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The Month-of-the-Year Effect in Post-Communist East European Stock Markets

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  • Elena Valentina Tilica

Abstract

This paper studies the month-of-the-year (MOY) effect between 2004 and 2014, also considering the impact of the 2008 crisis. MOYis present in most East European countries, but the patterns changebetween countries and, also, as a result of the crisis.Thus, markets should be analyzed separately and periodically, especially after important events, as their behavior changes. It appears that some markets try to correct the observed pattern in the same year, by creatingan inverse one. This creates another opportunity for informed investors to create profitable strategies, a sign that the level of efficiency on the markets is low.

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  • Elena Valentina Tilica, 2014. "The Month-of-the-Year Effect in Post-Communist East European Stock Markets," 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. 6(1), pages 029-040, June.
  • Handle: RePEc:rfb:journl:v:06:y:2014:i:1:p:029-040
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