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Seasonality in the Athens stock exchange


  • T. C. Mills
  • C. Siriopoulos
  • R. N. Markellos
  • D. Harizanis


This paper studies calendar effects in the emerging Athens Stock Exchange. Rather than examining only basket indices, we analyse calendar effects for each of the constituent stocks of the Athens Stock Exchange General Index for the period from October 1986 to April 1997. In accordance with similar studies substantial evidence of 'day-of-the week', 'monthly', 'trading month' and 'holiday' effects are found. The intensity of these effects for various stocks on the basis of capitalization, beta coefficients and company type are examined. The results indicate that the calendar regularities vary significantly across the constituent shares of the General Index and that aggregation introduces a considerable bias in unravelling these regularities. Also, it is found that factors such as the beta coefficient and company type influence significantly the intensity of calendar effects.

Suggested Citation

  • T. C. Mills & C. Siriopoulos & R. N. Markellos & D. Harizanis, 2000. "Seasonality in the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 137-142.
  • Handle: RePEc:taf:apfiec:v:10:y:2000:i:2:p:137-142 DOI: 10.1080/096031000331761

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    Cited by:

    1. Hamori, Shigeyuki, 2001. "Seasonality and stock returns: some evidence from Japan," Japan and the World Economy, Elsevier, vol. 13(4), pages 463-481, December.
    2. Floros, Ch. & Failler, P., 2004. "Seasonaility and Cointegration in the Fishing Industry of Conrwall," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(4), pages 27-52.
    3. Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, University of Bonn, ZEI - Center for European Integration Studies.
    4. Nikolaos Sariannidis & Polyxeni Papadopoulou & Evangelos Drimbetas, 2015. "Investigation of the Greek Stock Exchange volatility and the impact of foreign markets from 2007 to 2012," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 8(2), pages 55-68, October.
    5. Andrew Worthington, 2010. "The decline of calendar seasonality in the Australian stock exchange, 1958–2005," Annals of Finance, Springer, vol. 6(3), pages 421-433, July.
    6. Giovanis, Eleftherios, 2009. "The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets," MPRA Paper 22328, University Library of Munich, Germany.
    7. Nikolaos Sariannidis & Evangelos Drimbetas, 2008. "Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 119-119.
    8. Evangelos Drimbetas & Nikolaos Sariannidis & Nicos Porfiris, 2007. "The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 139-148.
    9. Giovanis, Eleftherios, 2009. "Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB," MPRA Paper 22326, University Library of Munich, Germany.
    10. Alexandros Leontitsis & Costas Siriopoulos, 2006. "Nonlinear forecast of financial time series through dynamical calendar correction," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(5), pages 337-340, September.
    11. Al-Khazali, Osamah M. & Koumanakos, Evangelos P. & Pyun, Chong Soo, 2008. "Calendar anomaly in the Greek stock market: Stochastic dominance analysis," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 461-474, June.
    12. Dicle, Mehmet F. & Levendis, John, 2011. "Greek market efficiency and its international integration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 229-246, April.

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