A multidimensional classification of market anomalies: Evidence from 76 price indices

► We analyse 76 closing price indices from all major markets around the world. ► We use 17 different anomaly indicators (statistical tests). ► We find most indices exhibit some type(s) of anomaly. ► EMH indicators differ from each other in terms of statistical power and/or the type of anomaly detected. ► Market anomalies, and the indicators, can be classified, using Principal Components Analysis, into several independent categories.