Seasonality in the Baltic Stock Markets

Norvaišienė, Rasa

doi:10.1016/j.sbspro.2015.11.435

Cited by 11 publications

(6 citation statements)

References 16 publications

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“…Previous studies indicate that investors are in luenced by the emotions and sentiments therefore their investment decisions are directed by their moods resulting in irrational investing. Besides, the evidence on existence of other calendar anomalies such as month of the year effect (Norvaisiene et al, 2015;Seif et al, 2017), holiday (Seif et al, 2017), holy day effect (Al-Ississ, 2015;Ali et al, 2017;Frieder and Subrahmanyam, 2004;Oğuzsoy and Güven, 2004) is also documented in previous research. However, the current study has reviewed three most central types of calendar effects and future review studies may include other calendar anomalies along with January, Monday and Islamic Calendar anomalies.…”

Section: Conclusion and Future Research Directionsmentioning

confidence: 53%

“…Their indings were in line with the January anomaly in that it con irms the presence of January effect. Similarly, many others have provided the evidence on the existence of January effect (Beladi et al, 2016;Moller and Zilca, 2008;Norvaisiene et al, 2015). On contrary, indings of other studies support the ef icient market hypothesis and do not ind the existence of January effect (Diaconasu et al, 2012;Jebran and Chen, 2017;Seif et al, 2017).…”

Section: January Effectmentioning

confidence: 91%

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Calendar anomalies: Review of literature

2017

J. adv. humanit. soc. sci.

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KeywordsEf icient market hypothesis January anomaly Monday anomaly Islamic calendar months effect Abstract. A wide range of studies in economics and inance literature have addressed the issue of abnormal behaviour in equity returns during certain calendar dates. These abnormal equity returns behaviours are known as calendar anomalies which are in direct opposition to the ef icient market hypothesis. The existence of calendar anomalies does not conform to the assumptions of market ef iciency, therefore, implying that equity returns can be predicted relying on the calendar dates. The objective of current study is to review the prior studies regarding the calendar anomalies. For this purpose, the current study has adopted the review methodology and identi ied the most important studies in this area. Furthermore, the indings of these studies have been reviewed and summarized. By reviewing the previous studies, the current study has noted the growing inclination of recent studies towards the examination of these anomalies. Also, prevalence of these anomalies is documented in recent studies. The current study is the among irst of those studies which have provided a comprehensive review of the previous studies conducted on the calendar anomalies. These summarized reviews of indings of previous research may help future research studies to hold a basic understanding regarding the existence of calendar anomalies in the world equity markets.

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Section: Conclusion and Future Research Directionsmentioning

confidence: 53%

Section: January Effectmentioning

confidence: 91%

Calendar anomalies: Review of literature

2017

J. adv. humanit. soc. sci.

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“…Furthermore, Rossi & Gunardi (2018) did not find any significant evidence of the Mark Twain effect and December effect in Germany, France, Italy and Spain. However, Norvaisiene et al (2015) found evidence of the Mark Twain effect in Estonia. Agrawal & Tandon (1994) found evidence of the December effect in an international study which excluded the US.…”

Section: Literature Reviewmentioning

confidence: 95%

Historical evolution of monthly anomalies in international stock markets

Plastun

Sibande

Gupta

et al. 2020

Research in International Business and Finance

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This paper is a comprehensive investigation of the evolution of various monthly anomalies (January effect, December effect, and the Mark Twain effect) in the US stock market for its entire history. This is done using various statistical techniques (average analysis, Student's t-test, ANOVA, the Mann-Whitney test) and a trading simulation approach). To confirm our results we extended the analysis to the

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“…Norvaisiene, Stankeviciene and Lakstutiene (2015) investigated the presence of seasonal anomalies on Estonian, Latvian and Lithuanian share markets. Sander and Veiderpass (2013) focused on share markets of the Baltic countries as well and they discovered a strong turn-of-the-year effect.…”

Section: Literature Reviewmentioning

confidence: 99%

Central and Eastern European Share Markets and the Halloween Effect

Árendáš¹,

Chovancová²

2016

MJE

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The Halloween effect is one of the best known share market calendar anomalies. It is based on the phenomenon when the summer period (May -October) returns tend to be lower compared to the winter period (November -April) returns. This paper investigates the presence of the Halloween effect on share markets of 12 CEE countries. The results show that although the Halloween effect pattern can be found in the majority of the CEE share markets, it is statistically significant only in the case of Poland and Ukraine. The data also show that the Halloween effect tends to be stronger on mature share markets of Germany and the USA than on the CEE share markets as a group, however there can be found some exceptions, such as the Ukrainian, Russian and Estonian share markets. In most of the cases, the Halloween effect grew stronger after the global financial crisis of 2008 although there are some exceptions such as the Lithuanian and Russian share markets.

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Seasonality in the Baltic Stock Markets

Cited by 11 publications

References 16 publications

Calendar anomalies: Review of literature

Calendar anomalies: Review of literature

Historical evolution of monthly anomalies in international stock markets

Central and Eastern European Share Markets and the Halloween Effect

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