Relevant bibliographies by topics / Cyclical stock market anomalies

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Academic literature on the topic 'Cyclical stock market anomalies'

Author: Grafiati
Published: 3 June 2025
Last updated: 31 July 2025

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Journal articles on the topic "Cyclical stock market anomalies"

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Macijauskas, Lukas. "Seasonality Analysis of Lithuanian Stock Market." Business: Theory and Practice 11, no. (3) (2010): 279–85. https://doi.org/10.3846/btp.2010.30.

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The main purpose of this article is to test if there are any seasonal tendencies in Lithuanian stock market and if so, do they match seasonal anomalies found in other countries. To achieve this ambition, tests were done by dividing returns of OMXV index into three groups: month of the year, week of the month and day of the week. Analysis was made using 10 years of historical data which covers main stages of Lithuanian stock market cycle. Results show that seasonal anomalies do exist in Lithuanian stock market and that their characteristics are similar to those found by researches in other stoc
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Merło, Paweł, and Patryk Konarzewski. "The Momentum Effect Exemplifies The Influence of Investors’ Irrational Behaviour on Changing Prices of Shares and Stocks: An Analysis of The Momentum Effect on The Warsaw Stock Exchange." e-Finanse 11, no. 1 (2015): 56–64. http://dx.doi.org/10.1515/fiqf-2016-0106.

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Abstract An efficient market should not show any anomalies. When new information reaches a market which is efficient, it should automatically translate into prices of assets, which ought to eliminate the possibility of gaining an advantage over other investors, thus preventing excess profits. However, studies on capital markets indicate that in reality it is possible to earn unusually high profits by taking advantage of certain anomalies which occur on a given market. Among such anomalies there is the momentum effect. This study performed on the Stock Exchange in Warsaw has shown that the mome
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Reinganum, Marc, and Elroy Dimson. "Stock Market Anomalies." Journal of Finance 44, no. 4 (1989): 1105. http://dx.doi.org/10.2307/2328629.

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Levis, Mario. "Stock market anomalies." Journal of Banking & Finance 13, no. 4-5 (1989): 675–96. http://dx.doi.org/10.1016/0378-4266(89)90037-x.

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Sæbø, Jørgen K. "Norwegian Stock Market Anomalies." Beta 22, no. 01 (2008): 1–21. http://dx.doi.org/10.18261/issn1504-3134-2008-01-01.

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Han, Minyeon, Dong-Hyun Lee, and Hyoung-Goo Kang. "Market anomalies in the Korean stock market." Journal of Derivatives and Quantitative Studies: 선물연구 28, no. 2 (2020): 3–50. http://dx.doi.org/10.1108/jdqs-03-2020-0004.

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This paper aims to replicate 148 anomalies and to examine whether the performance of the Korean market anomalies is statistically and economically significant. First, the authors observe that only 37.8% anomalies in the universe of the KOSPI and the KOSDAQ and value-weighted portfolios have t-statistics that exceed 1.96. When the authors impose a higher threshold (an absolute value of t-statistics of 2.78), only 27.7% of the 148 anomalies survive. Second, microcaps have large impacts. The results vary significantly depending on whether the sample included stocks in the KOSDAQ and whether value
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Chi, Wei, Robert Brooks, Emawtee Bissoondoyal-Bheenick, and Xueli Tang. "Classifying Chinese bull and bear markets: indices and individual stocks." Studies in Economics and Finance 33, no. 4 (2016): 509–31. http://dx.doi.org/10.1108/sef-01-2015-0036.

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Purpose This paper aims to investigate Chinese bull and bear markets. The Chinese stock market has experienced a long period of bear cycle from early 2000 until 2006, and then it fluctuated greatly until 2010. However, the cyclical behaviour of stock markets during this period is less well established. This paper aims to answer the question why the Chinese stock market experienced a long duration of bear market and what factors would have impacted this cyclical behaviour. Design/methodology/approach By comparing the intervals of bull and bear markets between stocks and indices based on a Marko
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Chand Tandon. "Anomalies in Indian Stock Market." Journal of Information Systems Engineering and Management 10, no. 38s (2025): 1002–8. https://doi.org/10.52783/jisem.v10i38s.7039.

