Performance and Network Analysis of Research in Stock Market Anomalies
Sumayya Chulliyil Valappil, Thodiyil Mohamed Nishad
References:
[1] Abideen, Zain UI, Zeeshan Ahmed, Huan Qiu, and Yiwei Zhao. 2023. “Do Behavioral Biases Affect Investors’ Investment Decision-Making? Evidence from the Pakistani Equity Market.” Risks 11 (06): 1-32. 10.3390/risks11060109.
[2] Akter, Aklima, and Minhaj Ferdous. 2023. “The Month of the Year Anomaly in Bangladesh’s Stock Market: Impact of Stock Market Crash 2010 and Covid-19 Pandemic.” The Cost and Management 50 (3).
[3] Alkhazali, Osamah, Hooi Hooi Lean, and Taisier Zoubi. 2022. “The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach.” International Journal of Financial Studies 10 (4): 102.
https://doi.org/10.3390/ijfs10040102.
[4] Al-Sulaiman, Talal. 2022. “Predicting reactions to anomalies in stock movements using a feed-forward deep learning network.” International Journal of Information Management Data Insights 2, no. 1 (April).
https://doi.org/10.1016/j.jjimei.2022.100071.
[5] Ammann, M., S. Odoni, and D. Oesch. 2012. “An alternative three-factor model for international markets: Evidence from the European Monetary Union.” Journal of Banking and Finance 36 (7): 1857-1864. 10.1016/j.jbankfin.2012.02.001.
[6] Arsad, Z., and J.A. Coutts. 1997. “Security price anomalies in the London International Stock Exchange: A 60 year perspective.” Applied Financial Economics 7 (5): 455-464. 10.1080/096031097333312.
[7] Aslam, Faheem, Ahmed Imran Hunjra, Tahar Tayachi, Peter Verhoeven, and Yasir Tariq Mohmand. 2022. “Calendar Anomalies in Islamic Frontier Markets.” SAGE Open April-June:1-16. 10.1177/21582440221097886.
[8] Avramov, Doron, Si Cheng, and Lior Metzker. 2022. “Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability.” Management Science 69 (5): 2587-2619.
https://doi.org/10.1287/mnsc.2022.4449.
[9] Azevedo, Vitor, and Christopher Hoegner. 2023. “Enhancing stock market anomalies with machine learning.” Review of Quantitative Finance and Accounting 60 (1): 195-230. 10.1007/s11156-022-01099-z.
[10] Azevedo, Vitor, Georg Sebastian Kaiser, and Sebastian Mueller. 2023. “Stock market anomalies and machine learning across the globe.” Journal of Asset Management 24:419-441.
https://doi.org/10.1057/s41260-023-00318-z.
[11] Balakumar, Suganya, Saumya R. Dash, Debasish Maitra, and Sang H. Kang. 2022. “Do oil price shocks have any implications for stock return momentum?” Economic Analysis and Policy 75 (September): 637-663.
https://doi.org/10.1016/j.eap.2022.06.016.
[12] Baltais, Markuss, Tomass Konstantinovs, Nora Kigure, and Evita Sondore. 2023. “Finding Value in Chaos: An Examination of Italian Stock Market Anomalies During Economic Distress Periods.” SSRN, (March).
https://dx.doi.org/10.2139/ssrn.4446313.
[13] Bampinas, Georgios, Stilianos Fountas, and Theodore Panagiotidis. 2016. “The day-of-the-week effect is weak: Evidence from the European real estate sector.” Journal of Economics and Finance 40:549-567.
https://doi.org/10.1007/s12197-015-9325-7.
[14] Berggrun, Luis, Emilio Cardona, and Edmundo R. Lizarzaburu. 2023. “Evaluating Asset Pricing Anomalies: Evidence from Latin America.” SSRN, (April).
https://dx.doi.org/10.2139/ssrn.4418759.
[15] Bohl, M.T., J. Döpke, and C. Pierdzioch. 2008. “Real-time forecasting and political stock market anomalies: Evidence for the United States.” Financial Review 43 (3): 323-335. 10.1111/j.1540-6288.2008.00196.x.
[16] Börner, Katy, Chaomei Chen, and Kevin W. Boyack. 2003. “Visualizing Knowledge Domains.” Annual Review of Information Science & Technology 37 (1): 179-255.
