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Analyzing Of Stock Exchange Index Movements In A Region With The Objective Of Extractsover-Average Yield

Author

Listed:
  • Milos Grujic

    (The Management Company of The Pension Reserve FundOf Republic of Srpska ad Banja Luka)

  • Perica Rajcevic

    (Vodovod a.d. Banja Luka)

Abstract

The paper uses publiclyavailable data from stock exchanges of EU member states in the region (Bulgarian, Croatian, etc.) and from stock exchanges in New York, Frankfurt, and Tokyo from the beginning of 2010 until now, representing a sample of more than 2,700 days of trading in equity securities. The research question is: "Do stock prices significantly increase or fall over specific days on the observed stock exchanges"? The second question is: "Do stock prices significantly (not) vary in certain months or days?" The methods usedin the paper are the analysis and synthesis of previous research, the expression of standard deviation, and the analysis of theoretical findings to draw conclusions from the deduction method. The research hypothesis is that there is an effect of "Blue Monday" and "The Halloween Effect" on stock exchanges in the region, as well as on major stock exchanges in the world. In other words, the stock market in the region has a herd effect. The results obtained are useful for the experts and the general public because they throw new light on trading on regional stock exchanges as it compares trends on local stock exchanges with trends in developed markets.

Suggested Citation

  • Milos Grujic & Perica Rajcevic, 2020. "Analyzing Of Stock Exchange Index Movements In A Region With The Objective Of Extractsover-Average Yield," Economic Science, education and the real economy: Development and interactions in the digital age, Publishing house Science and Economics Varna, issue 1, pages 660-670.
    • Handle: RePEc:vrn:cfdide:y:2020:i:1:p:660-670
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    File URL: https://ue-varna.bg/~uevarna/uploads/filemanager/303/publishing-complex/2020/Economic_science_education_real_economy_T3_2020.pdf
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    More about this item

    Keywords

    Blue Monday; Halloween Effect; Stock trading;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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