Market Anomalies in Selected Emerging and Developed Stock Markets

ABSTRACT

Recent evidence is provided on market anomalies in some emerging and developed stock markets. The results suggest that daily returns in emerging and developed stock markets violate market efficiency in the weak form. Evidence of significant day of the week effects is found in returns from KLSE, Philippines, FTSE and Nikkie indices. In contrast to earlier reports, no evidence of negative returns on Monday and excess returns for Friday is found in respect of S&P composite index. While account settlement procedures can partially explain weekly returns in the Philippines, Thailand, KLSE, and Germany, they do not explain the negative returns for Mondays, particularly in Japan. There is some evidence that not only do comparable anomalies exist but that there seems to be a degree of inter-market contagion with significant change in cross border correlation on a day of the week basis.