An AHP model to evaluate the influence of calendar effects on investment choice

The aim of this paper is to apply the analytic hierarchy process (AHP) to an investment choice problem regarding two financial markets: France and Spain. Our model’s evaluation criteria are stock market return, government bond performance, the presence of calendar anomalies and the number of listed firms for both markets. As regard to stock market return, government bond and the number of listed firms, they are widely available from international database; instead, in order to study calendar anomalies, we have to perform some mean difference tests for different financial markets. Once we constructed the model, we collected data through questionnaires: the analysis involved 50 students from DEMM Department of the University of Sannio (Italy) who have worked on financial market simulators. The application of AHP shows that investors prefer diversified investments, with a prevalence of the French over the Spanish market; furthermore, in their choice, they are influenced by the presence of calendar anomalies.