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Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market

Author

Listed:
  • Andreas Georgantopoulos

    (Department of Public Administration, Panteion University of Political and Social Sciences, Greece.)

  • Anastasios Tsamis

    (Department of Public Administration, Panteion University of Political and Social Sciences, Greece.)

Abstract

This paper uses a data set from FYROM Stock Exchange to investigate the presence of calendar effects in this recently organised equity market during the period 2002 2008. Five well known calendar effects are examined by both mean (OLS) and variance (GARCH) regressions; 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. Results indicate that two of the tested calendar effects are present in the MSE (day of the week and January effects) and conclusions using linear and various GARCH methodologies, always converged to the same results. This survey's evidence are in line with the majority of similar research which report that calendar effects are still present especially in developing equity markets. However, considering the low level of liquidity and maturity of this market, we would expect more effects to appear significant.

Suggested Citation

  • Andreas Georgantopoulos & Anastasios Tsamis, 2011. "Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 211-219.
    • Handle: RePEc:eco:journ1:2011-04-7
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    References listed on IDEAS

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    Cited by:

    1. Filipovski, Vladimir & Tevdovski, Dragan, 2017. "Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects," MPRA Paper 76818, University Library of Munich, Germany.
    2. Dragan Tevdovski & Martin Mihajlov & Igor Sazdovski, 2012. "The Day Of The Week Effect In South Eastern Europe Stock Markets," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 20-24, September.

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    More about this item

    Keywords

    Calendar Anomalies; mean stock returns; volatility; FYROM;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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