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Title: New tests of calendar effects on equity and securitized real estate markets
Authors: Hui, ECM 
Chan, KKK 
Keywords: Calendar effect
Moving-window size
Shiryaev-Zhou index
Smoothing effect
Trading strategy
Issue Date: 2018
Publisher: Vilnius Gediminas Technical University
Source: International journal of strategic property management, 2018, v. 22, no. 4, p. 314-336 How to cite?
Journal: International journal of strategic property management 
Abstract: We construct two new tests of calendar effects, apply them on 12 stock indices during 1996–2016, and compare the results with that using Hui and Chan (2016)’s method. The results show that the January and Halloween effects are significant for the four western generalized equity indices for small moving-window sizes. Furthermore, the securitized real estate indices show a greater difference in the overall calendar effect between the three methods than the general equity indices do. This study has an implication that a certain sector of the market is riskier than the whole market.
ISSN: 1648-715X
EISSN: 1648-9179
DOI: 10.3846/ijspm.2018.4400
Rights: Copyright © 2018 The Author(s). Published by VGTU Press. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (, which permits unrestricted
The following publication Hui, E., & Chan, K. (2018). New tests of calendar effects on equity and securitized real estate markets. International Journal of Strategic Property Management, 22(4), 314-336 is available at
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