CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS

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1 INTERNATIONAL ECONOMICS & FINANCE JOURNAL Vol. 6, No. 1, January-June (2011) : CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS Andreas G. Georganopoulos *, Dimiris F. Kenourgios ** and Anasasios D. Tsamis * Absrac: This paper invesigaes calendar anomalies for four emerging sock markes (Romania, Bulgaria, Croaia and Turkey) and heir maure counerpar in he Balkan region (Greece), during he period Five well known calendar effecs on boh reurn and volailiy are examined; he day of he week effec, he January effec, he half monh effec, he urn of he monh effec and he ime of he monh effec. We provide evidence for he exisence of hree calendar effecs (day of he week, urn of he monh, ime of he monh) in boh mean and volailiy equaions for Greece and Turkey, which is consisen o he findings of previous sudies. On he oher hand, he effecs for he hree emerging Balkan markes are limied and exis only in volailiy. This conradicory evidence could be due o a differen level of liquidiy and mauriy for hese markes. JEL Classificaion: C32; G10 Keywords: Calendar anomalies; mean sock reurns; volailiy; Balkan sock markes. 1. INTRODUCTION Securiy price anomalies have araced he ineres of academic economiss, saisicians and marke professionals for many years. Since he seminal work of Fama (1965), a vas number of sudies have been made and many books have been wrien on his subjec. Some of hese anomalies are broadly known as calendar effecs. The mos imporan calendar effecs sudied are he day of he week effec (significanly differen reurns on some day of he week; usually higher Friday reurns and lower Monday reurns), he monhly or January effec (relaively higher January reurns), he half monh effec (reurns are saisically higher over he firs half of he monh), he urn of he monh (saisically higher reurns on urn of he monh days han oher rading days) and he ime of he monh effec (reurns are higher on he 1s hird of he monh). Thaler (1987b) provides an early and parial survey, while Mills and Cous (1995) and Cous e al. (2000) provide selecive and more recen inernaional references. Oher sudies have examined he ime series sock price behaviour in erms of volailiy by using generalized auoregressive condiional heeroskedasiciy (GARCH) models (e.g., Campbell and Henschel, 1992; French e al., 1987; Glosen e al., 1993). Generally, all hose sudies repor ha reurns in sock markes are ime varying and condiionally heeroskedasic. * Paneion Universiy, Greece ** Universiy of Ahens, Faculy of Economics, Greece

2 68 Inernaional Economics and Finance Journal This sudy examines five calendar effecs (day of he week effec, January effec, half monh effec, urn of he monh effec and ime of he monh effec) in mean sock reurns and heir variances. The daa se consiss of four emerging Balkan markes (Romania, Croaia, Bulgaria and Turkey) and heir maure counerpar in he region (Greece), during he period 1/01/ /08/2008. This paper is moivaed by a number of facors. Firs, here is no oher published sudy invesigaing calendar anomalies in he hree emerging Balkan markes (Romania, Croaia and Bulgaria) o he bes of our knowledge. Second, i avoids daa mining phenomenon by using daa ses ha are no repeaedly used and are differen from hose sudies in which he calendar effecs originally discovered. Third, i updaes he exising lieraure for he Greek and Turkish sock markes. Fourh, i covers a period which includes some of he mos imporan macroeconomic, poliical and sock marke evens ook place in he examined counries; Romania and Bulgaria have recenly joined EU, Turkey and Croaia remain EU accession candidaes, while Greece became a member of he Economic and Moneary Union (EMU) and he Greek sock marke is classified as a developed one since I is worh noing ha only a few sudies concerning various calendar effecs in Ahens Sock Exchange (ASE) are repored in he finance lieraure and all suppor heir exisence during he 1980s and 1990s (Cous e al., 2000; Mills e al., 2000; Tsamis and Georganopoulos, 2007). Oher sudies relaing o he exisence of he Monday effec also conclude ha his anomaly exiss in Greece (Alexakis and Xanhakis, 1995; Kenourgios and Samias, 2008). Similarly, here are a few sudies analyzing well known anomalies in Isanbul Sock Exchange (ISE) during lae 1980s and 1990s. Balaban (1995a) and Oguzsoy and Guven (2003) repor a significan day of he week effec. Balaban (1995b) repor he exisence of he January effec, Balaban and Bulu (1996) suppor he presence of a semimonhly effec, while Oguzsoy and Guven (2006) provide evidence on he urn of he monh effec. The res of he paper is organized as follows. Secion 2 describes he daa se. Secion 3 describes he mehodology employed in he sudy. Secion 4 presens he empirical resuls, while a summary of findings and concluding remarks are presened in Secion DATA The daa used in his sudy consis of daily closing prices (in logs) in four emerging Balkan sock markes (Romania, Bulgaria, Croaia and Turkey) and Greece. The sock marke indices of ineres are SOFIX of Bulgaria, VANGUARD of Romania, CROBEX of Croaia, ISE NATIONAL 50 of Turkey and he Ahens General (ASE) of Greece. All he naional sock indices are seleced o guaranee represenaiveness of he domesic markes examined in his sudy. Regarding he four emerging Balkan counries ha are included in our daa se, i is worh menioning ha impressive changes have occurred in heir economies over he las

