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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/1825

Title: Calendar effects in stock markets : critique of previous methodologies and recent evidence in european countries
Authors: Borges, Maria Rosa
Keywords: Day-of-the-week effect
Month effect
Market efficiency
European stock markets
Issue Date: 2009
Publisher: ISEG - Departamento de Economia
Citation: Borges, Maria Rosa. 2009. "Calendar effects in stock markets : critique of previous methodologies and recent evidence in european countries". Instituto Superior de Economia e Gestão - DE working paper nº 37-2009/DE/SOCIUS.
Series/Report no.: Working papers; nº37-2009/DE/SOCIUS
Abstract: This paper examines day of the week and month of the year effects in seventeen European stock market indexes in the period 1994-2007. We discuss the shortcomings of model specifications and tests used in previous work, and propose a simpler specification, usable for detecting all types of calendar effects. Recognizing that returns are non-normally distributed, autocorrelated and that the residuals of linear regressions are variant over time, we use statically robust estimation methodologies, including bootstrapping and GARCH modeling. Although returns tend to be lower in the months of August and September, we do not find strong evidence of across-the-board calendar effects, as the most favorable evidence is only country-specific. Additionally, using rolling windows regressions, we find that the stronger country-specific calendar effects are not stable over the whole sample period, casting additional doubt on the economic ignificance of calendar effects. We conclude that our results are not immune to the critique that calendar effects may only be a “chimera” delivered by intensive data mining.
URI: http://hdl.handle.net/10400.5/1825
ISSN: 0874-4548
Appears in Collections:SOCIUS - Documentos de Trabalho / SOCIUS - Working Papers
DE - Documentos de trabalho / Working Papers

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