Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala (Testing the Significance of Calendar Effects on Croatian Capital Market)

17. Konferencija RiM - zbornik znanstvenih radova; str: 175 - 192, 2016

18 Pages Posted: 17 Aug 2020

See all articles by Bojan Tomić

Bojan Tomić

EFFECTUS University College for Law and Finance

Date Written: April 21, 2016

Abstract

Croatian Abstract: Investitori primjenom različitih tehnika, modela i strategija pokušavaju konstruirati vlastiti portfelj čija bi dinamika performansi trebala pobijediti tržište, odnosno portfelj koji bi trebao ostvariti prinose više od prinosa tržišta u ravnoteži. Aktivnosti potrage za podcijenjenim dionicama, kao i kontinuirano trgovanje s njima, trebalo bi rezultirati tržištem koje je informacijski efikasno, tj. tržištem čija agregatna vrijednost odražava sve relevantne i dostupne informacije vezane za pojedine instrumente. Navedena definicija sugerira da primjena bilo kakvih tehnika, analiza i strategija s ciljem projekcije buduće cijene vrijednosnice ne može ostvariti željeni rezultat investitora jer su dostupne relevantne informacije već integrirane u tržišnu cijenu. S druge strane, ukoliko je hipoteza o efikasnosti tržišta točna, kalendarski sezonaliteti ne bi trebali postojati. Efekt ponedjeljka, dana u tjednu, odnosno vikend efekt su kalendarske anomalije koje su već ispitivane i dokazane na razvijenim tržištima kapitala, kao i na tržištima u nastajanju. Očituju se tako da određeni dan u tjednu može utjecati na dinamiku prinosa dionica. U ovom se radu ispituje prisutnost efekta ponedjeljka, efekta dana u tjednu, kao i prisutnost efekta tjedna u mjesecu na hrvatskom tržištu kapitala. Dobiveni rezultati potvrđuju postojanje efekta ponedjeljka, ali i prisutnost drugih kalendarskih obrazaca, čime se dovodi u pitanje točnost hipoteze o efikasnosti tržišta, kao i same efikasnosti hrvatskog tržišta kapitala.

English Abstract: Using different techniques, models and strategies investors are trying to construct their own portfolio whose dynamic performance should beat the market, or portfolio that should achieve yields more than the yield of the market in equilibrium. Active search for undervalued stocks, as well as the continuous trading with them, should result in a efficient market, which reflects aggregate value of all relevant and available information related to the individual instruments. This definition suggests that the use of any kind technique, analysis and strategies to project future prices of securities may not achieve desired result of investors, because the relevant information are already integrated in the market price. On the other hand, if the efficient markets hypothesis is accurate, calendar anomalies should not exist. The Monday effect, the day of the week or the weekend effect are the calendar anomalies that have already been tested and proven in the developed capital markets, as well as in the emerging markets. They are expressed so that a specific day of the week can affect the dynamics of share return. This paper examines the presence of Monday effect, the day of the week effect, as well as the presence of the week of the month effects in the Croatian capital market. The results confirm the existence of Monday effect, but also and the presence of other calendar patterns, which brings into question the accuracy of the efficient markets hypothesis, as well as the very efficiency of the Croatian capital market.

Note: Downloadable document available in Croatian.

Keywords: CROBEX, Linear Regression, Categorical Variables, the Day of the Week Effect, the Week of the Month Effects

JEL Classification: G11,G14

Suggested Citation

Tomić, Bojan, Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala (Testing the Significance of Calendar Effects on Croatian Capital Market) (April 21, 2016). 17. Konferencija RiM - zbornik znanstvenih radova; str: 175 - 192, 2016, Available at SSRN: https://ssrn.com/abstract=3632928

Bojan Tomić (Contact Author)

EFFECTUS University College for Law and Finance ( email )

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