| Calendar anomalies in passion investments: Price patterns and profit opportunities | |
Plastun, Alex; Bouri, Elie1; Havrylina, Ahniia2; Ji, Qiang2,3
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| Source Publication | RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
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| Keyword | Diamonds Fine wine Stamps Fine art Calendar anomalies Trading strategies |
| Abstract | 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 | |
| Volume | 61 |
| ISSN | 0275-5319 |
| Subtype | Article |
| DOI | 10.1016/j.ribaf.2022.101678 |
| WOS Keyword | FINE WINE ; SEASONAL ANOMALIES ; STOCK MARKETS ; RETURNS ; REAL |
| Language | 英语 |
| WOS Research Area | Business & Economics |
| WOS Subject | Business, Finance |
| WOS ID | WOS:000807309500002 |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.casisd.cn/handle/190111/12030 |
| Collection | 系统分析与管理研究所 |
| Affiliation | 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 |
| Recommended Citation 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). |
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