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The Montenegrin Capital Market: Calendar Anomalies

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  • Vesna Karadžic
  • Tamara Backovic Vulic

Abstract

Many researchers have shown that capital markets in CEE countries are weakly efficient in terms of calendar anomalies. The goal of this paper is to investigate whether the capital market in Montenegro is efficient regarding some of these anomalies. The main characteristics of the Montenegrin capital market are briefly explained. The empirical analysis is done on the daily values data of stock market index NEX20. An investigation of the January effect is implemented with the graphical representation of the rate of return for all the months of the seven-year period and by estimation of a regression model of return on index NEX20. The intercept represents the value of the return in January and it is insignificant. The holiday effect, tested by graphical representation for the Statehood Day data, was not present in the whole period. To investigate the turn-of-the-month effect we employed the graphical representation and regression model of the return rate on index NEX20 for the last week of every month and for the rest of the month. The value of the intercept, representing return for the last week of the month, is significant. The absence of some tested calendar anomalies suggests that the Montenegrin capital market is becoming more efficient.

Suggested Citation

  • Vesna Karadžic & Tamara Backovic Vulic, 2011. "The Montenegrin Capital Market: Calendar Anomalies," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 56(191), pages 107-122, October-D.
    • Handle: RePEc:beo:journl:v:56:y:2011:i:191:p:107-122
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    References listed on IDEAS

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    Cited by:

    1. Tamara Backović & Vesna Karadžić & Sergej Gričar & Štefan Bojnec, 2023. "Montenegrin Stock Exchange Market on a Short-Term Perspective," JRFM, MDPI, vol. 16(7), pages 1-18, June.
    2. 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.

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    More about this item

    Keywords

    efficient capital market; calendar anomalies; the January effect; the turn-of-the-month effect; the holiday effect;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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