3 Calendar Anomalies in Emerging Balkan Equiy Markes 69 decades. Since he 1990s, he Balkan economies are hrough a ransiory phase of srucural adjusmen owards a marke oriened economic sysem (Inernaional Moneary Fund, 2000). Afer 2000, he Balkan region displays robus growh raes (over 4%), expanding more rapidly han he EU average. Romania, Croaia, Bulgaria and Turkey are among he op performers. Inflaion of hese counries coninues o drop o a single-digi annual rae hroughou he region. Since 2004, inflaion raes converge o he EU average. The simulaneous growh increase and inflaion decrease appreciaed capial inflows of foreign direc and capial invesmens. The Balkan sock markes have a brief hisory compared o he maure markes of Europe and Unied Saes of America (USA). These markes sared rading in he mid 1980s-mid 1990s wih a small number of socks, many of which were illiquid. During , sock prices in Balkan markes increased on average over 70% in dollar erms, compared o he 15% of MSCI world marke reurn. Among he Balkan sock markes, Turkey, Romania, Bulgaria and Croaia are considered he mos developed, in erms of capializaion, urnover and marke reurn. Despie he robus growh raes, he Balkan sock markes remain small in erms of capializaion, urnover and liquidiy compared o developed markes. The sample covers a period from January 2000 ill July 2008 (excluding holidays). This period covers a long sock marke cycle characerized as a bull marke for he region, excluding he sock marke crash period sared on Sepember 2008 due o he global financial crisis. The close o close daa does no conain informaion abou he paymen of dividends on socks. Alhough, here exiss some evidence ha he paymen paern of dividends may be a reason for seasonaliy in non-dividend adjused reurns (Phillips-Parick and Schneeweis, 1988), mos of he sudies on calendar effecs use nondividend adjused reurns allowing for direc comparisons o he previously published resuls. Furhermore, he vas majoriy of previous sudies which use non-dividend adjused daa repor ha sysemaic dividend paymen paerns do no significanly change heir resuls (e.g., Fishe e al., 1993; French, 1980; Lakonishok and Smid, 1988). 3. METHODOLOGY The calendar effecs in mean sock reurns are invesigaed by employing he convenional OLS mehodology on appropriaely defined dummy variables. 1 On he oher hand, we allow variances of errors o be ime dependen o include a condiional heeroskedasiciy ha capures ime variaion of variance in sock reurns. The GARCH (p,q) model proposed iniially by Engle (1982) and furher developed by Bollerslev (1986) has he following form: q p = α + β j ε a j + γ jbγh j j= 1 j= 1 h (1)

