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
Date Written: May 20, 2012
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: Suggested Citation