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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.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000264003
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Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 14 (2004)
Issue (Month): 14 ()
Pages: 1035-1043

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Handle: RePEc:taf:apfiec:v:14:y:2004:i:14:p:1035-1043
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  1. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
  2. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
  3. 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.
  4. 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.
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