Journal of Security and Sustainability Issues

Investment in the modern world is growing (according to EUROSTAT, the annual growth rate for non-professional investors in Europe is 3% between 2016 and 2018) and both professional and non-professional investors are becoming market participants. For these reasons the sustainability of financial markets effects are becoming very important and widely discussed topic. According to Khan (2011), the ability to use calendar effects properly can bring profits. In order to understand calendar effects behavioral finance theory plays an important role. It explains the factors behind investor behavior that cause markets to have effects like black Friday, January, weekend, Halloween and many other. Calendar effects sustainability are one of the most widely discussed topics in the financial market literature because their analysis is able to explain changes in returns. This research analyzed US financial market based on S&P 500 index changes. In examined 2009-2018 period black Friday effect is no longer sustainable. Meanwhile January and Halloween effects were sustainable. Obtained results further more confirm importance of examining calendar effects and approves ideas of behavioral finance theory authors.