Calendar Anomalies and Risk in the Wine Exchange Market

Article Sidebar

PDF
Published: 2012-06-30
Keywords:
wine, monthly effect, efficient market hypothesis, risk, GARCH

Main Article Content

Hooi Hooi Lean
Economics Program, School of Social Sciences, Universiti Sains Malaysia, 11800 Pulau Pinang, Malaysia
Christine Siew Pyng Chong
School of Business Studies, Kolej Tunku Abdul Rahman, 77, Lorong Lembah Permai Tiga, 11200 Tanjong Bungah, Pulau Pinang, Malaysia

Abstract

This paper examines calendar anomalies, in particular, the monthly effect in the international wine exchange market. The empirical findings suggest that there is a March effect for the Liv-ex Fine Wine 500 Index, a May effect for the Liv-ex Fine Wine 100 Index and the Liv-ex Claret Chip Index and a June effect for the Liv-ex Fine Wine Investables Index. We find that the market risk is higher in March and June for the Liv-ex 500 Index and the Liv-ex Investables Index, respectively. However, this higher market risk is not the cause of the monthly effect.
 

Article Details

Issue

Vol. 8 No. 1 (2012)

Section

Articles
Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

Hooi Hooi Lean, & Christine Siew Pyng Chong. (2012). Calendar Anomalies and Risk in the Wine Exchange Market. Asian Academy of Management Journal of Accounting and Finance, 8(1), 25–39. https://ejournal.usm.my/aamjaf/article/view/aamjaf_vol8-no1-2012_2