Calendar Anomalies in Emerging Balkan Equity Markets

International Economics and Finance Journal, Vol. 6, No. 1, pp. 67-82, 2011

16 Pages Posted: 3 Jun 2011 Last revised: 3 Jul 2019

See all articles by Andreas G. Georgantopoulos

Andreas G. Georgantopoulos

National and Kapodistrian University of Athens; Panteion University of Athens - Panteion University of Political and Social Sciences

Dimitris Kenourgios

National and Kapodistrian University of Athens - Department of Economics

Anastasios Tsamis

Panteion University of Athens

Date Written: January 3, 2011

Abstract

This paper investigates calendar anomalies for four emerging stock markets (Romania, Bulgaria, Croatia and Turkey) and their mature counterpart in the Balkan region (Greece), during the period 2000-2008. Five well known calendar effects on both return and volatility are examined: The day of the week effect, the January effect, the half month effect, the turn of the month effect and the time of the month effect. We provide evidence for the existence of three calendar effects (day of the week, turn of the month, time of the month) in both mean and volatility equations for Greece and Turkey, which is consistent to the findings of previous studies. On the other hand, the effects for the three emerging Balkan markets are limited and exist only in volatility. This contradictory evidence could be due to a different level of liquidity and maturity for these markets.

Keywords: C32, G10

JEL Classification: Calendar anomalies, mean stock returns, volatility, Balkan stock markets

Suggested Citation

Georgantopoulos, Andreas G. and Kenourgios, Dimitris and Tsamis, Anastasios, Calendar Anomalies in Emerging Balkan Equity Markets (January 3, 2011). International Economics and Finance Journal, Vol. 6, No. 1, pp. 67-82, 2011, Available at SSRN: https://ssrn.com/abstract=1856983

Andreas G. Georgantopoulos

National and Kapodistrian University of Athens ( email )

Greece

Panteion University of Athens - Panteion University of Political and Social Sciences ( email )

136 Sygrou
Athens
Greece

Dimitris Kenourgios (Contact Author)

National and Kapodistrian University of Athens - Department of Economics ( email )

1, Sofokleous Str
Office 521
Athens, 10559
Greece
+30 210 3689449 (Phone)

Anastasios Tsamis

Panteion University of Athens ( email )

Athens
Athens 117 45
Greece

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