A market anomaly (or market inefficiency) is a price distortion typically on a financial market that seems to contradict the efficient-market hypothesis. Such anomalies could be calendar, technical or fundamental related and have been shown empirically in a number of settings for financial markets. This paper extends this stream of research to two-sided auction platforms in Electronic Commerce and empirically analyzes whether calendar anomalies are persistent on such markets. Our empirical study analyzes 78,068 transactions completed between buyers and sellers on a German auction platform and covers the period between April 2005 and May 2009. We observe a persistent turn-of-the-month effect and a day-of-the-week effect that would allow buyers to realize small additional surpluses (0.3% price discount). Prices are also persistently lower in the highly competitive Christmas trade period while sellers benefit from higher prices at the beginning of every year. Overall our results support the common notion that two-sided auction platforms are rather efficient markets on which we however can observe some marginal market inefficiencies
