The Montenegrin capital market: Calendar anomalies

Karadžić, Vesna; Backovic-Vulic, Tamara

doi:10.2298/eka1191107k

Cited by 7 publications

(9 citation statements)

References 18 publications

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“…Gultekin and Gultekin [52], Karadžić and Vulić [53] suggested a regression model with dummy variables as a method of testing the MOY effect. It takes the following form:…”

Section: Methodsmentioning

confidence: 99%

The Month of the Year Effect on Dhaka Stock Exchange

Abedin¹,

Chi²,

Meng³

2015

IJUNESST

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“…Gultekin and Gultekin [52], Karadžić and Vulić [53] suggested a regression model with dummy variables as a method of testing the MOY effect. It takes the following form:…”

Section: Methodsmentioning

confidence: 99%

The Month of the Year Effect on Dhaka Stock Exchange

Abedin¹,

Chi²,

Meng³

2015

IJUNESST

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“…Eugene Fama formulated an efficient market hypothesis in 1970 [3]. In accordance with this hypothesis, the prices of financial assets are completely determined by the available information [4] and, therefore, coincide with the investment value of securities. Therefore, asset purchase and sale transactions can be considered fair [5].…”

Section: Literature Reviewmentioning

confidence: 98%

Efficiency of the green bond market and its role in regional security

2020

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Financing capital-intensive projects in the green economy is possible through green bonds. The assessment of the economic efficiency of the green bond market, the determination of its role in ensuring the energy and economic security of the regions and the development of directions and instruments for improving the efficiency and significance of the market for the Russian Federation are the aim of the study. The methodology involved the determination of the autocorrelation presence in the calendar series of bond yields using the Broysch-Godfrey LM test, the application of applied statistics methods to verify the existence of calendar effects on the stock exchange and analyze market reviews. Data on the green bond market were compared with data on other bonds. Market performance calculations were based on the S&P Green Bond Index and S&P 500 Bond Index. Features and benefits of green bonds as an instrument to ensure regional security were identified. The lack of market efficiency for green and other bonds, even in a weak form, was shown. The necessary institutional changes to improve the efficiency of the green bond market and develop it in the Russian Federation have been proposed. The findings are of theoretical importance, complementing the work on testing the hypothesis of an effective market, and of practical importance in the form of recommendations for on market improving.

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“…According to [11], the propensity of increase of stock prices in the last two and the first three days of every month is called turn-of-the-month effect. This means that the stocks prices have a possibility of increasing in the last trading day and the first three days of the following month, [34].…”

Section: Literature Reviewmentioning

confidence: 99%

“…The assumption that a certain security will perform well during a particular season brings in financial distress as the expectation is not met, [11]. Seasonal anomalies rebut the weak form efficiency as the later posits that markets are efficient in previous prices and it's impossible to foretell future prices grounded on these foundations.…”

Section: Introductionmentioning

confidence: 99%

Seasonal Anomalies and Firms Financial Distress; Evidence from Nairobi Securities Exchange, Kenya

Charles¹,

Tabitha²,

Tobias³

2020

JFE

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Stock market generally accepted as security exchange has immensely attracted so much interests from various stakeholders around the world as they endow exceedingly to the growth of the world economy. Kenya's stock market, Nairobi Securities Exchange, being an emerging market, this study focused on seasonal anomalies as a type of market anomalies which is operationalized monthly. When there is seasonal anomalies, firms tend to exhibit unhealthy financial position which is financial distress. Financial distress takes a huge chunk of challenges which firms face in their day to day operations and is measured by Z-Score. This study takes a departure from the previous studies and assesses listed firms which are trading, under suspension or delisted from the stock markets while at the same time relating seasonal anomalies to financial distress which created a scholarly gap. This study adopts descriptive research design. It also embraced secondary data from 2007 to 2017 from a target population of 67 listed firms which had been licensed by the Capital Market Authority. It was found that there was indeed a relationship between seasonal anomalies and firms' financial distress. The study recommends that the management must have well thought risk mitigants so as to avoid the harsh repercussions of the seasonal anomalies effects. Investors ought to engage finance experts on investment decisions so as to only invest in financially healthy firms. Policy makers and regulators should have the capability and capacity of unearthing the infamous practice of tax evasion or tax fraud by firms. They should also make sure that information dissemination is done in accordance and within the precincts of the law so as to benefit of all the stakeholders.

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The Montenegrin capital market: Calendar anomalies

Cited by 7 publications

References 18 publications

The Month of the Year Effect on Dhaka Stock Exchange

The Month of the Year Effect on Dhaka Stock Exchange

Efficiency of the green bond market and its role in regional security

Seasonal Anomalies and Firms Financial Distress; Evidence from Nairobi Securities Exchange, Kenya

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