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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Calendar Anomalies in the Swiss Stock Market |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 54 |
| Date | 2019 |
| Abstract Text | Financial capital markets usually are assumed to be efficient, meaning that the prices fully reflect all available information. However, some studies have reported mixed results, with many arguing against the efficient markets theory in markets worldwide. This thesis investigates whether or not several different calendar anomalies exist within the Swiss Performance Index, namely the Day of the Week Effect, the Weekend Effect, the Friday the 13th Effect, the January Effect, the Mark Twain Effect and the January Barometer. It uses the Welch’s t-test and the Ordinary Least Squares regression methodology in order to examine this. The findings indicate that there is no Day of the Week Effect associated with any weekday within the index. Furthermore, the results also show that the Weekend Effect, the Friday 13th Effect, the January Effect and the Mark Twain Effect do not exist in the Swiss Performance Index. Additionally, the January Barometer appears to have no significant predictive power within the index. These conclusions indicate that the Market Efficiency Theory does - in regards to the examined calendar anomalies - hold true for the Swiss Performance Index. |
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