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Do Seasonal Anomalies Still Exist In Central And Eastern European Countries? A Conditional Variance Approach

Author

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  • Alin Marius ANDRIEŞ

    (Alexandru Ioan Cuza University of Iasi, Faculty of Economics and Business Administration, 22 Carol I Boulevard, Iasi 700505, Romania.)

  • Iulian IHNATOV

    (Alexandru Ioan Cuza University of Iasi, Faculty of Economics and Business Administration, 22 Carol I Boulevard, Iasi 700505, Romania.)

  • Nicu SPRINCEAN

    (Alexandru Ioan Cuza University of Iasi, Faculty of Economics and Business Administration, 22 Carol I Boulevard, Iasi 700505, Romania.)

Abstract

Given the Efficient Market Hypothesis (EMH), the aim of this paper is to investigate three seasonal anomalies, both in return and volatility – that is, the day-of-the-week effect, the week-of-the-month effect, and the month-of-the effect, respectively, for a sample of 11 countries from Central and Eastern Europe area from 2000 to 2015 by employing a conditional variance approach. Our results show that the EMH does not hold for all the markets we have surveyed. Moreover, the seasonal effects are also present in the volatility equations. Therefore, these markets are not efficient, giving rise to arbitrage opportunities. Hence, the investors may take advantage of these anomalies by designing profitable trading strategies which account for transaction costs and make abnormal returns.

Suggested Citation

  • Alin Marius ANDRIEŞ & Iulian IHNATOV & Nicu SPRINCEAN, 2017. "Do Seasonal Anomalies Still Exist In Central And Eastern European Countries? A Conditional Variance Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 60-83, December.
  • Handle: RePEc:rjr:romjef:v::y:2017:i:4:p:60-83
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    References listed on IDEAS

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    2. Josip ARNERIĆ & Blanka ŠKRABIĆ PERIĆ, 2018. "Panel GARCH Model with Cross-Sectional Dependence between CEE Emerging Markets in Trading Day Effects Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 71-84, December.
    3. Tihana Škrinjarić, 2018. "Testing for Seasonal Affective Disorder on Selected CEE and SEE Stock Markets," Risks, MDPI, vol. 6(4), pages 1-26, December.

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    More about this item

    Keywords

    seasonal anomalies; efficient market hypothesis; arbitrage; stock market;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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