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Calendar anomalies in Athens Exchange Stock Market

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Author Info
Giovanis, Eleftherios

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Abstract

The purpose of this paper is to examine if there are calendar anomalies in the Greek Stock market and to confirm the findings of other researches . Specifically two models are presented, one for the day of the week effect test and other for the month of the year effect.

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File URL: http://mpra.ub.uni-muenchen.de/7964/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7964.

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Date of creation: 18 Jan 2008
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Handle: RePEc:pra:mprapa:7964

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Related research
Keywords: day of the week effect month effect January and Monday effect rolling regression ARCH GARCH

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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This page was last updated on 2008-11-18.

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