DO SEASONAL ANOMALIES STILL EXIST IN CENTRAL AND EASTERN EUROPEAN COUNTRIES? A CONDITIONAL VARIANCE APPROACH

Alin Marius Andrieş (), Iulian Ihnatov () and Nicu Sprincean
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Alin Marius Andrieş: Alexandru Ioan Cuza University of Iasi, Faculty of Economics and Business Administration, 22 Carol I Boulevard, Iasi 700505, Romania.
Iulian Ihnatov: Alexandru Ioan Cuza University of Iasi, Faculty of Economics and Business Administration, 22 Carol I Boulevard, Iasi 700505, Romania.
Authors registered in the RePEc Author Service: Alin Marius Andrieș

Journal for Economic Forecasting, 2017, issue 4, 60-83

Abstract: Given the Efficient Market Hypothesis (EMH), the aim of this paper is to investigate three seasonal anomalies, both in return and volatility – that is, the day-of-the-week effect, the week-of-the-month effect, and the month-of-the effect, respectively, for a sample of 11 countries from Central and Eastern Europe area from 2000 to 2015 by employing a conditional variance approach. Our results show that the EMH does not hold for all the markets we have surveyed. Moreover, the seasonal effects are also present in the volatility equations. Therefore, these markets are not efficient, giving rise to arbitrage opportunities. Hence, the investors may take advantage of these anomalies by designing profitable trading strategies which account for transaction costs and make abnormal returns.

Keywords: seasonal anomalies; efficient market hypothesis; arbitrage; stock market (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2017:i:4:p:60-83

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