Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia
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.
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Volume (Year): 14 (2004)
Issue (Month): 14 ()
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005.
"Testing the significance of calendar effects,"
FRB Atlanta Working Paper
2005-02, Federal Reserve Bank of Atlanta.
- Terence Mills & J. Andrew Coutts, 1995. "Calendar effects in the London Stock Exchange FT-SE indices," The European Journal of Finance, Taylor & Francis Journals, vol. 1(1), pages 79-93.
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- Zainudin Arsad & J. Andrew Coutts, 1997. "Security price anomalies in the London International Stock Exchange: a 60 year perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 455-464.
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