Calendar anomalies in passion investments: Price patterns and profit opportunities

doi:10.1016/j.ribaf.2022.101678

CASISD OpenIR > 系统分析与管理研究所

	Calendar anomalies in passion investments: Price patterns and profit opportunities
	Plastun, Alex ; Bouri, Elie 1; Havrylina, Ahniia 2; Ji, Qiang2,3
发表期刊	RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
关键词	Diamonds Fine wine Stamps Fine art Calendar anomalies Trading strategies
摘要	This study provides the first empirical evidence on calendar anomalies in various passion investment markets for diamonds, fine wines, stamps, and fine arts. With several statistical techniques [e.g., average analysis, Student's t-test, analysis of variance (ANOVA), Kruskal-Wallis, and Mann-Whitney tests] and a trading simulation model, the results show that the passion investment markets depend on the calendar anomalies, which challenges the efficient market hypothesis. However, calendar anomalies are not homogeneous across various passion markets. In general, Day-of-the-Week and Month-of-the-Year Effects are the most commonly detected calendar anomalies, and some prices generally follow the Halloween Effect. The markets for wine, diamonds, and art follow a seasonality. However, the Turn-of-the-Year and Turn-of-the-Month Effects are primarily absent in the passion markets. A simulation analysis of profitable trading strategies provided practical implications for exploiting opportunities arising from the calendar anomalies in the passion investment markets.
	2022
卷号	61
ISSN	0275-5319
文章类型	Article
DOI	10.1016/j.ribaf.2022.101678
关键词[WOS]	FINE WINE ; SEASONAL ANOMALIES ; STOCK MARKETS ; RETURNS ; REAL
语种	英语
WOS研究方向	Business & Economics
WOS类目	Business, Finance
WOS记录号	WOS:000807309500002
引用统计
文献类型	期刊论文
条目标识符	http://ir.casisd.cn/handle/190111/12030
专题	系统分析与管理研究所
作者单位	1.Sumy State Univ, Sumy, Ukraine 2.Lebanese Amer Univ, Sch Business, Beirut, Lebanon 3.Chinese Acad Sci, Inst Sci & Dev, Beijing 100190, Peoples R China 4.Univ Chinese Acad Sci, Sch Publ Policy & Management, Beijing 100049, Peoples R China
推荐引用方式 GB/T 7714	Plastun, Alex,Bouri, Elie,Havrylina, Ahniia,et al. Calendar anomalies in passion investments: Price patterns and profit opportunities[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,2022,61.
APA	Plastun, Alex,Bouri, Elie,Havrylina, Ahniia,&Ji, Qiang.(2022).Calendar anomalies in passion investments: Price patterns and profit opportunities.RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE,61.
MLA	Plastun, Alex,et al."Calendar anomalies in passion investments: Price patterns and profit opportunities".RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 61(2022).