The monthly and trading month effects in Greek stock market returns: 1996‐2002

The monthly and trading month effects in Greek stock market returns: 1996‐2002 Purpose – The paper aims to investigate the monthly and trading month effects in the stock market returns of the ASE using daily data before and after the crisis of 1999‐2001. In addition, the study seeks to consider data from both periods of the ASE, before and after the upgrade of the market (May 2001). Design/methodology/approach – This paper examines the calendar effects in the Greek stock market returns using an ordinary least squares (OLS) model. Daily closing prices of the General ASE Index, FTSE/ASE‐20 and FTSE/ASE Mid 40 are used to calculate daily returns. The time period includes data from 26 November 1996 to 12 July 2002 for General ASE Index, 23 September 1997‐30 August 2001 for FTSE/ASE‐20 and 8 December 1999‐30 August 2001 for FTSE/ASE Mid 40. Findings – The results show that there is no January effect. In other words, daily returns are not higher in January than in any other month. Moreover, the results for the trading month effect show higher (but not significant) returns over the first fortnight of the month. Practical implications – The results have important implications for both traders and investors. The findings are strongly recommended to financial managers dealing with Greek stock indices. Originality/value – The contribution of this paper is to provide evidence using data before and after the financial crisis of 1999‐2001 in Greece. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Managerial Finance Emerald Publishing

The monthly and trading month effects in Greek stock market returns: 1996‐2002

Managerial Finance, Volume 34 (7): 12 – Jun 6, 2008

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Publisher
Emerald Publishing
Copyright
Copyright © 2008 Emerald Group Publishing Limited. All rights reserved.
ISSN
0307-4358
DOI
10.1108/03074350810874415
Publisher site
See Article on Publisher Site

Abstract

Purpose – The paper aims to investigate the monthly and trading month effects in the stock market returns of the ASE using daily data before and after the crisis of 1999‐2001. In addition, the study seeks to consider data from both periods of the ASE, before and after the upgrade of the market (May 2001). Design/methodology/approach – This paper examines the calendar effects in the Greek stock market returns using an ordinary least squares (OLS) model. Daily closing prices of the General ASE Index, FTSE/ASE‐20 and FTSE/ASE Mid 40 are used to calculate daily returns. The time period includes data from 26 November 1996 to 12 July 2002 for General ASE Index, 23 September 1997‐30 August 2001 for FTSE/ASE‐20 and 8 December 1999‐30 August 2001 for FTSE/ASE Mid 40. Findings – The results show that there is no January effect. In other words, daily returns are not higher in January than in any other month. Moreover, the results for the trading month effect show higher (but not significant) returns over the first fortnight of the month. Practical implications – The results have important implications for both traders and investors. The findings are strongly recommended to financial managers dealing with Greek stock indices. Originality/value – The contribution of this paper is to provide evidence using data before and after the financial crisis of 1999‐2001 in Greece.

Journal

Managerial FinanceEmerald Publishing

Published: Jun 6, 2008

Keywords: Stock exchanges; Greece; Seasonality

References

  • Month of the year effect and January effect in pre‐WWI stock returns: evidence from a non‐linear garch model
    Choudhry, T.
  • Price limits and stock market volatility in the Athens stock exchange
    Phylaktis, K.; Kavussanos, M.; Manalis, G.
  • Portfolio rebalancing and the turn of the year effect
    Ritter, J.; Chopra, N.
  • Seasonal movements in security prices II: weekend, holiday, turn of the month, and intraday effects
    Thaler, R.

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