4 70 Inernaional Economics and Finance Journal 2 2 Thus, error erms have a mean of zero and a ime changing variance of h [ ε ~(0,)] h. q p This specificaion requires ha β + γ jb 1 in order o saisfy he nonexplosiveness ja j= 1 j= 1 of he condiional variances. Furhermore, each α, β jα, and γ jb has o be posiive o saisfy he nonnegaiviy of condiional variances for each given ime. Therefore, GARCH [1,1] models, including appropriaely defined dummies, are used for esing he calendar effecs in condiional variance of sock index reurns. The parameers are esimaed following he quasi-maximum likelihood (QML) esimaion inroduced by Bollerslev and Wooldridge (1992) Esimaion of Calendar Effecs The day of he week effec is sudied, using a model, originally proposed by French (1980). In his framework, he rading ime hypohesis is evaluaed, according o which reurns are creaed only on he working days of he week. This hypohesis is esed using he following regression wih dummy variables (e.g., Agrawal and Tandon, 1994; Jaffe and Weserfield, 1989; Mills and Cous, 1995): R 5 = α + α D + ε (2) 1 i i i= 2 where, R is he daily logarihmic reurn on a seleced index, D i = 1 for day i and 0 for all oher days (i = 2,,5 corresponds o Tuesday hrough o Friday), α 1 indicaes he mean daily reurn for Monday, while α 2 o α 5 represen he difference beween he mean daily reurn for Monday and he mean daily reurn for each of he oher days of he week and ε is an error erm assumed o be idenically and independenly disribued (IID). If here are no differences among index reurns across days of he week, he parameers of α 2 o α 5 are zero. Therefore, he null hypohesis of he relevan Wald es is he following: H 0 : α i = 0 for i = 2,,5. If he null hypohesis is rejeced, hen sock reurns should exhibi some form of he day of he week seasonaliy. The day of he week effec in variance is sudied by esimaing he following condiional volailiy funcion: = + βε 1 + γ 1 + δi i i= 2 h a h D (3) where, 2 h is he condiional variance of ε i in he equaion (3). If here is no day of he week effec in variance, he parameers δ 2 o δ 5 are zero, so he relevan null is H 0 : δ i = 0 for i = 2,,5.

5 Calendar Anomalies in Emerging Balkan Equiy Markes 71 For he monhly or January effec, he model used is described by he following equaion (e.g., Gulekin and Gulekin, 1983; Jaffe and Weserfield, 1989): R 12 = β + β Μ + ε (4) 1 i i i= 2 where, M i = 1 if he reurn a ime belongs o monh i and 0 if he i belongs o any oher monh (i = 2,,12 corresponds o February hrough December). The inercep β 1 measures he mean reurn for January, while he coefficiens β 2 o β 12 represen he average differences in reurn beween January and each individual monh. The null hypohesis esed in his equaion is H 0 : β i = 0 for i = 2,,12. Days before sock marke vacaions are excluded from he analysis. As in he case of he day of he week effec, he monhly effec in variance is examined by esimaing he following equaion: = + βε 1 + γ 1 + δiμi i= 2 h a h (5) For he half monh effec, we follow Lakonishok and Smid (1988), defining as H 1 = 1 if day is from he firs o he fifeenh calendar day of he monh if i is a rading day, and if i is no, o he nex rading day, and H 1 = 0 oherwise. The mean and variance models for he half monh effec are he following: R = γ 0 + γ 1Η 1 + ε (6) h = a + βε + γ h + δ H (7) Lakonishok and Smid (1988) find ha he mean reurns on days around he urn of he monh are significanly higher han he mean reurns on he res of he monh days. Moreover, hey observe ha he reurns are higher especially during a four day period saring from he las rading day of he old monh unil he firs hree business days of he new monh. To es for he exisence of he urn of he monh effec in mean reurn, he following model is used: R = λ 0 + λ1μ( 3)( + 2)( λ 2Μ1)( 1)( + 2)( λ 3Μ3) + λ 4Μ + + λ 5Μ + + λ 6Μ + + ε (8) where, M(-3) o M(+3) are urn of he monh dummy variables. The urn of he monh effec in variance is esed by using he following model: h = a + βε 1 + γ h 1 + δ1μ( 3)( + 2)(( δ2μ1)( 1)( + δ2)( 3 Μ3) + δ4μ + + δ5μ + + δ6μ + (9) The las anomaly o be invesigaed is he ime of he monh effec. This monhly anomaly was firs idenified by Kohers and Pael (1999). They spli a calendar monh ino

