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The possibility to utilize anomalies in an investment strategy: A study of several Asian stock markets
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2014 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This study investigates the existence of day-of-the-week and month-of-the-year effects (so called anomalies), and whether there is a possibility to utilize these in asuccessful investment strategy. The study is conducted upon the indices of five major Asian stock exchanges; Shanghai Stock Exchange Composite Index, Nikkei 225, Hang Seng Index, Shenzhen Stock Exchange Composite Index and Straits Times Index. Closing prices are used to compute average returns for specific weekdays/months during a sample period. An investment strategy is then developed, based on the statistically significant positive deviations (anomalies) that are found. By utilizing these anomalies, in the investment strategy, it is evident that one could achieve a higher return than if one would invest according to a comparable buy-and-hold strategy, during a test period.

Place, publisher, year, edition, pages
2014.
Keyword [en]
Anomalies, Day-­of-the-week, Month-of-the-year, Efficient Market Hypothesis, Behavioural Finance, Investment Strategy, Transaction Cost, Asian stock market, Shanghai Stock Exchange Composite Index, Nikkei 225, Hang Seng Index, Shenzhen Stock Exchange Composite Index, Straits Times Index
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-219339OAI: oai:DiVA.org:uu-219339DiVA: diva2:699286
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Available from: 2014-02-27 Created: 2014-02-27 Last updated: 2014-02-28Bibliographically approved

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