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

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

Personalized Temporal Trading Functionalities Engaged in Calendar Market Anomalies: Empirical Evidences from the 2007 and 2009 Financial Crises

“…During a period of almost 17 years, preceding the international financial crisis, the Greek market had had calendar anomalies and returns in December and January were systematically higher compared to the other months of the year. This conclusion and the "January effect" in particular support the results of Fountas, and Segredakis [25], Mills et al [27], and Koutianoudis, and Wang [28], who find the "January effect" in previous periods, and respectively it does not support Floros (2008) [29], who does not identify such an effect for a previous period as well.…”

“…On the one hand, [25,27,28], ascertain a powerful "January effect", whereas Floros [29] finds no such effect. The reason for this discrepancy is in the different periods that researchers analyze.…”

Calendar Anomalies: The Case of Amman Stock Exchange

“…McGuinness (2006) demonstrates that the turn of the month effect is unique only to the small cap stock in the Hong Kong exchange. Floros (2008) find no statistically significant returns on the turn of the month in the same market.…”

A Review on the Evolution of Calendar Anomalies

“…Rendon and Ziemba (2007) find that the January effect is still alive in the futures markets from 1982 to 2004 period. Floros (2008) provides no evidence of January effect in the Greek stock market and Depenchuk et al (2010) find no evidence for the January effect in the both the stock and bond market in Ukraine. Haug and Hirschey (2006) examine the January effect using value-weighted and equal-weighted equity returns.…”