efficiency, we used Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests. For the observation of Monday effect presence, we employed two procedures, namely: estimation of the regression coefficients using dummy variables and Wald test to investigate a possible statistical equality of the coefficients; and Anova F test and Kruskal-Wallis test to check for equality of means and medians, respectively. Regarding the calculation of Sell in may and go away effect, it was used only Anova F and Kruskal-Wallis tests. The results suggest the market efficiency in the weak form, as well as the no identification of Monday effect. However, it was found the presence of Sell in may and go away effect for the assets CSNA3 and USIM5, according to the methodology proposed, that is, a favorable seasonality in the months from November to April for the respective assets which, in short, contradicts the Efficient Market Hypothesis (EMH).

Purpose: The purpose of this thesis is to investigate if abnormal patterns concerning the rates of return during specific weekdays and months are observable for the companies in the OMXS30 during the period 2003-2010. A special focus will be put on the Monday effect anomaly. Background: Investors have a tendency to search for investment opportunities. If errors exist in the pricing of stocks it indicates that anomalies are present and that the stock market is inefficient. Investors then have the possibility to utilize the anomalies in order to receive above average returns. Method: This study is using data of stock prices from Nasdaq OMX in the period of 2003-2010. The strength and existence of the Swedish stock market efficiency is measured through autocorrelation-, chi-square- and regression tests. Average monthly stock returns are calculated on daily-, monthly-, and yearly basis. The returns are compared in order to examine if day-of-the-week and turn-of-the-year anomalies exist. Conclusion: No Monday effect is found in 2003-2010. However, positive Thursday- and positive Friday effects are detected. A negative turn-of-the-year effect as well as a positive April effect is found. The investment opportunities that could be utilized in 2003-2010 due to the specific anomalies in the period do not necessarily imply that the same anomalies can be expected on the OMXS30 in the future.

<p><strong>Purpose: </strong>The purpose of this thesis is to investigate if abnormal patterns concerning the rates of return during specific weekdays and months are observable for the companies in the OMXS30 during the period 2003-2010. A special focus will be put on the Monday effect anomaly.</p><p><strong>Background: </strong>Investors have a tendency to search for investment opportunities. If errors exist in the pricing of stocks it indicates that anomalies are present and that the stock market is inefficient. Investors then have the possibility to utilize the anomalies in order to receive above average returns.<strong> </strong></p><p><strong>Method: </strong>This study is using data of stock prices from Nasdaq OMX in the period of 2003-2010. The strength and existence of the Swedish stock market efficiency is measured through autocorrelation-, chi-square- and regression tests.<strong> </strong>Average monthly stock returns are calculated on daily-, monthly-, and yearly basis. The returns are compared in order to examine if day-of-the-week and turn-of-the-year anomalies exist.</p><p><strong>Conclusion: </strong>No Monday effect is found in 2003-2010. However, positive Thursday- and positive Friday effects are detected. A negative turn-of-the-year effect as well as a positive April effect is found. The investment opportunities that could be utilized in 2003-2010 due to the specific anomalies in the period do not necessarily imply that the same anomalies can be expected on the OMXS30 in the future.</p>

This Study uses a period between 1939-2017 to analyse calendar anomalies on the Swedish equity market. We test whether calendar anomalies’ return deviates from the return of ordinary trading days. Our result shows that the day of the week effect, weekend effect, turn of the year, turn of the month and holiday effect have had an impact on the daily rate of return, both domestic and abroad. Similar to international markets the calendar anomalies in Sweden start to be less prominent during 1980’s. Also, our result displays that, since the 1970’s, UK holidays have had a negative impact on the daily return in Sweden. In contrast, American holidays have since the 2010’s had a positive impact. Turn of the year and turn of the month in Sweden have been more clustered around the first trading day of the year and month, compared to studies on other equity markets. Negative returns on Tuesdays, rather than Mondays, do also distinguish Sweden’s equity market relative to other markets.