6 72 Inernaional Economics and Finance Journal hree segmens. The firs segmen exends from he 28h day of a previous monh o he 7h day of he monh, he second segmen exends from 8h day o he17h day of he monh and he las segmen consiss of he oher days, ha is, 18h day o he 27h day of he monh. Using he Sandard & Poor s (S&P) during he period January 1960-June 1995 and he Naional Associaion of Securiies Dealers Auomaed Quoaions (NASDAQ), during he period January June 1995, hey repor ha he reurns are highes during he firs hird, experience a drop during he second hird and are lowes, and in mos cases negaive, during he las hird of a monh. Following Kohers and Pael (1999), he following regression is esimaed: R = β + β d + β d + ε (10) where, R is he mean reurn of he sock index on day and he dummy variable d i indicaes he day on which he reurn is observed (d 2 = firs-hird of he monh days and d 3 = secondhird of he monh days). d 2 aains a value of 1 if he reurn is observed on he firs-hird of he monh days, 0 oherwise. Similarly, d 3 aains a value of 1 if he reurn is observed on he second-hird of he monh days, 0 oherwise. On he oher hand, in order o es he ime of he monh effec in variance, we esimae he following equaion: h = a + βε + γ h + δ d + δ d (11) EMPIRICAL RESULTS Table 1 repors he descripive saisics for he sample of he five indices. The highes average daily appears for he Sofix (Bulgaria) and he lowes for he ASE (Greece). The larges uncondiional volailiy and he larges range for he reurns is recorded for Vanguard (Romania). Overall, descripive saisics indicae ha reurns are no normally disribued and are characerised as lepokuric and skewed. Table 1 Summary Saisics Period: Greece Romania Bulgaria Croaia Turkey ( ) (ASE ) (Vanguard ) (Sofix ) (Crobex ) (ISE ) Mean Maximum Minimum Sd. Dev Skewness Kurosis Table 2 displays he esimaes of he day of he week effecs using reurn equaion (2). Using he Wald es, he null hypohesis ha he day of he week dummy variables are

7 Calendar Anomalies in Emerging Balkan Equiy Markes 73 joinly equal o zero is no rejeced for Romania, Bulgaria and Croaia. On he oher hand, here is srong evidence ha day of he week effec exiss in Greece and Turkey. In addiion, we observe ha for boh counries he esimaed coefficiens are negaive and saisically significan on Mondays and posiive and saisically significan on Fridays. Table 2 The Day of he Week Effec in Mean Wald es Greece *** * *** *** (ASE ) (0.0007) (0.0010) (0.0010) (0.0010) (0.0010) [0.0004] Romania * (Vanguard ) (0.0005) (0.0071) (0.0071) (0.0071) (0.0071) [0.2859] Bulgaria * (Sofix ) (0.0009) (0.0015) (0.0015) (0.0005) (0.0015) [0.2139] Croaia (Crobex ) (0.0007) (0.0010) (0.0011) (0.0011) (0.0010) [0.9240] Turkey *** ** *** *** (ISE ) (0.0019) (0.0027) (0.0027) (0.0027) (0.0027) [0.0003] Noes: *, **, *** denoe significance a 1%, 5% and 10% respecively. Sandard errors are repored in parenheses and p values in brackes.this noe also applies o he subsequen Tables. Table 3 repors he esimaes of he GARCH (1,1) coefficiens (equaion 3). We observe ha he day of he week effec is also presen for Greece and Turkey. For boh counries, Monday presens high and saisically significan variance, while Thursdays and Fridays appear o have significanly lower variances han Monday s. Moreover, in conras o mean reurn resuls, he day of he week effec in volailiy appears o be srongly presen in Bulgaria. 3 Table 3 The Day of he Week Effec in Volailiy Wald es Greece *** *** *** *** ** (ASE ) (0.0000) (0.0007) (0.0121) (0.0007) (0.0008) ( ) (0.0008) [0.0436] Romania *** *** *** (Vanguard (0.0016) (0.0182) (0.1189) (0.0413) (0.0820) (0.0893) (0.0330) [0.9953] ) Bulgaria *** *** *** *** ** (Sofix ) (0.0001) (0.0071) (0.0046) (0.0006) (0.0007) (0.0007) (0.0008) [0.0009] Croaia *** *** *** (Crobex ) (0.0000) (0.0047) (0.0065) (0.0009) (0.0008) (0.0009) (0.0010) [0.8567] Turkey *** *** *** ** ** (ISE ) (0.0000) (0.0103) (0.0096) (0.0019) (0.0019) (0.0019) (0.0021) [0.0581]

