Another Look at Calendar Anomalies

95 Pages·2017·2.64 MB·English

DEPARTMENT OF ECONOMICS
MASTER THESIS:
Another Look at Calendar
Anomalies
Chatzitzisi Evanthia
October 2017

UNIVERSITY OF MACEDONIA
DEPARTMENT OF ECONOMICS
MASTER THESIS:
Another Look at Calendar
Anomalies
Chatzitzisi Evanthia
October 2017
A thesis submitted in partial fulfillment of the requirements
for the degree of MASTER IN ECONOMICS
in the
Interdepartmental Programme of Postgraduate Studies (I.P.P.S.) in
Economics
with specialization
in
Applied Economics and Finance
Supervisor:
Panagiotidis Theodore
Referee 1:
Fountas Stylianos
Referee 2:
Katsikas Elias
Date of graduation: November 10, 2017
Abstract
Calendar anomalies interest researchers in the finance field nearly a century
now. In a 27 years perspective reaching 2017, we employ daily S&P500 data
in a context of both aggregate and sector analysis to examine a possible focus
of abnormalities on specific constituents of the market. Nonlinear models of
GARCH and EGARCH are employed in this spirit. The findings reveal that
day-of-the-week effects are present in all sectors, resulting to the conclusion
that they are part of a wide phenomenon affecting the whole market struc-
ture. Moreover, a rolling regression approach is followed to test for sample
selection bias. The presence of seasonality is indeed a small proportion of
the total sample period. Four factors, namely recession, uncertainty, trading
volumeandbearishsentimentarelastlyexaminedforbondingtothepresence
of daily structures through the intervention of a logit setup. A cross-factor
comparison emerges the interactions between recession and uncertainty with
the presence of significant anomalies as the most powerful ones. However,
trading volume is doubted to experience an actual connection.
Keywords: day-of-the-week effect, GARCH, calendar anomalies, S&P500 In-
dex, sectors, rolling regression, logit
i

To my family

Acknowledgements
I would like to express my gratitude and appreciation to my supervisor,
Professor Panagiotidis Theodore, in the Economics Department at the Uni-
versity of Macedonia for his consistent guidance, motivation and support
during the planning and development of this master thesis. His willingness
to offer useful comments and new insights has been immensely appreciated.
I am totally indebted to his general assistance. My grateful thanks are also
extended to all the academic faculty and colleagues for the eagerness to share
their knowledge and provide valuable tools.
IwouldalsoliketothanktheheadquartersoftheS&PDowJonesIndices1.
Theircontributionofprovidingthedatasetatthedesireddatesmadefeasible
the completion of this study.
Last but definitely not least, my deepest gratitude goes to my dear family,
my parents, Thoma and Vaia, and my two siblings, Georgia and Nick. I am
very thankful for their support and encouragement throughout my years of
study, through the process of researching and writing this thesis and my life
in general. The accomplishment of this work would be impossible without
them.
1www.spdji.com / www.djindexes.com / www.spglobal.com
v