Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala

Testing the significance of calendar effects on croatian capital market

Bojan Tomić

MPRA Paper from University Library of Munich, Germany

Abstract: Using different techniques, models and strategies investors are trying to construct their own portfolio whose dynamic performance should beat the market, or portfolio that should achieve yields more than the yield of the market in equilibrium. Active search for undervalued stocks, as well as the continuous trading with them, should result in a efficient market, which reflects aggregate value of all relevant and available information related to the individual instruments. This definition suggests that the use of any kind technique, analysis and strategies to project future prices of securities may not achieve desired result of investors, because the relevant informations are already integrated in the market price. On the other hand, if the efficient markets hypothesis is accurate, calendar anomalies should not exist. The Monday effect, the day of the week or the weekend effect are the calendar anomalies that have already been tested and proven in the developed capital markets, as well as in the emerging markets. They are expressed so that a specific day of the week can affect the dynamics of share return. This paper examines the presence of Monday effect, the day of the week effect, as well as the presence of the week of the month effects in the Croatian capital market. The results confirm the existence of Monday effect, but also and the presence of other calendar patterns, which brings into question the accuracy of the efficient markets hypothesis, as well as the very efficiency of the Croatian capital market.

Keywords: CROBEX; linear regression; categorical variables; the day of the week effect; the week of the month effects. (search for similar items in EconPapers)
JEL-codes: C22 C23 C25 C58 G11 (search for similar items in EconPapers)
Date: 2016-06
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Published in Accounting and Management 17th International Scientific and Professional Conference (2016): pp. 175-192

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