8 74 Inernaional Economics and Finance Journal The resuls for he January effec using he mean model (equaion 4) are presened in Table 4. We find no evidence ha January effec exiss in any of he Balkan counries. On he oher hand, he resuls in variance (equaion 5), presened in Table 5, are differen, since he effec appears o be presen in Greece, Croaia and Turkey a 5 per cen, 10 per cen and 1 per cen level, respecively. In Greece, January has he highes significan variance, while March, June and Sepember appear o have significanly differen and lower variances han January. In Croaia, monhly effec is srongly presen bu wih differen characerisics, since February, April, May, June, Augus, Sepember, Ocober, November and December appear o have saisically differen and lower variances han January s. In his case oo, January appears o have he highes and significan variance. Finally, in Turkey, he monhly effec exiss (weaker hough), since June and December appear o have (saisically significan) negaive and lower variances han January s. Table 6 provide no evidence for he half monh effec in mean (equaion 6), since no counry presens saisically differen resuls for he firs half of he monh. The resuls are he same measuring he above effec in variance (equaion 7), according o Table 7. Table 8 presens he resuls of esing he urn of he monh effec in mean (equaion 8). The urn of he monh effec appears o be presen in Greece, since coefficiens λ 3, λ 4 and λ 5, for days (-1), (+1) and (+2), respecively, are significanly higher han he res of he monh days. Finally, he effec is presen in Turkey, bu wih differen characerisics, since coefficien λ 1 was found significanly lower han he res of he monh days. On he oher hand, coefficiens λ 3 and λ 6 appear o be significanly higher han he res of he monh days. Resuls of he urn of he monh effec in variance (equaion 9), presened a Table 9, are in line wih hose of he mean model, since his effec exiss in Greece and Turkey. In Greece, he coefficiens δ 1 and δ 6 are negaive and significanly lower han res of he monh days, while coefficien δ 5 is posiive and significanly higher. On he oher hand, in Turkey, he coefficiens δ 3 and δ 5 are negaive and significanly lower han res of he monh days, while coefficien δ 4 is posiive and significanly higher. Table 10 presens he resuls of esing he ime of he monh effec in mean (equaion 10). This anomaly appears o be sronger in Greece and weaker in Turkey, presening differen characerisics in he wo markes. The firs- hird of he monh is significan in boh markes, bu i is higher han he las hird of he monh in Greece and lower han he las hird of he monh in Turkey. Finally, Table 11 presens he esimaion resuls for he variance model (equaion 11). These findings appear o be in line wih he mean model resuls. The anomaly is srongly presen in Greece and Turkey a 99 per cen level of confidence. In addiion, he variance equaion shows ha he anomaly srongly exiss in Croaia oo, due o he fac ha he second-hird of he monh appears o have a significanly higher volailiy han he las hird of he monh.

9 Calendar Anomalies in Emerging Balkan Equiy Markes 75 Table 4 The January Effec in Mean Wald es Greece (ASE ) (0.0011) (0.0016) (0.0016) (0.0016) (0.0016) (0.0016) (0.0016) (0.0016) (0.0017) (0.0016) (0.0016) (0.0017) [0.5880] Romania (Vanguard ) (0.0074) (0.0110) (0.0108) (0.0109) (0.0107) (0.0109) (0.0108) (0.0107) (0.0109) (0.0108) (0.0109) (0.0108) [1.0000] Bulgaria (Sofix ) (0.0016) (0.0023) (0.0024) (0.0024) (0.0025) (0.0025) (0.0024) (0.0024) (0.0025) (0.0024) (0.0023) (0.0024) [0.5702] Croaia * (Crobex ) (0.0012) (0.0017) (0.0017) (0.0017) (0.0017) (0.0017) (0.0017) (0.0017) (0.0016) (0.0017) (0.0018) (0.0017) [0.7311] Turkey * (ISE ) (0.0029) (0.0042) (0.0042) (0.0041) (0.0041) (0.0042) (0.0042) (0.0041) (0.0042) (0.0042) (0.0042) (0.0042) [0.3811]

