71,387 research outputs found
Seasonal Trends in Lithuanian Stock Market
Purpose of the article is to disentangle different calendar effects which leave efficiency holes in
Lithuanian market. This paper presents and tests if commonly described seasonal patterns exist in
Lithuanian stock market. Analysis of three different sections: period-of-the-year; week-of-the-month
and day-of-the-week, suggests that calendar effects do exist in this market. The multitude of
explanations for the seasonal effect leaves the reader confused about its primary cause(s): is it tax-loss
selling, window dressing, information, bid-ask bounce, or a combination of these causes? The
confusion arises, in part, because evidence has generally been presented in support of a particular
hypothesis though the same evidence may be consistent with another hypothesis.
Methodology/methods are logical and systemic analysis of research literature based on the
comparative and generalization methods as well as statistical methods.
Scientific aim of the article is the lack of arguments questioning if market prices operating system is
fully effective. Novelty of the paper is to the answer to the question what seasonal anomalies are also
present in the stock market of new open economy countries.
Findings show that using this modified strategy investor could achieve 20.7% compounded annual
growth rate versus 7.8% achieved using simply holding stocks throughout. The hypothesis asserts that
returns generally will be greater following the âJanuary effectâ. There is limited amount of data for
constructing robust seasonal strategies so we modified Buy and Hold strategy with simple rules of
using best and worst months to show how they influence OMXV index performance.
In the conclusions, empirical results using stock index returns for 2000 - 2010 support the hypothesis
in Lithuaian stock market. Abnormal activity of OMXV indexâs performance is found in the end of
summer and throughout autumn. August is best performer of the year while October is performing
worst
Does mood affect trading behavior?
We test whether investor mood affects trading with data on all stock market transactions in Finland, utilizing variation in daylight and local weather. We find some evidence that environmental mood variables (local weather, length of day, daylight saving and lunar phase) affect investorsâ direction of trade and volume. The effect magnitudes are roughly comparable to those of classical seasonals, such as the Monday effect. The statistical significance of the mood variables is weak in many cases, however. Only very little of the day-to-day variation in trading is collectively explained by all mood variables and calendar effects, but lower frequency variation seems connected to holiday seasons
Metalanguage in L1 English-speaking 12-year-olds: which aspects of writing do they talk about?
Traditional psycholinguistic approaches to metalinguistic awareness in L1 learners elicit responses containing metalanguage that demonstrates metalinguistic awareness
of pre-determined aspects of language knowledge. This paper, which takes a more ethnographic approach, demonstrates how pupils are able to engage their own focus of metalanguage when reflecting on their everyday learning activities involving written language. What is equally significant is what their metalanguage choices reveal about
their understanding and application of written language concepts
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The weekly structure of US stock prices
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and investigate their characteristics depending on the specific day of the week. The results indicate that the four series are highly persistent; a small degree of mean reversion (i.e., orders of integration strictly smaller than 1) is found in some cases for
S&P and the Dow Jones indices. The most interesting findings are the differences in the degree of dependence for different days of the week. Specifically, lower orders of
integration are systematically observed for Mondays and Fridays, consistently with the âday of the weekâ effect frequently found in financial data.The second-named author gratefully acknowledges financial support from the the
Ministerio de Ciencia y TecnologĂa (ECO2008-03035 ECON Y FINANZAS, Spain) and from a PIUNA Project from the University of Navarra
Typological Classification of the Cyrillic Manuscripts and Early Printed Books with the Gospel Texts
The paper presents the rules for typological classification of Slavonic manuscripts and early printed books with the Gospel text. It enumerates different types of the books with the Gospel and sometimes also with other parts of the Holy Scripture. Information about the Greek tradition of the Gospel is also included in the article and serves as the basis of comparison
Do professional investors behave differently than amateurs after the weekend?
This paper compares the trading patterns of amateurs to that of professional investors during the days following the weekend. The comparison is based on all the daily transactions of a sample of both amateurs and professionally managed investors in a major brokerage house in Israel between 1994-1998. We find that weekends influence both amateurs and professional investors, however they affect professionals and amateurs in opposite directions. The results are consistent with previous hypotheses about the effects of the weekend on individuals and institutions in the US and with the way these differences may explain the weekend effect in returns in the US and in other markets. The results are also consistent with the absence of a weekend effect in returns in Israel during the period examined, since the conflicting effects of the weekend on individuals and professionally managed investors may have canceled each other. --
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