Multidimensional analysis of monthly stock market returns

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2014-01-01

Author

Gülseven, Osman

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This study examines the monthly returns in Turkish and American stock market indices to investigate whether these markets experience abnormal returns during some months of the calendar year. The data used in this research includes 212 observations between January 1996 and August 2014. I apply statistical summary analysis, decomposition technique, dummy variable estimation, and binary logistic regression to check for the monthly market anomalies. The multidimensional methods used in this article suggest weak evidence against the efficient market hypothesis on monthly returns. While some months tend to show abnormal returns, there is no absolute unanimity in the applied approaches. Nevertheless, there is a strikingly negative May effect on the Turkish stocks following a positive return in April. Stocks tend to be bullish in December in both markets, yet we do not observe anya significant January effect is not observed.

Subject Keywords

Stock markets, Calendar effect, Decomposition, Dummy variable, Logistic regression

URI

https://hdl.handle.net/11511/37745

Journal

Analele Stiintifice ale Universitatii Al I Cuza din Iasi - Sectiunea Stiinte Economice

DOI

https://doi.org/10.2478/aicue-2014-0013

Collections

Department of Economics, Article

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Citation Formats

O. Gülseven, “Multidimensional analysis of monthly stock market returns,” Analele Stiintifice ale Universitatii Al I Cuza din Iasi - Sectiunea Stiinte Economice, pp. 181–196, 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/37745.