[17] Bornmann, Lutz, Robin Haunschild, and Sven E. Hug. 2018. “Visualizing the context of citations referencing papers published by Eugene Garfield: a new type of keyword co-occurrence analysis.” Scientometrics 114:427-437.
https://doi.org/10.1007/s11192-017-2591-8.
[18] Božovic, Miloš. 2022. “A common pattern across asset pricing anomalies.” Finance Research Letters 48 (August).
https://doi.org/10.1016/j.frl.2022.103004.
[19] Brogaard, Jonathan, and Abalfazl Zareei. 2023. “Machine Learning and the Stock Market.” Journal of Financial and Quantitative Analysis 58, no. 4 (June): 1431-1472.
https://doi.org/10.1017/S0022109022001120.
[20] Brusa, Jorge, Rodrigo Hernandez, and Pu Liu. 2011. “Reverse weekend effect, trading volume, and illiquidity.” Managerial Finance 37 (9): 817-839.
https://doi.org/10.1108/03074351111153212.
[21] Cao, M., and J. Wei. 2005. “Stock market returns: A note on temperature anomaly.” Journal of Banking and Finance 29 (6): 1559-1573. 10.1016/j.jbankfin.2004.06.028.
[22] Caporale, Guglielmo Maria, and Alex Plastun. 2023. “Witching Days and Abnormal Profits in the US Stock Market.” Cogent Economics & Finance 11 (1). 2182016.
[23] Chee-Jiun, C.R., and L.S. Ye. 2011. “Stock market Anomalies in South Africa and its Neighbouring Countries.” Economics Bulletin 31 (4): 3123-3137.
https://www.scopus.com/inward/record.uri?eid=2-s2.0-84855329748&partnerID=40&md5=70bd495bf6ded37a1776207ae3d4d56f.
[24] Chiah, Mardy, Dinh Hoang Bach Phan, Vuong Thao Tran, and Angel Zhong. 2022. “Energy price uncertainty and the value premium.” International Review of Financial Analysis 81. 10.1016/j.irfa.2022.102062.
[25] Cho, Y.-H., O. Linton, and Y.-J. Whang. 2007. “Are there Monday effects in stock returns: A stochastic dominance approach.” Journal of Empirical Finance 14 (5): 736-755. 10.1016/j.jempfin.2007.02.001.
[26] Chong, R., R. Hudson, K. Keasey, and K. Littler. 2005. “Pre-holiday effects: International evidence on the decline and reversal of a stock market anomaly.” Journal of International Money and Finance 24 (8): 1226-1236. 10.1016/j.jimonfin.2005.08.015.
[27] Choy, Siu K., Craig Lewis, and Yongxian Tan. 2023. “Can the changes in fundamentals explain the attenuation of anomalies?” Journal of Financial Economics 149 (2): 142-160. 10.1016/j.jfineco.2023.04.005.
[28] Cotter, John, and Niall McGeever. 2018. Are equity market anomalies disappearing? Evidence from the U.K, Working Papers 201804. N.p.: Geary Institute, University College Dublin.
[29] De Bondt, Werner F. M. 1987. “Further Evidence on Investor Overreaction and Stock Market Seasonality.” The Journal of Finance 42, no. 3 (July): 557-581.
https://doi.org/10.2307/2328371.
[30] De Bondt, Werner F. M., and Richard Thaler. 1985. “Does the stock market overreact?” The Journal of Finance 40, no. 3 (July): 793-805.
https://doi.org/10.1111/j.1540-6261.1985.tb05004.x.
[31] Dimson, E., and M. Mussavian. 1998. “A brief history of market efficiency [We have be].” European Financial Management 4 (1): 91-103. 10.1111/1468-036X.00056.
[32] Dissanaike, G. 1997. “Do stock market investors overreact?” Journal of Business Finance and Accounting 24 (1): 27-50. 10.1111/1468-5957.00093.
[33] Dong, B., L. Jiang, J. Liu, and Y. Zhu. 2022. “Liquidity in the cryptocurrency market and commonalities across anomalies.” International Review of Financial Analysis 81. 10.1016/j.irfa.2022.102097.