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The effect of market anomalies on different Stock Indices. Whether the Stock Indices are affected by the different effects like January Effect, March Effect and Day of the Weak Effect many more. Or there is an Arch-Garch Effect in the Stock Indices. With the data of different stock indices for last 10 years. We will find the Log Returns for all the Stock Indices. The next step would be to find the different effects in the Stock Indices. Then we will use Volatility models to find that whether the data has Arch-Garch and E-Garch Effect or not.
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,, Kamaludini. "Anomalies In Asian Stock Market." Media Riset Akuntansi, Auditing dan Informasi 8, no. 2 (2008): 151. http://dx.doi.org/10.25105/mraai.v8i2.978.

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<p class="Style14">Anomaly phenomena in many stock markets show various results achieved by each researcher. The various results very much depend on time and method used. Most of Asian Stock Market is emerging market. The objective in this research are to know market anomalies, especially those of weekend effect, turn of the month effect, and turn of the yeareffect, in Asian stock markets region. The analysis methods to test for market anomalies are GARCH and AAIOVA. The result in this research is: anomalies that happen on weekend effect and turn of the month effect. Anomalies on the tur
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Leong, Clint Tan Chee, Michael J. Seiler, and Mark Lane. "Explaining Apparent Stock Market Anomalies." Journal of Wealth Management 4, no. 4 (2002): 8–23. http://dx.doi.org/10.3905/jwm.2002.320422.

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Dissertations / Theses on the topic "Cyclical stock market anomalies"

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Yu, Lin. "Essays in stock market anomalies." Thesis, University of Nottingham, 2016. http://eprints.nottingham.ac.uk/36221/.

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This thesis compromises one literature review chapter and three essays which focus on the theme of valuation, value premium anomaly, R&D premium anomaly, momentum anomaly and emerging markets. The first essay is entitled “Does Low Book-to-market Predict Low Returns? The Other Side of Growth: Research and Development Investment”. In this essay, I develop a theoretical framework of the risk and return of R&D, and examine the relation between R&D and BM. This paper documents that the intersections of R&D and BM produce enhanced trading strategies, and that the four-factor model, with a R&D factor
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Wong, Chi-ching, and 黃智淸. "Market anomalies of the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1990. http://hub.hku.hk/bib/B31209488.

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Lam, Eric Campbell Full Yet. "Two essays on stock market anomalies /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?FINA%202009%20LAM.

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Posadas, Hernandez Victor Silverio. "Stock market anomalies the Latin American evidence /." Wiesbaden : Deutscher Universitäts-Verlag, 2006. http://site.ebrary.com/id/10231828.

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Thammaraks, Angsu-apa. "Stock market anomalies and return predictability on the stock exchange of Thailand." Thesis, University of Exeter, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312080.

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Huttunen, Sasu, and Govert Looije. "Cyclical consumption and the aggregate stock market: Evidence from the Nordic countries." Thesis, Jönköping University, IHH, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-52733.

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Researchers have dedicated considerable work to explaining components to excess stock market returns. Recently, Atanasov et al. (2020) managed to explain some of this variance in the US stock markets with a cyclical consumption variable. We have applied their model into the Nordic countries and compared it to a second model containing additional control variables. From the analysis, we find that cyclical consumption is able to explain excess stock market returns across five different h-quarter ahead excess returns. However, results are not consistent across countries. The extended model improv
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Zhang, Hong. "An empirical study on anomalies in China's stock market." Thesis, University of Greenwich, 2007. http://gala.gre.ac.uk/8257/.

