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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Elena Sukhova
Calendar Effects of the US Stock Market: Current Trends
2017
Calendar effects are among the most significant factors that affect the dynamics of the US stock market. The statistical importance of the modern calendar effects of the American market is confirmed in the paper: Turn-of-the-Month effect-TOM and the Halloween Effect by modeling the profitability of financial instruments (GARCH (P,Q) model) and constructing a regression with dummy variables.

The reasons for the existence and preservation of modern calendar effects is a complex set of behavioral and rational factors. Moreover, the same factors (derivatives trading and the growth of the share of institutional investors in the market) lead to the disappearance of some and the intensification of the other calendar anomalies (the disappearance of the day of week calendar effect and the preservation of the Turn-of-the-Month effect). The paper proves the statistical significance of the relationship between the calendar effects of TOM and Halloween with the level of the company's capitalization and its industry affiliation.

Choosing a trading strategy for investors, it is necessary to take into account not only influence of the calendar effect, but also the whole range of factors: income level, tax status and investors' risk preferences, information factor, liquidity level in the economy and in a specific industry, the presence of upward and downward trends in the stock market and even a cycle of presidential rule.

The analysis of the American stock market shows that calendar anomalies of the stock returns always have a national specificity in terms of tax and federal legislation, depend on the development of the stock market, the behavior of investors, modern methods of trading and hedging, and are determined by fundamental factors.

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