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, 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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.rfb.ase.ro/articole/ARTICOLIV5.pdf Full text (application/pdf)

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:rfb:journl:v:05:y:2013:i:2:p:145-154

Access Statistics for this article

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

More articles in The Review of Finance and Banking from Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante Strada Mihai Eminescu nr.13-15, sector 1, Bucuresti, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Tatu Lucian ().