Calendar Effects in the Canadian Market

The aim of this paper is to examine calendar anomalies, which had been studied in great details since early 1900s on US market. We study, specifically, the day-o week (Monday) effect, the turn-of-month effect, the turn-of-year (January) effect, the preholiday effect, and the sell-in May and go away (Halloween indicator) with the Canadian stock market. Several papers that studies anomalies on Canadian stocks have been identified but none of which studied every possible anomalies there is in history and documented them in one paper, and none of which as specifically studied the anomalies on Canadian stock market in recent years. Well researched papers such as Haugen and Jorion (1996) that studied the January effect on US market with data from years 1927 to 1942 and Athanasakos (1992) also studied the January effect but on Canadian market with data from years 1960 to 1989 all yielded significant calendar anomalies. Calendar anomalies - January effect was discovered in Haugen and Jorion (1996) after all these years. Dzhabarov and Ziemba (2010) comprised all the calendar anomalies on US market; hence, changes of calendar effects over time on Canadian market are of major interest in this paper.