Calendar Anomalies in Developed EU Stock Markets

International Journal of Economics, Vol.6, No.1, June 2012

16 Pages Posted: 21 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 20, 2012

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

Suggested Citation

Georgantopoulos, Andreas G. and Tsamis, Anastasios, Calendar Anomalies in Developed EU Stock Markets (May 20, 2012). International Journal of Economics, Vol.6, No.1, June 2012, Available at SSRN: https://ssrn.com/abstract=2063020

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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