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Testing the Turn-of-the-Year Effect on Baltic Stock Exchanges

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  • Priit Sander
  • Risto Veiderpass

Abstract

This paper is testing the presence of the Turn-of-the-year effect on Baltic stock exchanges from 2000 to 2012. The results show that on index basis, the Turn-of-the-year effect was present on Baltic stock exchanges in all years. On the level of single stocks the effect varied by years and also by lists. In terms of single stocks, many stocks showed excess return on Baltic stock exchanges during the Turn-of-the-year period. The effect provided excess returns mostly on main list stocks, but not on secondary list stocks due to high bid-ask spreads.

Suggested Citation

  • Priit Sander & Risto Veiderpass, 2012. "Testing the Turn-of-the-Year Effect on Baltic Stock Exchanges," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(2), pages 145-154, December.
  • Handle: RePEc:rfb:journl:v:05:y:2013:i:2:p:145-154
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    References listed on IDEAS

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