454). Although it was only recently that substantial studies were devoted to look seriously and closely into this phenomenon, calendar anomalies have always been regarded as part of the market folklore. As early as the 1930s, a few studies had already broached the idea of seasonal effects (Jacobs & Levy, p. 135).
Recently, a spate of studies looked particularly into this phenomenon despite the admitted dominance of Professor Farma’s (1970) efficient market hypothesis (EMH hereafter), which is said to largely underpin stock market and securities returns rationale. The EMH is “A market in which prices always ‘fully reflect’ available information” (cited Scheurle, p. 19). Thus, while the information-reliant EMH makes stock markets largely unpredictable, calendar anomalies results in the opposite. Moreover, they breach the EMH principle that stock returns should be random and unpredictable because they allow market participants to anticipate potential rise and fall of the market and use that knowledge to make profits (Gao and Kling 2005, pp. 75-76)
In the United States, for example, the day-of-the week and January effects have been widely studied, as a consequence of which a large amount of evidence has been found that supports their validity (Lean et al, 2007, p. 2). The studies conducted by Rozeff and Kinney (1976), Gultekin and Gultekin (1983), Keim and Stambaugh (1984) and Kato and Shallheim (1985), among others, validated the observation that stock returns are higher on the month of January as compared to other months. On the other hand, the day-of-the-week effect suggests that stock returns between the close of Friday and that of Monday are comparatively lower than that of the other days of the week. These were the results of the studies conducted by the likes of Gibbons and Hess (1981), Mills and Coutts (1995) and Al-Loughani and Chapell (2001) (Alagidede and Panagiotidis 2006, p. 2). Most of these studies were conducted in the stock markets of the US, Australia, Canada, Tokyo Italy and London. However, Alagidede and Panagioditis (2006) belied the existence of both January and day-of-the week effects in their study of the Ghana stock Exchange, where they instead observed that the month of April shows a comparatively higher yield of returns of all months in a year - an observation that can be readily explained by the usual submission of company reports in late March during the year (pp. 75-88). Some of the so-called calendar anomalies, aside from the day-of-the-week and January effects, are: the turn-of-the-month effect; the holiday effect; the time-of-day effect (Jacobs & Levy 1988, pp. 28-36), the Ramadan effect (Seyyed et al, 2005), the school-is-out effect (Coakley et al 2007), among others. The day-of-the-week effect refers to the anomalies observe where average returns show a pattern of being higher on some days of the week compared to other days of the same week (Brooks & Persand 2001, p. 155). The turn-of-the-month effect as documented by Ariel (1984) in his study of 19 years stock index returns shows that the entire market cumulative advance for those years was contributed on the first half of the month as compared to the zero contribution in the next half of it. The Ramadan effect is another seasonality effect that is based on the Ramadan, the holy month of the Muslims where trading activities are observed to be comparatively low than in other months (Seyyed et al 2005). Various authors have a variety of explanations to explain away calendar anomalies ranging from psychological to social and to traditions. Thaler (1987) offers three suggestions he thinks are worth looking into. First, it could be custom-related. An example would be the custom of distributing pension and