Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market

International Journal of Economics and Financial Issues, Vol. 1, No. 4, 2011, pp. 211-219

9 Pages Posted: 20 May 2012 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

Anastasios Tsamis

Panteion University of Athens

Date Written: 2011

Abstract

This paper uses a data set from FYROM Stock Exchange to investigate the presence of calendar effects in this recently organised equity market during the period 2002–2008. Five well known calendar effects are examined by both mean (OLS) and variance (GARCH) regressions; 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. Results indicate that two of the tested calendar effects are present in the MSE (day of the week and January effects) and conclusions using linear and various GARCH methodologies, always converged to the same results. This survey’s evidence are in line with the majority of similar research which report that calendar effects are still present especially in developing equity markets. However, considering the low level of liquidity and maturity of this market, we would expect more effects to appear significant.

Keywords: Calendar Anomalies, mean stock returns, volatility, FYROM

JEL Classification: C32, G10

Suggested Citation

Georgantopoulos, Andreas G. and Tsamis, Anastasios, Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market (2011). International Journal of Economics and Financial Issues, Vol. 1, No. 4, 2011, pp. 211-219 , Available at SSRN: https://ssrn.com/abstract=2062896

Andreas G. Georgantopoulos (Contact Author)

National and Kapodistrian University of Athens ( email )

Greece

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

136 Sygrou
Athens
Greece

Anastasios Tsamis

Panteion University of Athens ( email )

Athens
Athens 117 45
Greece

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