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This thesis conducts empirical studies on China's stock market using contemporary financial theories in order to explain the anomalies in China's stock market and then put forward some policy implications on the basis of the empirical research findings. The thesis consists of seven chapters. In addition to providing a brief introduction to the relationship between stock market development and economic growth. Chapter 1 describes several anomalies occurring in the international stock markets and sets up a research framework for the thesis to further study. Chapter 2 is a literature review. It r
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Kim, Soh Yung. "An investigation of certain accounting-related stock market anomalies." Thesis, University of British Columbia, 2012. http://hdl.handle.net/2429/42061.

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In financial markets, anomalies refer to empirical regularities in which security returns deviate from what would be expected in an informationally efficient market. This dissertation investigates explanations for stock market anomalies related to accounting information as documented by Dichev (1998) and Piotroski (2000). Using Ohlson’s (1980) measure of bankruptcy risk (O-Score), Dichev (1998) documents a bankruptcy risk anomaly in which firms with high bankruptcy risk earn lower than average returns. My study first demonstrates that the negative association between bankruptcy risk and return
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Steinfeldt, Larissa C. "Do Market Anomalies Add Up?" Digital Commons @ East Tennessee State University, 2014. https://dc.etsu.edu/honors/192.

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This is a study about abnormal characteristics in the stock market and how to successfully use them in personal portfolios. Market anomalies are unexpected excess returns that occur in relation to certain variables. Five commonly known market anomalies (market cap, price-earnings ratio, price-book value, momentum, volatility) are tested to give evidence for their presence. Existing variables are then combined in different portfolios in order to observe whether they generate greater excess returns combined rather than individually. This study will also reveal whether long-term holding is possib
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Law, Kin-hung, and 羅建雄. "Firm size related anomalies and stock return seasonality in the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1988. http://hub.hku.hk/bib/B31264128.

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Books on the topic "Cyclical stock market anomalies"

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1947-, Dimson Elroy, ed. Stock market anomalies. Cambridge University Press, 1988.

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Banz, Rolf. "Equity pricing and stock market anomalies". INSEAD, 1986.

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Michaud, Richard O. Investment styles, market anomalies, and global stock selection. Research Foundation of the Institute of Chartered Financial Analysts, 1999.

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O'Donoghue, Florence Thomas. Anomalies or illusions?: Evidence from the UK stock market. University College Dublin, 1996.

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Hawawini, Gabriel A. "Stock market anomalies and the pricing of equity on the Tokyo stock exchange". INSEAD, 1986.

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Bundoo, Sunil K. An analysis of stock market anomalies and momentum strategies on the stock exchange of Mauritius. African Economic Research Consortium, 2011.

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King, David L. Stock market anomalies: The size effect, the January effect in an Irish context. University College Dublin, 1993.

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Coutts, J. Andrew. Security price anomalies in an emerging market: The case of the Athens stock exchange. Sheffield University, School of Management, 1997.

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Stock Market Anomalies. DUV, 2006. http://dx.doi.org/10.1007/978-3-8350-9103-0.

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Fan, Steve, and Linda Yu. Stock Market Anomalies. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190269999.003.0025.

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Stock market anomalies representing the predictability of cross-sectional stock returns are one of most controversial topics in financial economic research. This chapter reviews several well-documented and pervasive anomalies in the literature, including investment-related anomalies, value anomalies, momentum and long-term reversal, size, and accruals. Although anomalies are widely accepted, much disagreement exists on the underlying reasons for their predictability. This chapter surveys two competing theories that attempt to explain the presence of stock market anomalies: rational and behavio
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Book chapters on the topic "Cyclical stock market anomalies"

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Schulmerich, Marcus, Yves-Michel Leporcher, and Ching-Hwa Eu. "Stock Market Anomalies." In Applied Asset and Risk Management. Springer Berlin Heidelberg, 2014. http://dx.doi.org/10.1007/978-3-642-55444-5_3.