[34] Donthu, Naveen, Satish Kumar, Debmalya Mukherjee, Nitesh Pandey, and Weng M. Lim. 2021. “How to conduct a bibliometric analysis: An overview and guidelines.” Journal of Business Research 133:285-296.
https://doi.org/10.1016/j.busres.2021.04.070.
[35] Eidinejad, Shahin, and Elena Dahlem. 2022. “The existence and historical development of the holiday effect on the Swedish stock market.” Applied Economics Letters 29 (19): 1855-1858. 10.1080/13504851.2021.1967858.
[36] Enow, Samuel Tabot. 2022. “Investigating the Weekend Anomaly and Its Implications: Evidence From International Financial Markets.” Journal of Accounting, Finance and Auditing Studies 8 (4): 322-333. DOI: 10.32602/jafas.2022.039.
[37] Falagas, M.E, E.I Pitsouni, G.A Malietzis, and G. Pappas. 2007. “Comparison of PubMed, Scopus, Web of Science, and Google Scholar: Strengths and Weaknesses.” The FASEB Journal 22 (September): 338-342.
https://doi.org/10.1096/fj.07-9492LSF.
[38] Fohlin, C., and S. Reinhold. 2010. “Common stock returns in the pre-WWI Berlin stock exchange.” Cliometrica 4 (1): 75-96. 10.1007/s11698-009-0037-0.
[39] Franceschini, Fiorenzo, Domenico Maisano, and Luca Mastrogiacomo. 2016. “Empirical analysis and classification of database errors in Scopus and Web of Science.” Journal of Informetrics 10, no. 4 (November): 933-953.
https://doi.org/10.1016/j.joi.2016.07.003.
[40] Gao, X., and Y. Wang. 2022. “Mining the Short Side: Institutional Investors and Stock Market Anomalies.” Journal of Financial and Quantitative Analysis. 10.1017/S0022109022000527.
[41] Garousi, V., and M. V Mantyla. 2016. “Citations, research topics and active countries in software engineering: A bibliometrics study.” Computer Science Review 19:56-77.
https://doi.org/10.1016/j.cosrev.2015.12.002.
[42] Gonçalves, Vasco Barroso, and Luís Oliveira. 2023. “The Impact of Political Events on the Portuguese Stock Market Behavior.” SSRN, (March). http://dx.doi.org/10.2139/ssrn.4390555.
[43] Hasan, Md. Bokhtiar, M. Kabir Hassan, Md. Mamunur Rashid, Md. Sumon Ali, and Md. Naiem Hossain. 2022. “Calendar anomalies in the stock markets: conventional vs Islamic stock indices.” Managerial Finance 48 (2): 258-276. 10.1108/MF-12-2020-0601.
[44] Haugen, R.A., and P. Jorion. 1996. “The January effect: Still there after all these years.” Financial Analysts Journal 52 (1): 27-31. 10.2469/faj.v52.n1.1963.
[45] Hirshleifer, David. 2002. “Investor Psychology and Asset Pricing.” The Journal of Finance 56, no. 4 (December).
https://doi.org/10.1111/0022-1082.00379.
[46] Hjørland, B. 2013. “Facet analysis: The logical approach to knowledge organization.” Information Processing & Management 49, no. 2 (March): 545-557.
https://doi.org/10.1016/j.ipm.2012.10.001.
[47] Hudson, R., K. Keasey, and K. Littler. 2002. “Why investors should be cautious of the academic approach to testing for stock market anomalies.” Applied Financial Economics 12 (9): 681-686. 10.1080/13504850210128848.
[48] Hughes, J., J. Liu, and W. Su. 2008. “On the relation between predictable market returns and predictable analyst forecast errors.” Review of Accounting Studies 13 (02-Mar): 266-291. 10.1007/s11142-007-9065-9.
[49] Iqbal, Maulana, Rico Nur Ilham, Darmawati, and Widyana Verawaty Siregar. 2023. “Market Anomal Testing Regarding the January Effect, Rogalski Effect and Monday Effect in Banking Sector Companies on the Indonesia Stock Exchange.” Journal of Accounting Research Utility Finance & Digital Assets 2 (1).
https://doi.org/10.54443/jaruda.v2i1.76.
