Some Evidence on the Existence of Two New Market Anomalies: ‘Christmas Effect’ and ‘April Effect’

This paper is concerned with the question of whether there is a pattern in share price movement over time. Our methodology adopts two anomaly measures taking into account the ‘Frequency’ and the ‘Magnitude’ of share price changes from one month to the next. The results of analysing data gathered from the FTSE100 monthly prices over a period of 21 years from 1985 to 2005 show some support to the existence of such patterns. Two new patterns called ‘April Effect’ and ‘Christmas Effect’ were discovered over months April, October, November and December during which a significant price increase has been observed. However, there was no significant support for the ‘January Effect’ which is consistent with some recent research in that this effect has largely disappeared.

کلیدواژه ها:

Technical Analysis ، Time-Series ، Stock Market ، Market Anomalies