Seasonality in the Athens stock exchange
AbstractThis paper studies calendar effects in the emerging Athens Stock Exchange. Rather than examining only basket indices, we analyse calendar effects for each of the constituent stocks of the Athens Stock Exchange General Index for the period from October 1986 to April 1997. In accordance with similar studies substantial evidence of 'day-of-the week', 'monthly', 'trading month' and 'holiday' effects are found. The intensity of these effects for various stocks on the basis of capitalization, beta coefficients and company type are examined. The results indicate that the calendar regularities vary significantly across the constituent shares of the General Index and that aggregation introduces a considerable bias in unravelling these regularities. Also, it is found that factors such as the beta coefficient and company type influence significantly the intensity of calendar effects.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 10 (2000)
Issue (Month): 2 ()
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