Calendar anomaly in the Greek stock market: Stochastic dominance analysis

Political elections, abnormal returns and stock price volatility: the case of Greece

“…They found a positive stock market reaction in the two week-period preceding election dates. This positive abnormal return was stronger for elections with higher degree of uncertainty 3 . Kim and Mei (2001) found that political developments in Hong Kong had a significant impact on volatility and return while Chan and Wei (1996) and Bittlingmayer (1998) found evidence that positive political news positively affect currency and equity markets.…”

Greek market efficiency and its international integration

“…Our results are in line with their findings for more recent periods where Monday and Tuesday returns are negative and Friday returns are positive. Negative Tuesday and positive Friday returns are also confirmed by Al-Khazali et al (2008) and Kenourgios and Samitas (2008).…”

“…More recently, Tsangarakis (2007), Al-Khazali et al (2008) and Kenourgios and Samitas (2008) evaluate the ASE for the DOW effect in returns. 3 These studies evaluate the ASE composite index and provide evidence of a persistent DOW effect, however for inconsistent weekdays.…”

“…2 A detailed review of efficient market hypothesis can be found atSummers (1986) andFama (1991). 3 Data periods forTsangarakis (2007) is 1981-2002, for Al-Khazali et al (2008) is 1985-2004 and forKenourgios and Samitas (2008) is 1995-2005 …”

Anomalies and Heterogeneity of China Stock Markets in the Financial Crisis

“…AlKhazali et al also using stochastic dominance analysis, examines calendar anomalies in the Athens Stock Exchange, find there exists a strong day effect that with the highest observing on Fridays and the lowest on Tuesdays [7]. Madureira and Leal study the twist-ofthe-Monday effect in the Brazilian stock market and provide evidence that it is due to index construction problems, such as the nonsynchronous trade of stocks.…”