This paper provides an exhaustive review of the literature on the characterization of financial
time series. A stylized fact is a term in economics used to refer to empirical findings that are …

Purpose Market efficiency suggests that price of the security must reflect its intrinsic value by
impounding all the available and accessible information. Asset pricing in capital markets has …

Mangrove forests provide many ecosystem services but are among the world's most
threatened ecosystems. Mangroves vary substantially according to their geomorphic and …

This note examines the holiday effect in Australian daily stock returns at the market and
industry level and for small capitalization stocks from Monday 9 September 1996 to Friday …

This study investigates the Chinese Lunar New Year (CLNY) holiday effect in major Asian
stock markets. These are China, Hong Kong, Japan, Malaysia, South Korea and Taiwan. For …

This study investigates the holiday effect in 14 emerging Central and Eastern European
(CEE) markets. The authors show that the holiday effect is present in the CEE region, with a …

This article provides further evidence on the holiday effect by analysing stock market
behaviour on the days a public holiday is not accompanied by a stock market break. Indeed …

This paper aims to examine the volatility of holiday effects on Thai stock market. The holiday
effect is phenomenon in which high returns could be found around the holiday. The event …

Using a sample spanning four decades, we document that the pre-holiday effect, one of the
most common of the calendar effect anomalies, still exists in the New Zealand market …

This study aims to explain the size effect in January with the utilization of some theoretical
arguments drawn from behavioral finance, such as mental accounting and house money, in …