Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market

Andreas Georgantopoulos () and Anastasios Tsamis
Additional contact information
Anastasios Tsamis: Department of Public Administration, Panteion University of Political and Social Sciences, Greece.

International Journal of Economics and Financial Issues, 2011, vol. 1, issue 4, 211-219

Abstract: This paper uses a data set from FYROM Stock Exchange to investigate the presence of calendar effects in this recently organised equity market during the period 2002 2008. Five well known calendar effects are examined by both mean (OLS) and variance (GARCH) regressions; the day of the week effect, the January effect, the half month effect, the turn of the month effect and the time of the month effect. Results indicate that two of the tested calendar effects are present in the MSE (day of the week and January effects) and conclusions using linear and various GARCH methodologies, always converged to the same results. This survey's evidence are in line with the majority of similar research which report that calendar effects are still present especially in developing equity markets. However, considering the low level of liquidity and maturity of this market, we would expect more effects to appear significant.

Keywords: Calendar Anomalies; mean stock returns; volatility; FYROM (search for similar items in EconPapers)
JEL-codes: C32 G10 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://econjournals.com/index.php/ijefi/article/download/59/pdf (application/pdf)
http://econjournals.com/index.php/ijefi/article/view/59/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2011-04-7

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().