A Comparative Study on Calendar Effects: Greece vs Bulgaria
International Journal of Economic Research, Forthcoming
14 Pages Posted: 20 May 2012 Last revised: 3 Jul 2019
Date Written: May 19, 2012
This paper investigates calendar anomalies for one emerging stock market (Bulgaria) and its matured counterpart in the Balkan region (Greece) during the period 2002–2008. Five popular calendar effects on both mean and variance 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. Most of the tested effects exist for Greece. On the other hand, the effects for Bulgaria are limited and exist only in variance. This contradictory evidence could be due to different levels of liquidity, capitalisation and maturity for these markets.
Keywords: calendar anomalies, OLS, GARCH, Balkan economies
JEL Classification: C32, G10
Suggested Citation: Suggested Citation