Calendar Anomalies In The Stock Markets Of Mongolia,Kazakhstan And Uzbekistan

Calendar anomalies refer to the systematic patterns in the returns of financial assets over certain periods of time(e.g.,day,week or month).These patterns of stock return behavior can be attributed to various factors:individual and institutional investor behaviors,institutional environment,and information disclosure,etc.The literature demonstrates two main calendar anomalies,i.e.,the "day of the week" effect and the"month of the year" effect.Specifically,the average stock returns are found to be systematically related to a particular day of the week or month of the year.Since the calendar anomalies imply that the stock prices do not follow a random walk,thereby making it possible to systematically earn abnormal returns,the presence of these effects casts doubt in the efficient market hypothesis.The calendar anomalies are common in the stock markets of developed economies and have been observed for decades.The objective of this thesis is to test for the presence of such effects in the stock markets of such developing countries as Mongolia,Kazakhstan,and Uzbekistan.Results are consistent with the findings in the developed markets in that both the month of the year and the day of the week effects exist in selected developing countries.Uzbekistan has been excluded from the month of the year effect testing due to data insufficiency.