Calendar Anomalies in Developed EU Stock Markets

Abstract

This paper investigates calendar anomalies for three highly developed EU stock markets (Germany, France, Austria) and their recently developed EU counterparts (Portugal and Greece). Five well known calendar effects on both return and volatility are examined; the day of the week, the January, the half month, the turn of the month and the time of the month effects. Evidence show that only one calendar effect for Germany and France and two calendar effects for Austria and Portugal exist. However, four calendar effects exist for Greece. These contradictory evidence could imply different levels of efficiency and maturity for the examined equity markets.

Keywords: Calendar anomalies, mean stock returns, volatility, data mining

JEL Classification: C32, G10