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Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia

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  • Dimitar Tonchev
  • Tae-Hwan Kim

Abstract

This paper uses a new data set from three Eastern European countries (Czech Republic, Slovakia and Slovenia) to investigate whether the so-called calendar effects are present in the newly developing financial markets in those countries. Five calendar effects are examined in both mean by OLS regression and variance by GARCH; the day of the week effect, the January effect, the half-month effect, the turn of the month effect and the holiday effect. In the empirical analysis, very weak evidence has been found for the calendar effects in the three countries, and these effects, where they exist, have different characteristics in the different stock markets.

Suggested Citation

  • Dimitar Tonchev & Tae-Hwan Kim, 2004. "Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 1035-1043.
    • Handle: RePEc:taf:apfiec:v:14:y:2004:i:14:p:1035-1043
    DOI: 10.1080/0960310042000264003
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