Calendar effects in Eastern European financial markets: Evidence from the Czech Republic, Slovakia, and Slovenia

Dimitar Tonchev, Tae Hwan Kim

Research output: Contribution to journalArticle

37 Citations (Scopus)

Abstract

This paper uses a new data set from three Eastern European countries (Czech Republic, Slovakia and Slovenia) to investigate whether the so-called calendar effects are present in the newly developing financial markets in those countries. Five calendar effects are examined in both mean by OLS regression and variance by GARCH; the day of the week effect, the January effect, the half-month effect, the turn of the month effect and the holiday effect. In the empirical analysis, very weak evidence has been found for the calendar effects in the three countries, and these effects, where they exist, have different characteristics in the different stock markets.

Original languageEnglish
Pages (from-to)1035-1043
Number of pages9
JournalApplied Financial Economics
Volume14
Issue number14
DOIs
Publication statusPublished - 2004 Oct 1

Fingerprint

Calendar effects
Slovak Republic
Slovenia
Czech Republic
Financial markets
Empirical analysis
Generalized autoregressive conditional heteroscedasticity
Holidays
Day of the week effect
Stock market
January effect
European countries

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

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Calendar effects in Eastern European financial markets : Evidence from the Czech Republic, Slovakia, and Slovenia. / Tonchev, Dimitar; Kim, Tae Hwan.

In: Applied Financial Economics, Vol. 14, No. 14, 01.10.2004, p. 1035-1043.

Research output: Contribution to journalArticle

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