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Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala
[Testing the significance of calendar effects on croatian capital market]

Author

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  • Tomić, Bojan

Abstract

Using different techniques, models and strategies investors are trying to construct their own portfolio whose dynamic performance should beat the market, or portfolio that should achieve yields more than the yield of the market in equilibrium. Active search for undervalued stocks, as well as the continuous trading with them, should result in a efficient market, which reflects aggregate value of all relevant and available information related to the individual instruments. This definition suggests that the use of any kind technique, analysis and strategies to project future prices of securities may not achieve desired result of investors, because the relevant informations are already integrated in the market price. On the other hand, if the efficient markets hypothesis is accurate, calendar anomalies should not exist. The Monday effect, the day of the week or the weekend effect are the calendar anomalies that have already been tested and proven in the developed capital markets, as well as in the emerging markets. They are expressed so that a specific day of the week can affect the dynamics of share return. This paper examines the presence of Monday effect, the day of the week effect, as well as the presence of the week of the month effects in the Croatian capital market. The results confirm the existence of Monday effect, but also and the presence of other calendar patterns, which brings into question the accuracy of the efficient markets hypothesis, as well as the very efficiency of the Croatian capital market.

Suggested Citation

  • Tomić, Bojan, 2016. "Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala [Testing the significance of calendar effects on croatian capital market]," MPRA Paper 73311, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:73311
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    CROBEX; linear regression; categorical variables; the day of the week effect; the week of the month effects.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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