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Cohen, Daniel, Thomas Lys, and Tzachi Zach. "Net Stock Anomalies." In The Handbook of Equity Market Anomalies. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119200697.ch6.

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Adak, Sudeshna, and Abhinanda Sarkar. "A Time-frequency search for stock market anomalies." In Time-Frequency Representations. Birkhäuser Boston, 1998. http://dx.doi.org/10.1007/978-1-4612-4152-2_18.

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Nofer, Michael. "Market Anomalies on Two-Sided Auction Platforms." In The Value of Social Media for Predicting Stock Returns. Springer Fachmedien Wiesbaden, 2015. http://dx.doi.org/10.1007/978-3-658-09508-6_2.

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Konopleva, J. A., O. N. Pakova, and S. V. Zenchenko. "Cyclical Nature of Financial Crises and Their Impact on the Stock Market." In Smart Technologies and Innovations in Design for Control of Technological Processes and Objects: Economy and Production. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-15577-3_11.

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Becchetti, Leonardo, and Laura Cavallo. "Do Stock Market Anomalies Disappear? The Example of Small Size and Market-to-Book Premia at the London Stock Exchange." In Financial Modelling. Physica-Verlag HD, 2000. http://dx.doi.org/10.1007/978-3-642-57652-2_2.

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Sardar, Bibek Kumar, S. Pavithra, H. A. Sanjay, and Prasanta Gogoi. "Determining Stock Market Anomalies by Using Optimized z-Score Technique on Clusters Obtained from K-Means." In Advances in Intelligent Systems and Computing. Springer Singapore, 2021. http://dx.doi.org/10.1007/978-981-16-3342-3_32.

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Helbig, Christoph, and Martin Hillenbrand. "Principles of a Circular Economy for Batteries." In The Materials Research Society Series. Springer International Publishing, 2024. http://dx.doi.org/10.1007/978-3-031-48359-2_2.

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AbstractThe global market for batteries is rapidly growing, leading to significant material requirements to build up an in-use stock of batteries for mobility and stationary applications. One strategy to secure the material supply for batteries and simultaneously reduce the life cycle environmental impacts of batteries is the implementation of a circular economy for batteries, chiefly lithium-ion battery materials. In a circular economy, material cycles are narrowed, slowed, and closed to form cyclical or cascading material flows instead of linear take-make-waste schemes. The most common measu
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Yu, Hong-hai. "The Reform of IPO Bookbuilding Mechanism and IPO Anomalies in China Stock Market: Evidence from the Bidding of Institutional Investors." In The 19th International Conference on Industrial Engineering and Engineering Management. Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-38442-4_32.

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"Seasonal Anomalies." In Analysis of the Korean Stock Market. WORLD SCIENTIFIC, 2018. http://dx.doi.org/10.1142/9789813236769_0003.

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Conference papers on the topic "Cyclical stock market anomalies"

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Ma, Li, Yuki Kojima, Keisuke Nomoto, Masya Hasegawa, and Shigeki Hirobayashi. "Analysis of Cyclical Fluctuations in the Chinese Stock Market Using Non-Harmonic Analysis: Market Responses to Major Economic Events." In 2024 10th International Conference on Systems and Informatics (ICSAI). IEEE, 2024. https://doi.org/10.1109/icsai65059.2024.10893771.

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Özdemir, Dilek, Özge Buzdağlı, Murat Akdağ, and Ömer Selçuk Emsen. "Dependence on Oil Prices of Russian Stock Market." In International Conference on Eurasian Economies. Eurasian Economists Association, 2016. http://dx.doi.org/10.36880/c07.01768.

