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Business & Economics

NEW INSIGHTS ON CALENDAR ANOMALIES IN CEE STOCK MARKETS
Marius Cristian Milos, Liliana Donath, Miruna Nachescu, Roxana Hetes, Cristina Cerba

ABSTRACT: Calendar anomalies are an intriguing research topic, but few studies are dedicated to CEE stock markets. The paper tests four calendar anomalies, i.e. Day of the week, Turn of the month, Month of the year and the Holiday effects for eight CEE countries from 2008 to 2019. Garch (1,1) models with dummy variables are employed to test the consequences on the dynamics of stock market returns. The results for CEE countries are benchmarked against similar effects in selected EU-developed countries (France, Germany and the United Kingdom), proven to be more efficient and rational. The study concludes that the investigated anomalies are influencing these markets differently, with the notable exception of the Polish one: The January effect influences most of the CEE stock markets, four markets are affected by the Turn of the month, three markets by the Day of the week and two by the Holiday effect.

KEYWORDS:  return seasonality, calendar anomalies, efficient market hypothesis, CEE stock market, Garch estimation

JEL classification:  G11, G14, G15.