@article {2867,
	title = {Calendar anomalies in emerging Balkan equity markets},
	journal = {International Economics and Finance Journal},
	volume = {6},
	year = {2011},
	pages = {67-82},
	abstract = {<p>This paper investigates calendar anomalies for four emerging stock markets (Romania,<br>Bulgaria, Croatia and Turkey) and their mature counterpart in the Balkan region (Greece), during\&nbsp;the period 2000-2008. Five well known calendar effects on both return and volatility are examined;\&nbsp;the day of the week effect, the January effect, the half month effect, the turn of the month effect and\&nbsp;the time of the month effect. We provide evidence for the existence of three calendar effects (day of\&nbsp;the week, turn of the month, time of the month) in both mean and volatility equations for Greece and\&nbsp;Turkey, which is consistent to the findings of previous studies. On the other hand, the effects for the\&nbsp;three emerging Balkan markets are limited and exist only in volatility. This contradictory evidence\&nbsp;could be due to a different level of liquidity and maturity for these markets.</p>},
	url = {http://users.uoa.gr/~dkenourg/IEFJ_FINAL_PRINT.pdf},
	author = {Andreas Georgantopoulos and Dimitris Kenourgios and Anastasios Tsamis}
}
