Calendar effects in Eastern European financial markets: evidence from the Czech Republic, Slovakia and Slovenia

Dimitar Tonchev and Tae-Hwan Kim ()

Applied Financial Economics, 2004, vol. 14, issue 14, 1035-1043

Abstract: This paper uses a new data set from three Eastern European countries (Czech Republic, Slovakia and Slovenia) to investigate whether the so-called calendar effects are present in the newly developing financial markets in those countries. Five calendar effects are examined in both mean by OLS regression and variance by GARCH; the day of the week effect, the January effect, the half-month effect, the turn of the month effect and the holiday effect. In the empirical analysis, very weak evidence has been found for the calendar effects in the three countries, and these effects, where they exist, have different characteristics in the different stock markets.

Date: 2004
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DOI: 10.1080/0960310042000264003

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