| Abstract [eng] |
The main purpose of this master thesis is to provide an overview of the literature on behavioral finance theory and market anomalies with the research focusing on the most common market anomalies – calendar anomalies – to identify their existence in the financial markets. The work consists of three main parts – a review of literature on the topics of behavioral finance biases and market anomalies, description of the methodology used in the research of the existence of calendar anomalies in financial markets and the research itself. The literature explains that the decision-making of individuals is influenced by various cognitive and emotional biases. These biases impact the irrational decision-making of investors, which shape the trends and deviations of the stock market – market anomalies. Market anomalies are divided into three main groups – calendar, technical and fundamental – with calendar anomalies being the most popular market anomalies. The literature review found that the most common calendar anomalies are the weekend, January and Halloween anomalies. The study was performed using regression analysis with robustness check. The study investigated the existence of weekend, January and Halloween anomalies in US, European and emerging markets during 2010 – 2025. The study found that both weekend and January anomalies were not confirmed in any of the markets analyzed. While the study found that the Halloween anomaly was statistically significant in the US and European markets, the robustness check noted the that the regression models were unreliable, which leads to the conclusion that the existence of Halloween anomaly cannot be strongly confirmed in the US and European markets. In summary, the findings of this study generally align with the patterns observed in the reviewed literature. |