10 76 Inernaional Economics and Finance Journal Table 5 The January Effec in Volailiy Wald es Greece *** *** *** *** * * (ASE (0.0001) (0.0095) (0.0103) (0.0012) (0.0011) (0.0013) (0.0012) (0.0012) (0.0012) (0.0013) (0.0013) (0.0013) (0.0012) (0.0012) [0.0159] ) Romania *** *** *** (Vanguard (0.0012) (0.1215) (0.0320) (0.0015) (0.0015) (0.0014) (0.0012) (0.0016) (0.0040) (0.0014) (0.0010) (0.0011) (0.0011) (0.0013) [0.8591] ) Bulgaria ** *** *** (Sofix (0.0032) (0.0077) (0.0051) (0.0019) (0.0005) (0.0001) (0.0002) (0.0009) (0.0005) (0.0005) (0.0001) (0.0007) (0.0008) (0.0016) [0.1641] ) Croaia *** *** *** *** *** * *** *** ** *** *** *** (Crobex ) (0.0000) (0.0089) (0.0109) (0.0005) (0.0002) (0.0003) (0.0007) (0.0005) (0.0002) (0.0004) (0.0004) (0.0007) (0.0002) (0.0010) [0.0000] Turkey *** *** *** ** ** (ISE (0.0001) (0.0124) (0.0119) (0.0001) (0.0004) (0.0016) (0.0006) (0.0009) (0.0004) (0.0005) (0.0006) (0.0002) (0.0009) (0.0007) [0.0819] )

11 Calendar Anomalies in Emerging Balkan Equiy Markes 77 Table 6 The Half Monh Effec in Mean 0 1 Greece (ASE ) ( ) ( ) Romania (Vanguard ) ( ) (0.0045) Bulgaria *** (Sofix ) (0.0007) (0.0010) Croaia (Crobex ) (0.0004) (0.0007) Turkey (ISE ) (0.0012) (0.0017) Table 7 The Half Monh Effec in Variance Greece *** *** *** (ASE ) (0.0011) (0.0010) (0.0106) (0.0004) Romania *** *** *** (Vanguard ) (0.0005) (0.8666) (0.0120) (0.0001) Bulgaria *** *** (Sofix ) (0.0005) (0.0069) (0.0045) (0.0007) Croaia *** *** *** (Crobex ) (0.0006) (0.0054) (0.0079) (0.0009) Turkey * *** *** (ISE ) (0.0003) (0.0105) (0.0097) (0.0004) Table 8 The Turn of he Monh Effec in Mean Wald es Greece ** ** ** * (ASE ) (0.0004) (0.0016) (0.0016) (0.0016) (0.0017) (0.0017) (0.0016) [0.0632] Romania (Vanguard ) (0.0027) (0.0109) (0.0109) (0.0109) (0.0109) (0.0109) (0.0109) [0.9992] Bulgaria * ** (Sofix ) (0.0006) (0.0024) (0.0025) (0.0025) (0.0025) (0.0025) (0.0025) [0.1512] Croaia (Crobex ) (0.0008) (0.0017) (0.0017) (0.0017) (0.0017) (0.0017) (0.0017) [0.8645] Turkey * *** ** (ISE ) (0.0010) (0.0041) (0.0042) (0.0042) (0.0042) (0.0042) (0.0042) [0.0229]

12 78 Inernaional Economics and Finance Journal Table 9 The Turn of he Monh Effec in Volailiy Wald es Greece *** *** *** ** * ** (ASE ) (0.0003) (0.0112) (0.0129) (0.0005) (0.0001) (0.0002) (0.0001) (0.0003) (0.0003) [0.0352] Romania * *** *** (Vanguard ) (0.0003) (0.0001) (0.0003) (0.0006) (0.0001) (0.0004) (0.0005) (0.0002) (0.0003) [0.8325] Bulgaria ** *** *** (Sofix ) (0.0006) (0.0080) (0.0050) (0.0001) (0.0002) (0.0002) (0.0001) (0.0002) (0.0002) [0.7903] Croaia *** *** (Crobex ) (0.0002) (0.0061) (0.0083) (0.0002) (0.0002) (0.0001) (0.0002) (0.0001) (0.0002) [0.3211] Turkey *** *** ** *** *** (ISE ) (0.0003) (0.0115) (0.0111) (0.0002) (0.0001) (0.0001) (0.0001) (0.0001) (0.0001) [0.0000]

