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Introduction
Market efficiency has recently gained momentum in the discussion of investors, regulators and other intermediaries regarding the price discovery and exploiting the opportunity of making abnormal returns on stocks. Eugene Fama in 1960 gave the theory of Efficient Market Hypothesis (EMH) and contended that in a full efficient market, there is no possibility of making abnormal returns. He further linked the information available to the market the stock performance and argued that as soon as new information came to the market, it was immediately reflected in the price of stocks and other securities. Alternatively, the stock prices are immediately adjusted to the new information and thus, no investors had an opportunity to exploit such information to make abnormal returns. Therefore, according to EMH, if an investor makes any abnormal gain, it is only the matter of chance. Otherwise, no one can beat the market in long run. However, the markets across the world are not fully efficient. Some are either weak form of efficient or semi-strong form of efficient. Some markets are not even marginally efficient.
There are several anomalies that make the market inefficient. According to Cattlin (2018), “Anomaly is defined as the price action that contradicts the expected behaviour of stock market.” Thus, the market anomaly may be in the form of weak regulatory mechanism, lack of transparency, inside trading, delay in settlement of securities or unjustifiable transaction costs and security taxes. The unusual behaviour and perception of investors regarding stock performance also affect the market irrationally and when market exhibits unusual performance on any particular day or month, it is called Calendar effect. Here, in this paper, the Calendar effect anomaly – “Day-of-weak-effect” and “Month-of-the-year effect” are analyzed in the US stock market and test whether the US market is efficient.
Literature Review
Market anomalies have been studied for a long time in different markets and the majority of the results of empirical studies show that anomalies are significantly present in all the markets. In recent times, the market anomalies have decreased significantly in emerging markets but still they persist to large extent. In this paper, the study of market anomaly is limited to the Calendar effect and therefore, the major empirical findings are discussed here on Calendar effect only.
Lakonishok and Levi (1982) studied the US market over last 10 years and analyzed the distribution of daily returns on S&P 500 Index. He found that daily return distribution varied with day of the week. There were positive high returns on Friday but substantially low returns on Tuesday. Similar Day-of-the-week effect was also found in the Canadian Stock market (Jaffe and Westerfield., 1985). Apart from the Day-of-the-week effect, the January effect was also found in US market where the average returns on stocks were abnormally high in January month (Hirschey & Haug., 2006; Easterday., 2015). Kiymaz and Berument (2001) studied the five major stock markets of developed economies 0 UK, Germany, France, Netherland and Austria and found the abnormal high positive return on Friday and average negative return on Tuesday. Crutz (2018) examined the Swedish market from 2000-2017 and found that the Day-of-the-week effect is significantly present in the Swedish market and hence, the average return on Thursday was significantly low in contrast of high positive return on Tuesday. Barone (1990) studied the Italy stock market over last 12 years and found the significance presence of Day-of-the-week effect. The average return on Friday was remarkably lower than the return on any other day. Choudhary & Choudhary (2008) studied 20 major financial markets across the world and found that 18 out of 20 markets showed significantly higher mean return on the day other than Monday and 15 markets exhibited higher return volatility on Monday.
Choudhary & Taufiq (2000) studied the Taiwan Stock market from 1985 to 1998 and found that negative average return on Tuesday and Wednesday. Sunil (2006) examined the daily return distribution on NSE and BSE Index of Indian stock market and found the abnormal positive return on Friday. The “Wednesday effect” and “‘December effect” are also found in the Indian stock market in the study of Jawa & Kumar (2017) while Patel (2008) had discovered the “November-December” effect and “March-to-May”effect in the same market. Kinatedar et al (2019) investigated the stock markets of BRICS nations – Brazil, Russia, India, China and South Africa for the period 1996-2018 and found that ‘Tuesday’ is the most striking day for ‘Day-of-the-week’...