Testing for Seasonal Affective Disorder on Selected CEE and SEE Stock Markets

Abstract

Effects of seasonal affective disorder (SAD) are explored on several selected Central and South East European markets in this study for the period 2010–2018. Both return and risk sensitivities on the SAD effect are examined for 11 markets in total (Bosnia and Herzegovina, Bulgaria, Croatia, Czech Republic, Hungary, Poland, Serbia, Slovakia, Slovenia, Romania and Ukraine). SAD effects are based upon psychiatric and behavioural theories, and are rarely observed on the stock markets today. Thus, this research provides empirical evaluation of the mentioned effects for some of the markets for the first time in the literature. The results indicate that 6 out of 11 markets exhibit SAD effects to some extent, meaning that investors’ risk aversion does change over the year, depending upon the season of the year. Such results have consequences in finance theory modelling and practical usage in investment strategies on stock markets as well.

Are consumer confidence and asset value expectations positively associated with length of daylight?: An exploration of psychological mediators between length of daylight and seasonal asset price transitions

“…According to Kamstra et al [ 2 ], this trend is more salient in areas at a high latitude, where there are large differences between the length of daylight during summer and winter. Inspired by the research conducted by Kamstra et al [ 2 ], seasonal variations consistent with SAD have been reported in the pricing of initial public offerings [ 3 , 5 , 6 ], art auction prices [ 7 ], real estate prices [ 4 ], bond prices [ 8 ], as well as stock prices in several countries [ 9 , 10 , 13 ]. However, other studies have remained dubious regarding the effect of SAD on stock prices [ 24 – 27 ].…”

Analysis of the Financial Performance of Machine Learning Models for Predicting the Direction of Changes in Cee and See Stock Market Indices With Different Classification Evaluation Metrics

“…Kako na tim tržištima i dalje dominiraju neki čimbenici specifični za pojedine zemlje, njihovim uključivanjem u portfelj može se postići veća diversifikacija (Karkowska & Urjasz, 2022;Özer, Kamenković & Grubišić, 2020;Šego & Škrinjarić, 2018;Cevik, Korkmaz & Cevik, 2017). Također, prethodna istraživanja (Škrinjarić, 2018;Ferreira, 2018) pokazala su predvidljivost promjena vrijednosti indeksa na ovim tržištima, dugoročnu zavisnost prinosa na indekse, što podržava odbacivanje slabog oblika efikasnosti. Ovaj rad ispituje predvidljivost promjena vrijednosti na promatranim tržištima na alternativan način u odnosu na dosad korištene metode u literaturi za ova tržišta.…”

Borsa İstanbul’da Mevsimsel Duygulanım Bozukluğu

“…However, behavioral finance implies that investors' optimism and pessimism levels may have a major impact on the financial markets, supporting the likelihood that SAD will have a large impact. In light of these arguments, many studies examined the effect of SAD on various stock market returns (i.e., Gerlach, 2010;Raut and Kumar, 2020;Ruan et al, 2018;Skrinjarić, 2018;Skrinjarić et al, 2021). However, to the author's knowledge, the SAD effect has previously been studied for the Turkish stock exchange only in a multi-country context, and the findings are not particularly clear.…”