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In the period after transition, economically full-liberal policy implementations applied by Russia Federation has been taken attention as cyclical movement. No variations of goods are said to be effective about the main reasons about cyclical movement in liberalization. As a kind of indicator of the Russian economy, stock market’s sensitivity to oil prices analyzed.
 In this context, especially change of oil prices, exchange rate and money supply effects on Russia are analyzed for the period of 1996M1-2015M12. Stationarity of the series is investigated by Lee and Strazicich (2003) unit ro
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Yang, Y., and S. L. Feng. "Study on formation of anomalies in market response to punishment bulletins in China's stock market." In 2013 International Conference of Information Science and Management Engineering. WIT Press, 2013. http://dx.doi.org/10.2495/isme133333.

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Slamet, Isnandar, Afifah Ali, and Niswatul Qonaah. "Analysis of calendar anomalies in Indonesian stock market using stochastic dominance approach." In 2ND INTERNATIONAL CONFERENCE FOR ENGINEERING SCIENCES AND INFORMATION TECHNOLOGY (ESIT 2022): ESIT2022 Conference Proceedings. AIP Publishing, 2024. http://dx.doi.org/10.1063/5.0179646.

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Takara, Lucas de Azevedo, Viviana Cocco Mariani, and Leandro dos Santos Coelho. "Autoencoder Neural Network Approaches for Anomaly Detection in IBOVESPA Stock Market Index." In Congresso Brasileiro de Inteligência Computacional. SBIC, 2021. http://dx.doi.org/10.21528/cbic2021-37.

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Anomalies are patterns in data that do not conform to a well-defined notion of normal behavior. Anomaly detection has been applied to many problems such as bank fraud, fault detection, noise reduction, among many others. Some approaches to detect anomalies include classical statistical econometric methods such as AutoRegressive Moving Average (ARMA) and AutoRegressive Integrated Moving Average (ARIMA) approaches. More recently, with the progress of artificial intelligence and more specifically, machine learning, new algorithms such as one-class support vector machines, isolation forest, gradie
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Zhang, Rui, Qiong Liu, Qihan Zhang, and Jia Chen. "Research on the Impact of Investor Sentiment on Beta Anomalies in China's A Stock Market." In Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China. EAI, 2024. http://dx.doi.org/10.4108/eai.17-11-2023.2342674.

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Dung, Nguyen Trung, Thai Minh Hanh, Dang Van Thang, and Pham Thu Trang. "DETECTION OF STOCK PRICE ANOMALIES IN VIETNAM MARKET USING THE LSTM AUTO-ENCODER AND ENSEMBLE STACKING METHODS." In The 12th International Conference on Emerging Challenges: SUSTAINABLE STRATEGIES IN THE DATA-DRIVEN ECONOMY. Publishing house for Science and Technology, 2024. https://doi.org/10.15625/vap.2025.0046.

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Singatullina, Guzel. "THE USE OF CALENDAR ANOMALIES OF THE RUSSIAN STOCK MARKET TO INCREASE THE PROFITABILITY OF THE INVESTMENT PORTFOLIO." In 6th SGEM International Multidisciplinary Scientific Conferences on SOCIAL SCIENCES and ARTS Proceedings. STEF92 Technology, 2019. http://dx.doi.org/10.5593/sgemsocial2019v/1.1/s03.046.

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Reports on the topic "Cyclical stock market anomalies"

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Barberis, Nicholas, Lawrence Jin, and Baolian Wang. Prospect Theory and Stock Market Anomalies. National Bureau of Economic Research, 2020. http://dx.doi.org/10.3386/w27155.

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Carrasco, Marine, and N'golo Koné. Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. CIRANO, 2023. http://dx.doi.org/10.54932/bjce8546.

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This paper addresses a portfolio selection problem with trading costs on stock market. More precisely, we develop a simple GMM-based test procedure to test the significance of rading costs effect in the economy with a áexible form of transaction costs. We also propose a two-step procedure to test overidentifying restrictions in our GMM estimation. In an empirical analysis, we apply our test procedures to the class of anomalies used in Novy-Marx and Velikov (2016). We show that transaction costs have a significant effect on investors behavior for many anomalies. In that case, investors signific
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