| Abstract [eng] |
CALENDAR ANOMALIES IN FINANCIAL MARKETS Indrė DAILYDYTĖ Master thesis Finance and Banking Study Program Vilnius University, Faculty of Economics and Business Administration Supervisor – lekt. N. Činčikas Vilnius, 2022 79 pages, 23 charts, 4 pictures, 80 references. The main purpose of this master thesis is to analyze the literature and research in order to identify the most common calendar anomalies and determine their prevalence in the financial markets. The work consists of three main parts - a review of the scientific literature on the topic of calendar anomalies, description of the methodology used in the research and the research itself. The literature review distinguishes the differences between classical and behavioral finance sciences, their ability to explain the formation of calendar anomalies in the markets. A calendar anomaly according to Ahmeda B., Boutheinab R. (2017) is the generation of additional returns at a specific point in time. In the literature review, anomalies were divided into days, weeks, and months according to the duration. The review found that the most common anomalies are the weekend, Halloween, turn-of-the-year and turn-of-the-month. After analysis of the literature, the author has extensively discussed the methods used in the study. The study was performed using regression analysis and its reliability check. The study analyzed the stock and real estate indices of Europe and 10 individual countries in 2000-2020 in order to determine the existence / disappearance and intensity of day of the week, turn-of-the-month and Halloween anomalies in the analyzed markets. The study found day of the week and Halloween anomalies in the Irish, Italian and Austrian stock markets, and confirmed day of the week and Halloween anomalies in the European, Italian and Danish real estate markets. Turn-of-the-month anomaly was not confirmed in any of the markets analyzed. The study found that the Halloween anomaly was more statistically significant, also real estate markets experiencing stronger anomalies than stock markets. In the conclusions and recommendations, the author singled out and summarized the main aspects identified during the literature analysis and research. According to the author, such results of calendar anomaly research can be properly used by both market speculators and investors themselves. |
