Please use this identifier to cite or link to this item:
|Title:||Stock Market Efficiency in South Eastern Europe||Authors:||Filipovski, Vladimir
|Issue Date:||2018||Publisher:||IGI Global||Conference:||Regaining Global Stability After the Financial Crisis||Abstract:||<jats:p>The purpose of this chapter is to empirically test the informational efficiency and to examine the presence of the calendar effects in 10 South Eastern European (SEE) stock markets' daily returns during the period 2007–2014. The authors use variance ratio test for exploration of random walk hypothesis. Regarding the calendar effects, the authors focus on the day-of-the-week effect, the half-month effect, and the turn-of-the-month effect. The existence of each calendar effect is analyzed by applying regression models with dummy variables for the effects in the mean returns and GARCH (1,1) models with dummy variables for the effects in the volatility of returns. The results indicate that the day-of-the-week effects in both mean and volatility are present in nine SEE stock markets. Contrary, the half-month effect in mean returns is present only in one, while half-month effect in volatility is present in five SEE stock markets. The turn-of-the- month effect in mean returns is present in six, while the turn-of-the-month effect in volatility is present in all 10 SEE stock markets. </jats:p>||URI:||http://hdl.handle.net/20.500.12188/6767||DOI:||10.4018/978-1-5225-4026-7.ch011|
|Appears in Collections:||Faculty of Economics 03: Journal Articles / Статии во научни списанија|
Show full item record
checked on Jan 14, 2021
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.