[50] Jalal, Samir Kumar. 2019. “Co-authorship and co-occurrences analysis using BibliometrixR package: a case study of India and Bangladesh.” Annals of Library and Information Studies 66 (June): 57-64.
https://core.ac.uk/download/pdf/229207865.pdf.
[51] Jegadeesh, Narasimhan, and Sheridan Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The Journal of Finance 48, no. 1 (March): 65-91.
https://doi.org/10.2307/2328882.
[52] Jia, Yuecheng, Betty J. Simkins, Zheng Xu, and Runyu Zhang. 2022. “Psychological Anchoring Effect, the Cross Section of Cryptocurrency Returns, and Cryptocurrency Market Anomalies.” SSRN, (July).
https://ssrn.com/abstract=4170936.
[53] Jinyu Liu, Lei Jiang, and Lin Peng Baolian Wang. 2022. “Investor Attention and Asset Pricing Anomalies.” Review of Finance 26, no. 3 (March): 563-593.
https://doi.org/10.1093/rof/rfab032.
[54] Jones, Christopher S, and Lukasz Pomorski. 2017. “Investing in Disappearing Anomalies.” Review of Finance 21, no. 1 (March): 237-267.
https://doi.org/10.1093/rof/rfv065.
[55] Kim, Karam, and Doojin Ryu. 2022. “Sentiment changes and the Monday effect.” Finance Research Letters 47, no. Part B (June).
https://doi.org/10.1016/j.frl.2022.102709.
[56] Kirby, Andrew. 2023. “Exploratory Bibliometrics: Using VOSviewer as a Preliminary Research Tool.” Publications 11 (1): 10.
https://doi.org/10.3390/publications11010010.
[57] Kozlowski, Steven, and Alexander Lytle. 2023. “The January Anomaly and Anomalies in January.” SSRN, (February).
https://ssrn.com/abstract=4215252.
[58] Kuhn, T.S. 1970. The Structure of Scientific Revolutions. N.p.: The University of Chicago Press.
[59] Kumar, Harish, and Rachna Jawa. 2017. “Efficient Market Hypothesis and Calendar Effects: Empirical Evidences from the Indian Stock Markets.” Business Analyst 37 (2): 145-160.
https://ssrn.com/abstract=2981633.
[60] Lambertides, N. 2022. “Misvaluation and the Asset Growth Anomaly.” Abacus 58 (1): 105-141. 10.1111/abac.12241.
[61] Lauterbach, B., and M. Ungar. 1995. “Real vs. nominal stock return seasonalities: empirical evidence.” International Review of Economics and Finance 4 (2): 133-147. 10.1016/1059-0560(95)90014-4.
[62] Levis, M. 1989. “Stock market anomalies. A re-assessment based on the UK evidence.” Journal of Banking and Finance 13 (04-May): 675-696. 10.1016/0378-4266(89)90037-X.
[63] Lis, Andrzej. 2018. “Keywords Co-occurrence Analysis of Research on Sustainable Enterprise and Sustainable Organisation.” Journal of Corporate Responsibility and Leadership 5 (2): 47-66.
http://dx.doi.org/10.12775/JCRL.2018.011.
[64] Lucey, B.M., and A. Pardo. 2005. “Why investors should not be cautious about the academic approch to testing for stock market anomalies.” Applied Financial Economics 15 (3): 165-171. 10.1080/0960310042000313213.
[65] Luo, J. ., C. Gan, B. Hu, and T.-H Kao. 2009. “An empirical analysis of Chinese stock price anomalies and volatility.” Investment Management and Financial Innovations 6 (1): 199-216.
https://www.scopus.com/inward/record.uri?eid=2-s2.0-78349264212&partnerID=40&md5=c7bfd29d6fcb1ed5c4ceffbb08686581.
[66] Maa, Qingzhong, David Whidbee, and Wei Zhanga. 2022. “Behavioral Biases and the Asset Growth Anomaly.” Journal of Behavioral Finance. 10.1080/15427560.2022.2047684.
[67] Maheshwari, Supriya, and Raj Singh Dhankar. 2017. “Momentum anomaly: evidence from the Indian stock market.” Journal of Advances in Management Research 14 (1): 3-22.
https://doi.org/10.1108/JAMR-11-2015-0081.
