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Testing the Turn-of-the-Year Effect on Baltic Stock Exchanges

Priit Sander and Risto Veiderpass

The Review of Finance and Banking, 2012, vol. 05, issue 2, pages 145-154

Abstract: This paper is testing the presence of the Turn-of-the-year effect on Baltic stock exchanges from 2000 to 2012. The results show that on index basis, the Turn-of-the-year effect was present on Baltic stock exchanges in all years. On the level of single stocks the effect varied by years and also by lists. In terms of single stocks, many stocks showed excess return on Baltic stock exchanges during the Turn-of-the-year period. The effect provided excess returns mostly on main list stocks, but not on secondary list stocks due to high bid-ask spreads.

Date: 2012
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The Review of Finance and Banking is currently edited by Victor Dragota; Bogdan Negrea

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