Citation:
Abstract:
This paper investigates calendar anomalies for four emerging stock markets (Romania,
Bulgaria, Croatia and Turkey) and their mature counterpart in the Balkan region (Greece), during the period 2000-2008. Five well known calendar effects on both return and volatility are examined; the day of the week effect, the January effect, the half month effect, the turn of the month effect and the time of the month effect. We provide evidence for the existence of three calendar effects (day of the week, turn of the month, time of the month) in both mean and volatility equations for Greece and Turkey, which is consistent to the findings of previous studies. On the other hand, the effects for the three emerging Balkan markets are limited and exist only in volatility. This contradictory evidence could be due to a different level of liquidity and maturity for these markets.