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

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: May 19, 2012

Abstract

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

Georgantopoulos, Andreas G. and Tsamis, Anastasios, A Comparative Study on Calendar Effects: Greece vs Bulgaria (May 19, 2012). International Journal of Economic Research, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2062898

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

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
13
Abstract Views
371
PlumX Metrics