IDEAS home Printed from https://ideas.repec.org/a/rfb/journl/v06y2014i1p029-040.html
   My bibliography  Save this article

The Month-of-the-Year Effect in Post-Communist East European Stock Markets

Author

Listed:
  • Elena Valentina Tilica

Abstract

This paper studies the month-of-the-year (MOY) effect between 2004 and 2014, also considering the impact of the 2008 crisis. MOYis present in most East European countries, but the patterns changebetween countries and, also, as a result of the crisis.Thus, markets should be analyzed separately and periodically, especially after important events, as their behavior changes. It appears that some markets try to correct the observed pattern in the same year, by creatingan inverse one. This creates another opportunity for informed investors to create profitable strategies, a sign that the level of efficiency on the markets is low.

Suggested Citation

  • Elena Valentina Tilica, 2014. "The Month-of-the-Year Effect in Post-Communist East European Stock Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(1), pages 029-040, June.
    • Handle: RePEc:rfb:journl:v:06:y:2014:i:1:p:029-040
    as

    Download full text from publisher

    File URL: http://www.rfb.ase.ro/articole/ARTICOL_III_nr6.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Chang, Eric C. & Michael Pinegar, J. & Ravichandran, R., 1998. "US day-of-the-week effects and asymmetric responses to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 513-534, May.
    2. Josef Lakonishok, Seymour Smidt, 1988. "Are Seasonal Anomalies Real? A Ninety-Year Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 403-425.
    3. Floros, Christos & Salvador, Enrique, 2014. "Calendar anomalies in cash and stock index futures: International evidence," Economic Modelling, Elsevier, vol. 37(C), pages 216-223.
    4. repec:hur:ijaraf:v:4:y:2014:i:2:p:23-29 is not listed on IDEAS
    5. Dragota, Victor & Mitrica, Eugen, 2004. "Emergent capital markets' efficiency: The case of Romania," European Journal of Operational Research, Elsevier, vol. 155(2), pages 353-360, June.
    6. Dragos Stefan Oprea & Laura Brad, 2014. "Investor Sentiment and Stock Returns: Evidence from Romania," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 19-25, April.
    7. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    8. Agrawal, Anup & Tandon, Kishore, 1994. "Anomalies or illusions? Evidence from stock markets in eighteen countries," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 83-106, February.
    9. Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.
    10. Ariss, Rima Turk & Rezvanian, Rasoul & Mehdian, Seyed M., 2011. "Calendar anomalies in the Gulf Cooperation Council stock markets," Emerging Markets Review, Elsevier, vol. 12(3), pages 293-307, September.
    11. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    12. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    13. repec:agr:journl:v:11(588):y:2013:i:11(588):p:101-116 is not listed on IDEAS
    14. Kian‐Ping Lim & Robert Brooks, 2011. "The Evolution Of Stock Market Efficiency Over Time: A Survey Of The Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 69-108, February.
    15. Alexandru Todea & Dorina Lazar, 2012. "Global Crisis and Relative Efficiency: Empirical Evidence from Central and Eastern European Stock Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 045-053, June.
    16. Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.
    17. Dragoş Ştefan OPREA, 2013. "Anomalies on the capital markets from the former communist European countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(11(588)), pages 101-116, November.
    18. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ibrahim Bozkurt & Mercan Hatipoglu, 2017. "The Relationship between Parasocial breakup and Investor Behaviours," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 7(3), pages 87-96, July.
    2. Vilija Aleknevičienė & Vaida Klasauskaitė & Eglė Aleknevičiūtė, 2022. "Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets," Journal of Baltic Studies, Taylor & Francis Journals, vol. 53(2), pages 187-210, April.
    3. Filipovski, Vladimir & Tevdovski, Dragan, 2017. "Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects," MPRA Paper 76818, University Library of Munich, Germany.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stefanescu, Răzvan & Dumitriu, Ramona, 2016. "The impact of the Great Lent and of the Nativity Fast on the Bucharest Stock Exchange," MPRA Paper 89023, University Library of Munich, Germany, revised 22 Dec 2016.
    2. Stephen Keef & Melvin Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 107-119.
    3. Alin Marius ANDRIEŞ & Iulian IHNATOV & Nicu SPRINCEAN, 2017. "Do Seasonal Anomalies Still Exist In Central And Eastern European Countries? A Conditional Variance Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 60-83, December.
    4. Dragos Stefan Oprea, 2014. "The Halloween Effect Evidence from Romania," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(7), pages 463-471, July.
    5. Charles, Amélie, 2010. "The day-of-the-week effects on the volatility: The role of the asymmetry," European Journal of Operational Research, Elsevier, vol. 202(1), pages 143-152, April.
    6. Abdul Rashid & Saba Kausar, 2019. "Testing the Monthly Calendar Anomaly of Stock Returns in Pakistan: A Stochastic Dominance Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(1), pages 83-104.
    7. Dragos Stefan Oprea & Elena Valentina Tilica, 2014. "Day-of-the-Week Effect in Post-Communist East European Stock Markets," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(3), pages 119-129, July.
    8. Mostafa Saidur Rahim Khan & Naheed Rabbani, 2019. "Market Conditions and Calendar Anomalies in Japanese Stock Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 187-209, June.
    9. Auer, Benjamin R. & Rottmann, Horst, 2014. "Is there a Friday the 13th effect in emerging Asian stock markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 1(C), pages 17-26.
    10. Victor Dragota & Dragos Stefan Oprea, 2014. "Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(1), pages 015-028, June.
    11. Jonathan Wiley & Leonard Zumpano, 2009. "Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 180-201, August.
    12. Ramona DUMITRIU & Razvan STEFANESCU, 2014. "Gone Fishin’ Effects In Returns," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 254-261.
    13. Seif, Mostafa & Docherty, Paul & Shamsuddin, Abul, 2017. "Seasonal anomalies in advanced emerging stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 169-181.
    14. 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.
    15. Qadan, Mahmoud & Kliger, Doron, 2016. "The short trading day anomaly," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 62-80.
    16. Taufeeque Ahmad Siddiqui & Isha Narula, 2013. "Market Efficiency and Anomalies: Evidences from S&P CNX NIFTY," Vision, , vol. 17(3), pages 233-245, September.
    17. Elena Valentina Tilica, 2018. "Turn-of-the-month and day-of-the-week patterns: two for the price of one? The Romanian situation," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 10(1), pages 047-058, June.
    18. Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    19. Andrew Coutts & Christos Kaplanidis & Jennifer Roberts, 2000. "Security price anomalies in an emerging market: the case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 561-571.
    20. P. Kearns & A.R. Pagan, 1993. "Australian Stock Market Volatility: 1875–1987," The Economic Record, The Economic Society of Australia, vol. 69(2), pages 163-178, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rfb:journl:v:06:y:2014:i:1:p:029-040. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tatu Lucian (email available below). General contact details of provider: https://edirc.repec.org/data/ffasero.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.