Witching days and abnormal profits in the us stock market
AbstractThis paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, S&P500 and Nasdaq, over the period 2000–2021. First it analyses whether or not anomalies in price behaviour arise from witchin...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2023-12-01
|
| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2023.2182016 |
| _version_ | 1797658383104344064 |
|---|---|
| author | Guglielmo Maria Caporale Alex Plastun |
| author_facet | Guglielmo Maria Caporale Alex Plastun |
| author_sort | Guglielmo Maria Caporale |
| collection | DOAJ |
| description | AbstractThis paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, S&P500 and Nasdaq, over the period 2000–2021. First it analyses whether or not anomalies in price behaviour arise from witching by using various parametric (Student’s t-test, and ANOVA) and non-parametric (Mann-Whitney) tests as well as an event study method and regressions with dummies; then it investigates whether or not any detected anomalies give rise to profit opportunities by applying a trading simulation approach. The results suggest the presence of the anomaly in daily returns on witching days which can be exploited by means of suitably designed trading strategies to earn abnormal profits, especially in the case of the Nasdaq index. Such evidence is inconsistent with the Efficient Market Hypothesis (EMH). |
| first_indexed | 2024-03-11T17:58:15Z |
| format | Article |
| id | doaj.art-ae78245a708d49a5976cba2871f30998 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-03-11T17:58:15Z |
| publishDate | 2023-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-ae78245a708d49a5976cba2871f309982023-10-17T10:51:06ZengTaylor & Francis GroupCogent Economics & Finance2332-20392023-12-0111110.1080/23322039.2023.2182016Witching days and abnormal profits in the us stock marketGuglielmo Maria Caporale0Alex Plastun1Department of Economics and Finance, Brunel University London, London, UKSumy State University, Sumy, UkraineAbstractThis paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, S&P500 and Nasdaq, over the period 2000–2021. First it analyses whether or not anomalies in price behaviour arise from witching by using various parametric (Student’s t-test, and ANOVA) and non-parametric (Mann-Whitney) tests as well as an event study method and regressions with dummies; then it investigates whether or not any detected anomalies give rise to profit opportunities by applying a trading simulation approach. The results suggest the presence of the anomaly in daily returns on witching days which can be exploited by means of suitably designed trading strategies to earn abnormal profits, especially in the case of the Nasdaq index. Such evidence is inconsistent with the Efficient Market Hypothesis (EMH).https://www.tandfonline.com/doi/10.1080/23322039.2023.2182016Witching DaysAbnormal ReturnsStock MarketsAnomaliesTradingG12 |
| spellingShingle | Guglielmo Maria Caporale Alex Plastun Witching days and abnormal profits in the us stock market Cogent Economics & Finance Witching Days Abnormal Returns Stock Markets Anomalies Trading G12 |
| title | Witching days and abnormal profits in the us stock market |
| title_full | Witching days and abnormal profits in the us stock market |
| title_fullStr | Witching days and abnormal profits in the us stock market |
| title_full_unstemmed | Witching days and abnormal profits in the us stock market |
| title_short | Witching days and abnormal profits in the us stock market |
| title_sort | witching days and abnormal profits in the us stock market |
| topic | Witching Days Abnormal Returns Stock Markets Anomalies Trading G12 |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2023.2182016 |
| work_keys_str_mv | AT guglielmomariacaporale witchingdaysandabnormalprofitsintheusstockmarket AT alexplastun witchingdaysandabnormalprofitsintheusstockmarket |