One of the world’s largest news agencies, Bloomberg, was interested in research by a professor at the Department of International Economic Relations conducted by him as part of a team of authors from around the world.
This is a Rise and Fall of Calendar Anomalies over a Century study, published in the North American Journal of Economics and Finance (Elsevier Publishing House, indexed in Scopus, Impact Factor: 1.098).
The original article can be found on the website of the Journal:
https://www.sciencedirect.com/science/article/abs/pii/S1062940819300129?via%3Dihub
After Bloomberg correspondent Vildana Hajric interviewed Plastun O.L. To clarify the info and details, an article on “No, Stocks Do not Rally on Friday, in January, or at Month’s End” was published on the agency website (available at the following link: https://www.bloomberg.com/news/articles/ 2019-05-02 / no-stocks-don-t-rally-on-friday-in-january-or-at-month-s-end).
The article “Rise and Fall of Calendar Anomalies over a Century” was the result of the international cooperation of Professors Mark E. Wohar (University of Nebraska, USA and Loughborough University, UK), Rangan Gupta (University of Pretoria, South Africa) and Professors of the Department of International Economic Relations Plusun Alexei Leonidovich.
In this paper, a comprehensive study of the evolution of calendar anomalies in the US stock market (Dow Jones Industrial data) from 1900 to 2018 was conducted. Various statistical methods (mean analysis, t-test Student, ANOVA analysis, Kruskal-Wallis and Mann-Whitney tests) and simulation simulation were used for this purpose. Evolution was considered on the example of the following calendar anomalies: the effect of the day of the week, the effect of the change of the month, the effect of the change of the year and the effect of holidays. The results showed that the “golden age” of calendar anomalies was in the middle of the twentieth century. However, since the 1980s, all calendar abnormalities have disappeared. This is in line with the hypothesis of an efficient market.