Template-Type: ReDIF-Article 1.0
Author-Name: Hooi Hooi Lean  
Author-Workplace-Name: Economics Program, School of Social Sciences, Universiti Sains Malaysia, 11800 Pulau Pinang, Malaysia  
Author-Email: hooilean@usm.my
Author-Name: Christine Siew Pyng Chong 
Author-Workplace-Name: School of Business Studies, Kolej Tunku Abdul Rahman, 77, Lorong Lembah Permai Tiga, 11200 Tanjong Bungah, Pulau Pinang, Malaysia
Title: Calendar Anomalies and Risk in the Wine Exchange Market
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.
Classification-JEL:
Keywords: wine, monthly effect, efficient market hypothesis, risk, GARCH 
Journal: Asian Academy of Management Journal of Accounting and Finance
Pages: 25-39
Volume: 8
Issue: 1
Year: 2012
File-URL: http://web.usm.my/journal/aamjaf/vol 8-1-2012/8-1-2.pdf
File-Format: Application/pdf
Handle: RePEc:usm:journl:aamjaf00801_25-39