Alex Plastun Elie Bouri Ahniia Havrylina and Qiang Ji
This study provides the first empirical evidence on calendar anomalies in various passion investment markets for diamonds fine wines stamps and fine arts. With several statistical techniques [e.g. average analysis Student’s t-test analysis of variance (ANOVA) Kruskal–Wallis and Mann–Whitney tests] and a trading simulation model the results show that the passion investment markets depend on the calendar anomalies which challenges the efficient market hypothesis. However calendar anomalies are not homogeneous across various passion markets. In general Day-of-the-Week and Month-of-the-Year Effects are the most commonly detected calendar anomalies and some prices generally follow the Halloween Effect. The markets for wine diamonds and art follow a seasonality. However the Turn-of-the-Year and Turn-of-the-Month Effects are primarily absent in the passion markets. A simulation analysis of profitable trading strategies provided practical implications for exploiting opportunities arising from the calendar anomalies in the passion investment markets.
Diamonds ; Fine wine ; Stamps ; Fine art ; Calendar anomalies ; Trading strategies (search for similar items in EconPapers)
Research in International Business and Finance 2022 vol. 61 issue C