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Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects

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  • Filipovski, Vladimir
  • Tevdovski, Dragan

Abstract

This paper examines the calendar effects in ten South Eastern European (SEE) stock markets daily returns during the period 2007 - 2014. We focus on three calendar effects: the day of the week effect, the half month effect and the turn of the month effect. Specifically, we analyze existence of each calendar effect separately in the mean and in the volatility of the index returns. We apply standard regression models with dummy variables for the effects in the mean returns, while we apply GARCH(1,1) models with dummy variables for the effects in the volatility of returns. The results present evidence that the day of the week effects in both mean and volatility are present in nine out of ten SEE stock markets. Contrary, the half month effect in mean returns is present only in one SEE stock market, while half month effect in volatility is present in five out of ten SEE stock markets. The turn of the month effect in mean returns is present in six out of ten SEE stock markets. The turn of the month effect in volatility is present in all SEE stock markets.

Suggested Citation

  • 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.
    • Handle: RePEc:pra:mprapa:76818
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    References listed on IDEAS

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    More about this item

    Keywords

    Calendar anomalies; Daily returns; Generalized autoregressive models; South Eastern Europe.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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