[68] Marquering, W., J. Nisser, and T. Valla. 2006. “Disappearing anomalies: A dynamic analysis of the persistence of anomalies.” Applied Financial Economics 16 (4): 291-302. 10.1080/09603100500400361.
[69] Martins, José, Ramiro Gonçalves, and Frederico Branco. 2022. “A bibliometric analysis and visualization of e-learning adoption using VOSviewer.” Universal Access in the Information Society.
https://doi.org/10.1007/s10209-022-00953-0.
[70] Meek, Andrew C., and Seth A. Hoelscher. 2023. “Day-of-the-week effect: Petroleum and petroleum products.” Cogent Economics & Finance 11 (1).
https://doi.org/10.1080/23322039.2023.2213876.
[71] Moskowitz, Tobias J., and Mark Grinblatt. 2022. “Do Industries Explain Momentum?” The Journal of Finance 54, no. 4 (December). https://doi.org/10.1111/0022-1082.00146.
[72] Njoroge, Deborah Naliaka, and Joshua Wepukhulu Matanda. 2023. “Holiday Effect and Stock Market Returns of Commercial Banks Listed at Nairobi Securities Exchange, Kenya.” International Academic Journal of Economics and Finance (IAJEF) 3, no. 8 (April): 442-478.
https://iajournals.org/articles/iajef_v3_i8_442_478.pdf.
[73] Pandey, Asheesh, and Rajni Joshi. 2022. “Examining Asset Pricing Anomalies: Evidence from Europe.” Business Perspectives and Research 10 (3): 362-378.
https://doi.org/10.1177/227853372110257.
[74] Patel, Jayen B. 2016. “The January Effect Anomaly Reexamined in Stock Returns.” Journal of Applied Business Research (JABR) 32, no. 1 (January): 317-324. 10.19030/jabr.v32i1.9540.
[75] Picou, A. 2006. “Stock returns behavior during holiday periods: evidence from six countries.” Managerial Finance 32 (5): 433-445. 10.1108/03074350610657445.
[76] Rozeff, Michael S., and William R. KinneyJr. 1976. “Capital Market Seasonality: The Case of Stock Returns.” The Journal of Financial Economics 3, no. 4 (October): 379-402.
https://doi.org/10.1016/0304-405X(76)90028-3.
[77] Sabahat, Nisar, Asif Rabia, and Ali Amjad. 2021. “Testing the Presence of the January Effect in Developed Economies.” Munich Personal RePEc Archive.
https://mpra.ub.uni-muenchen.de/112548/.
[78] Salur, Bayram Veli, and Cumhur Ekinci. 2023. “Anomalies and Investor Sentiment: International Evidence and the Impact of Size Factor.” International Journal of Financial Studies 11 (1): 49.
https://doi.org/10.3390/ijfs11010049.
[79] Shanaev, Savva, Arina Shuraeva, and Svetlana Fedorova. 2022. “The Groundhog Day stock market anomaly.” Finance Research Letters 47. 10.1016/j.frl.2021.102641.
[80] Sharma, Aditya, Arya Kumar, and Arun Kumar Vaish. 2022. “Market anomalies and investor behaviour.” Afro-Asian Journal of Finance and Accounting 12 (1): 62-81. 10.1504/AAJFA.2022.121768.
[81] Sharma, Mehak, and Anshul Jain. 2020. “Role of size and risk effects in value anomaly: Evidence from the Indian stock market.” Cogent Economics & Finance 8 (1). 10.1080/23322039.2020.1838694.
[82] Singh, Vivek K., Prashasti Singh, Mousumi Karmakar, Jacqueline Leta, and Philipp Mayr. 2021. “The Journal Coverage of Web of Science, Scopus and Dimensions: A Comparative Analysis.” Scientometrics 126 (March): 5113-5142.
https://doi.org/10.1007/s11192-021-03948-5.
[83] Stefanescu, Razvan, and Ramona Dumitriu. 2023. “The Extended January Effect on United States Capital Market.” SSRN, (April).
https://dx.doi.org/10.2139/ssrn.4373536.
[84] Tahamtan, Iman, Askar Safipour Afshar, and Khadijeh Ahamdzadeh. 2016. “Factors affecting number of citations: A comprehensive review of the literature.” Scientometrics 107, no. 3 (June): 1195-1225. 10.1007/s11192-016-1889-2.
