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Calendar anomaly in the Greek stock market: Stochastic dominance analysis

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  • Al-Khazali, Osamah M.
  • Koumanakos, Evangelos P.
  • Pyun, Chong Soo

Abstract

Using stochastic dominance (SD) analysis, this paper examines calendar anomalies in the Athens Stock Exchange (ASE), an emerging market thrust into a path of rapid transition by the economic integration of Greece with the European Union. SD offers two essential analytical attributes: It requires no assumptions regarding the normality of return distributions, and it imposes few restrictions on investors' risk-return tradeoff preference. Between 1985 and 2004, we find temporal predictability of returns in the ASE -- a strong "day" effect and rather weak "week" and "January" effects. Our findings on the week and January effects are far less robust as compared to those reported in earlier studies based on parametric tests.

Suggested Citation

  • Al-Khazali, Osamah M. & Koumanakos, Evangelos P. & Pyun, Chong Soo, 2008. "Calendar anomaly in the Greek stock market: Stochastic dominance analysis," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 461-474, June.
    • Handle: RePEc:eee:finana:v:17:y:2008:i:3:p:461-474
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    3. Abdullah Al-Awadhi & Ahmad Bash & Fouad Jamaani, 2021. "Ramadan Effect: A Structural Time-Series Test," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(1), pages 260-269, January.
    4. Sheereen Fauzel, 2016. "A Generalized Autoregressive Conditional Heteroscedastic Approach for the Assessment of Weak-form-efficiency and Seasonality Effect: Evidence from Mauritius," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 745-755.
    5. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
    6. Olha Zadorozhna, 2012. "How much do the neighbors pay? Economic costs of international gas disputes," IEFE Working Papers 48, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy.
    7. Olfa Chaouachi & Imen Dhaou, 2020. "The Day of the Week Effect: Unconditional and Conditional Market Risk Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 10(6), pages 94-98.
    8. Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
    9. Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
    10. Al-Khazali, Osamah, 2014. "Revisiting fast profit investor sentiment and stock returns during Ramadan," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 158-170.
    11. Dicle, Mehmet F. & Levendis, John, 2011. "Greek market efficiency and its international integration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(2), pages 229-246, April.

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