IDEAS home Printed from https://ideas.repec.org/a/spr/operea/v17y2017i1d10.1007_s12351-015-0217-6.html
   My bibliography  Save this article

Why do we examine calendar anomalies only in financial markets? Month effect evidence from the Greek banking industry

Author

Listed:
  • Vasileiou Evangelos

    (University of the Aegean)

Abstract

Calendar anomalies (CAs) have been puzzling financial economists and practitioners for decades. The existence of CAs violates one of the most significant financial theories: the efficient market hypothesis (Fama in J Finance 25:383–417, 1970). Up to date most financial economists have examined the existence of CAs only in capital markets. However, as most scholars suggest, an economy’s financial structure includes two main distribution channels: financial markets and financial intermediaries. Therefore, a question that emerges is why do we examine the CAs only in financial markets? Banks are the most important amongst the financial intermediaries; therefore in this study we try to implement the CAs approach to banking. We present the theoretical framework and analytically explain how we apply this approach to banking. In order to examine whether CAs exist we implemented this newly suggested approach in the Greek time deposits market during the period 2003–2013 and we provided empirical evidence for a month effect pattern. The CAs existence: (1) is an indication of market inefficiency, (2) it could be an indirect way to conclude the window dressing (WD) implementation, which is a way to increase the bank opacity, (3) documents a new calendar effect, and (4) may suggest a new approach to the banking efficiency study. Moreover, CAs could be linked to bankers’ WD behavior, “forcing” them to increase the new offered bank premiums at the quarters’ end, in order to attract more deposits.

Suggested Citation

  • Vasileiou Evangelos, 2017. "Why do we examine calendar anomalies only in financial markets? Month effect evidence from the Greek banking industry," Operational Research, Springer, vol. 17(1), pages 99-114, April.
    • Handle: RePEc:spr:operea:v:17:y:2017:i:1:d:10.1007_s12351-015-0217-6
    DOI: 10.1007/s12351-015-0217-6
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s12351-015-0217-6
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s12351-015-0217-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Brooks,Chris, 2008. "RATS Handbook to Accompany Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9780521896955, January.
    2. Chan, Kam C & Gup, Benton E & Pan, Ming-Shiun, 1992. "An Empirical Analysis of Stock Prices in Major Asian Markets and the United States," The Financial Review, Eastern Finance Association, vol. 27(2), pages 289-307, May.
    3. Levine, Ross & Zervos, Sara, 1998. "Stock Markets, Banks, and Economic Growth," American Economic Review, American Economic Association, vol. 88(3), pages 537-558, June.
    4. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974, Elsevier.
    5. Gary Gorton, 2009. "Information, Liquidity, and the (Ongoing) Panic of 2007," American Economic Review, American Economic Association, vol. 99(2), pages 567-572, May.
    6. Boot, Arnoud W A & Thakor, Anjan V, 1997. "Financial System Architecture," The Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 693-733.
    7. Levine, Ross, 2002. "Bank-Based or Market-Based Financial Systems: Which Is Better?," Journal of Financial Intermediation, Elsevier, vol. 11(4), pages 398-428, October.
    8. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
    9. Allen, Linda & Saunders, Anthony, 1992. "Bank window dressing: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 16(3), pages 585-623, June.
    10. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    11. Chris Brooks & Simon Burke, 2003. "Information criteria for GARCH model selection," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 557-580.
    12. Evangelos Vasileiou & Aristeidis Samitas, 2015. "Does the financial crisis influence the month and the trading month effects?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(2), pages 181-203, June.
    13. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    14. Franklin Allen, 2004. "Financial Systems in Europe, the USA, and ASIA," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 20(4), pages 490-508, Winter.
    15. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    16. Evangelos Vasileiou, 2015. "Re-examination of the banking window dressing theory," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 23(3), pages 252-270, July.
    17. Evangelos Vasileiou, 2014. "Political Stability and Fianancial Crisis: What the data say for the European Union’s countries," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 3(1), pages 143-169, January.
    18. Demirguc-Kunt, Asli & Huizinga, Harry, 2004. "Market discipline and deposit insurance," Journal of Monetary Economics, Elsevier, vol. 51(2), pages 375-399, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    2. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
    3. Ahmad H. Juma’h & Yazan Alnsour, 2018. "Using Social Media Analytics: The Effect of President Trump’s Tweets On Companies’ Performance," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 17(1), pages 100-121, March.
    4. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    5. Demirguc-Kunt, Asli, 2006. "Finance and economic development : policy choices for developing countries," Policy Research Working Paper Series 3955, The World Bank.
    6. Geoffrey Poitras & Franck Jovanovic, 2010. "Pioneers of Financial Economics: Das Adam Smith Irrelevanzproblem?," History of Economics Review, Taylor & Francis Journals, vol. 51(1), pages 43-64, January.
    7. Gagan Sharma & Srividya Subramaniam & Sanjay Sehgal, 2021. "Are Prominent Equity Market Anomalies in India Fading Away?," Global Business Review, International Management Institute, vol. 22(1), pages 255-270, February.
    8. Shahid Ebrahim, M. & Hussain, Sikandar, 2010. "Financial development and asset valuation: The special case of real estate," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 150-162, January.
    9. Anna Blajer-Gołębiewska, 2021. "Individual corporate reputation and perception of collective corporate reputation regarding stock market investments," PLOS ONE, Public Library of Science, vol. 16(9), pages 1-21, September.
    10. Olena Oliynyk & Viktor Adamenko & Ludmila Oliynyk, 2015. "The Comparative Analysis of Financial System of Czech Republic, Poland and Ukraine," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(6), pages 2067-2076.
    11. Boudt, Kris & Raza, Muhammad Wajid & Wauters, Marjan, 2019. "Evaluating the Shariah-compliance of equity portfolios: The weighting method matters," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 406-417.
    12. Attiya Yasmeen Javid, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE Research Report 2000:3, Pakistan Institute of Development Economics.
    13. Peter Praetz & Michael Naphtali & John Nolan, 1975. "A Test of the Efficient Market Theory Using Filter Tests on Stock Prices," The Economic Record, The Economic Society of Australia, vol. 51(1), pages 66-72, March.
    14. Guo, Hui, 2006. "Time-varying risk premia and the cross section of stock returns," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2087-2107, July.
    15. Kingstone Nyakurukwa & Yudhvir Seetharam, 2023. "Higher moment connectedness of cryptocurrencies: a time-frequency approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 793-814, September.
    16. Beck, Thorsten & Levine, Ross, 2002. "Industry growth and capital allocation:*1: does having a market- or bank-based system matter?," Journal of Financial Economics, Elsevier, vol. 64(2), pages 147-180, May.
    17. Qianwei Ying & Tahir Yousaf & Qurat ul Ain & Yasmeen Akhtar & Muhammad Shahid Rasheed, 2019. "Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis," JRFM, MDPI, vol. 12(2), pages 1-22, June.
    18. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
    19. Ho, Sin-Yu, 2017. "The Macroeconomic Determinants of Stock Market Development: Evidence from Malaysia," MPRA Paper 77232, University Library of Munich, Germany.
    20. Huber, Christoph & Kirchler, Michael, 2023. "Experiments in finance: A survey of historical trends," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:operea:v:17:y:2017:i:1:d:10.1007_s12351-015-0217-6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.