[85] Tamala, Justine K., Edcel I. Maramag, Kaye A. Simeon, and Jonathan J. Ignacio. 2022. “A bibliometric analysis of sustainable oil and gas production research using VOSviewer.” Cleaner Engineering and Technology 7 (April).
https://doi.org/10.1016/j.clet.2022.100437.
[86] Thelwall, Mike. 2018. “Dimensions: A competitor to Scopus and the Web of Science?” Journal of Informetrics 12:430-435.
https://doi.org/10.1016/j.joi.2018.03.006.
[87] Thomas, J., and F. Zhang. 2008. “Overreaction to intra-industry information transfers?” Journal of Accounting Research 46 (4): 909-940. 10.1111/j.1475-679X.2008.00294.x.
[88] van Eck, Nees Jan, and Ludo Waltman. 2011. “Text mining and visualization using VOSviewer.” ISSI Newsletter 7 (3): 50-54.
https://arxiv.org/ftp/arxiv/papers/1109/1109.2058.pdf.
[89] van Eck, Nees Jan, and Ludo Waltman. 2017. “Citation-based clustering of publications using CitNetExplorer and VOSviewer.” Scientometrics 111 (2): 1053-1070. 10.1007/s11192-017-2300-7.
[90] Visser, Martijn, Nees J. Eck, and Ludo Waltman. 2021. “Large-scale comparison of bibliographic data sources: Scopus, Web of Science, Dimensions, Crossref, and Microsoft Academic.” Quantitative Science Studies 2 (1): 20-41.
https://doi.org /10.1162/qss_a_00112.
[91] Wachtel, Sidney B. 1942. “Certain Observations on Seasonal Movements in Stock Prices.” The Journal of Business of the University of Chicago 15, no. 2 (April): 184-193.
https://www.jstor.org/stable/2350013.
[92] Wei, Shih-Yung, and Li-Wei Lin. 2023. “Impacts of environmental uncertainty on investment stocks perception under the holiday effect.” PLOS ONE 18 (8).
https://doi.org/10.1371/journal.pone.0284745.
[93] Woo, Kai-Yin, Chulin Mai, Michael McAleer, and Wing-Keung Wong. 2020. “Review on Efficiency and Anomalies in Stock Markets.” Economies 8 (1): 20.
https://doi.org/10.3390/economies8010020.
[94] Yang, Xinyu, and Ilayda NEMLIOGLU. 2023. “Investigation of Monday Effect in the American and Chinese Stock Markets.” Bulletin of Economic Theory and Analysis 8, no. 1 (June): 93-109.
https://doi.org/10.25229/beta.1263271.
[95] Zabavnik, Darja, and Miroslav Verbic. 2021. “Relationship between the ?nancial and the real economy: A bibliometric analysis.” International Review of Economics and Finance 75:55-75.
https://doi.org/10.1016/j.iref.2021.04.014.
[96] Zhang, Aibo. 2023. “An Empirical Study on The Calendar Effect of The Shanghai Index in China.” Frontiers in Business, Economics and Management 9 (3): 41-46.
https://doi.org/10.54097/fbem.v9i3.9486.
[97] Zhang, Xinmin, Ronald C. Estoque, Hualin Xie, Yuji Murayama, and Manjula Ranagalage. 2019. “Bibliometric analysis of highly cited articles on ecosystem services.” PLoS ONE 14 (2).
https://doi.org/10.1371/journal.pone.0210707.
[98] Zhang, Xinyue, Emawtee Bissoondoyal-Bheenick, and Angel Zhong. 2023. “Investor sentiment and stock market anomalies in Australia.” International Review of Economics and Finance 86:284-303. 10.1016/j.iref.2023.03.024.
[99] Zhu, Zhaobo, Licheng Sun, Jun Tu, and Qiang Ji. 2022. “Oil price shocks and stock market anomalies.” Financial Management 51 (2): 573-612. 10.1111/fima.12377.
[100] Zupic, Ivan, and Tomaz Cater. 2015. “Bibliometric methods in management and organization.” Organizational Research Methods 18, no. 3 (July): 429-472.
http://dx.doi.org/10.1177/1094428114562629.
|