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


  • Dimitar Tonchev
  • Tae-Hwan Kim


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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    References listed on IDEAS

    1. 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.
    2. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    3. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
    4. 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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    Cited by:

    1. Eleftherios Giovanis, 2014. "The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 7(3), pages 43-61, December.
    2. Betty Agnani & Henry Aray, 2011. "The January effect across volatility regimes," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 947-953.
    3. Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
    4. Högholm, Kenneth & Knif, Johan, 2009. "The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland," Global Finance Journal, Elsevier, vol. 20(1), pages 67-79.
    5. Iryna O. Depenchuk & William S. Compton & Robert A. Kunkel, 2010. "Ukrainian financial markets: an examination of calendar anomalies," Managerial Finance, Emerald Group Publishing, vol. 36(6), pages 502-510, May.
    6. Ke, Mei-Chu & Chiang, Yi-Chein & Liao, Tung Liang, 2007. "Day-of-the-week effect in the Taiwan foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2847-2865, September.
    7. Jan Hanousek & Evžen Kočenda, 2010. "Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU
      [Effect of Intraday Information Flow on the Emerging European Stock Markets]
      ," Politická ekonomie, University of Economics, Prague, vol. 2010(4), pages 435-457.
    8. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
    9. 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.
    10. Elvira Sojli, 2007. "Contagion in emerging markets: the Russian crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 197-213.
    11. Jan Hanousek & Evžen Kočenda, 2011. "Foreign News and Spillovers in Emerging European Stock Markets," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 170-188, February.
    12. Andrew C. Worthington, 2007. "National Exuberance: A Note On The Melbourne Cup Effect In Australian Stock Returns," Economic Papers, The Economic Society of Australia, vol. 26(2), pages 170-179, June.
    13. Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
    14. repec:blg:journl:v:12:y:2017:i:1:p:95-109 is not listed on IDEAS
    15. George Marrett & Andrew Worthington, 2009. "An empirical note on the holiday effect in the Australian stock market, 1996-2006," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1769-1772.
    16. Stavarek, Daniel & Heryan, Tomas, 2012. "Day of the week effect in central European stock markets," MPRA Paper 38431, University Library of Munich, Germany.

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