Calendar anomalies in passion investments: Price patterns and profit opportunities
文献类型：期刊论文
| 作者 | Plastun, Alex; Bouri, Elie3; Havrylina, Ahniia2; Ji, Qiang1,2 |
| 刊名 | RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
 |
| 出版日期 | 2022 |
| 卷号 | 61 |
| 关键词 | Diamonds Fine wine Stamps Fine art Calendar anomalies Trading strategies |
| ISSN号 | 0275-5319 |
| DOI | 10.1016/j.ribaf.2022.101678 |
| 文献子类 | Article |
| 英文摘要 | 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. |
| WOS关键词 | FINE WINE ; SEASONAL ANOMALIES ; STOCK MARKETS ; RETURNS ; REAL |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000807309500002 |
| 源URL | [http://ir.casisd.cn/handle/190111/12030]  |
| 专题 | 系统分析与管理研究所 |
| 作者单位 | 1.Chinese Acad Sci, Inst Sci & Dev, Beijing 100190, Peoples R China 2.Lebanese Amer Univ, Sch Business, Beirut, Lebanon 3.Sumy State Univ, Sumy, Ukraine 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). |
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来源：科技战略咨询研究院
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