The calendar anomalies on Warsaw Stock Exchange
Michał Łukowski ()
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Michał Łukowski: Poznań University of Economics and Business, Faculty of Economics, Department of Monetary Policy and Financial Markets
Bank i Kredyt, 2019, vol. 50, issue 6, 529-550
Calendar anomalies are defined as any seasonal tendency that occurs in stock markets on a monthly, daily or intra-daily basis. This paper is an attempt to verify if selected calendar effects are present on the Warsaw Stock Exchange (WSE) for each level of data aggregation and to compare their strength in the case of big cap and small cap listed companies, as well as the main indices. I use daily data from 2014–2019 for stock market indices and randomly chosen companies listed on the WIG20 and the sWIG80 and intraday data from March to June 2019 for the same companies. Later, I employ Markov- -switching GARCH models in order to verify seasonal effects of each frequency. The conducted research proved that seasonal anomalies are present on the WSE but they mainly concern small cap companies and indices on which they are listed. On the basis of the obtained results I try to identify triggers of the calendar anomalies on the WSE.
Keywords: calendar anomalies; behavioural finance; MS-GARCH models; Warsaw Stock Exchange (search for similar items in EconPapers)
JEL-codes: G14 G40 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpbik:v:50:y:2019:i:6:p:529-550
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