Calendar Anomalies and Stock Returns: A Literature Survey

Stock market anomalies can be broadly categorized as calendar, fundamental and technical anomalies. Calendar anomalies however are among the most discussed issues in the financial literature. This is because these anomalies are the primary contributors towards the abnormalities in the stock returns. The focus of this literature survey is to review these various calendar anomalies that were observed over time in different stock markets around the globe. Calendar anomalies are basically defined as an irregular pattern of stock returns which are based on a calendar year. The anomalies analyzed in this literature survey include: the day of the week effect, turn of the month effect, January effect and the holiday effect. Different stock markets have been studied and analyzed to find evidence for the existence of these anomalies in those markets. A part of literature also discussed various strategies that can be adopted to exploit the anomalies that persist in the stock market. However, overtime some of these anomalies will completely vanish from the stock markets as markets become more and more efficient and trading requirements and procedures become more standardized. JEL classification: G11; G12; G19