Monthly Calendar Anomalies

Abstract

Seasonality in financial market returns is not only limited to the day of the week effect; calendar anomalies recur periodically on particular days of the month for both price dynamics and trade volumes (Pettengill and Jordan, 1988). The most important anomalies on a monthly time horizon relate to the existence of special closing days (holidays) or significant days (e.g., the turn of the month) on which the amount of liquidity available is different (Ziemba, 1994). Other studies have pointed out the role of investor irrationality in determining financial market performance, by identifying days of the month expected to be characterized by abnormal price behavior (e.g., Lucey 2000).