13 Calendar Anomalies in Emerging Balkan Equiy Markes 79 Table 10 The ime of he Monh Effec in Mean Wald es Greece *** (ASE ) (0.0006) (0.0008) (0.0009) [0.0071] Romania (Vanguard ) (0.0039) (0.0055) (0.0056) [0.9730] Bulgaria *** (Sofix ) (0.0046) (0.0015) (0.0012) [0.3559] Croaia (Crobex ) (0.0006) (0.0009) (0.0009) [0.5846] Turkey * (ISE ) (0.0005) (0.0021) (0.0021) [0.0818] Table 11 The Time of he Monh Effec in Volailiy 1 2 Wald es Greece ** *** *** ** (ASE ) (0.0002) (0.0099) (0.0107) (0.0002) (0.0002) [0.0052] Romania ** *** *** (Vanguard ) (0.0007) (0.0001) (0.0017) (0.0011) (0.0020) [0.9492] Bulgaria *** *** (Sofix ) (0.0003) (0.0068) (0.0044) (0.0003) (0.0002) [0.2204] Croaia * *** *** *** (Crobex ) (0.0001) (0.0067) (0.0093) (0.0001) (0.0004) [0.0000] Turkey ** *** *** *** *** (ISE ) (0.0001) (0.0096) (0.0090) (0.0002) (0.0003) [0.0000] Table 12 Summary of Calendar Effecs in Mean and Volailiy Day of he Week January Half Monh Turn of he Time of he Monh Monh Mean Volailiy Mean Volailiy Mean Volailiy Mean Volailiy Mean Volailiy Greece Srong Srong None Srong None None Weak Srong Srong Srong (ASE ) Romania None None None None None None None None None None (Vanguard ) Bulgaria None Srong None None None None None None None None (Sofix ) Croaia None None None Srong None None None None None Srong (Crobex ) Turkey Srong Srong None Srong None None Srong Srong Weak Srong (ISE )

14 80 Inernaional Economics and Finance Journal 5. SUMMARY AND CONCLUDING REMARKS This sudy invesigaes five calendar effecs for four emerging Balkan markes (Romania, Bulgaria, Croaia and Turkey) and heir maure Balkan counerpar (Greece), using OLS and condiional variance mehodologies. When using daily closing values of heir major sock indexes for he period , we documen he exisence / non-exisence of he day of he week effec, he January (monhly) effec, he half monh effec, he urn of he monh effec and he ime of he monh effec in boh mean and volailiy equaions. The empirical analysis discussed in he previous secion is summarized and abulaed in Table 12 for boh he mean and he variance models. I clearly emerges from he able ha (i) he calendar effecs are no presen in mean reurns for Romania, Bulgaria and Croaia, (ii) he only counry which does no presen any calendar effecs in volailiy is Romania, (iii) he day of he week effec in variance is srongly presen in Bulgaria, while he monhly (January) and he ime of he monh effecs in variance exis for Croaia, (iv) day of he week, urn of he monh and ime of he monh effecs exis for Greece and Turkey in boh he reurn and variance equaions, in line wih he evidence of previous relaed sudies, (v) he January effec is srongly presen only in variance for boh Greece and Turkey. Overall, i seems ha he larges and more maure markes of he region coninue o exhibi marke inefficiencies no following he general rend of heir disappearance in he developed markes. In a decision-making process, a raional financial decision maker mus ake ino accoun no only reurns bu also he variance (risk) or volailiy of reurns. The calendar effec paerns in reurn and volailiy migh enable invesors o ake advanage of relaively regular marke shifs by designing and implemening rading sraegies, which accoun for such predicable paerns. Uncovering cerain volailiy paerns in reurns migh also benefi invesors in valuaion, porfolio opimizaion, and risk managemen. However, obaining profis from calendar anomalies is a risky business, especially in Balkan sock markes, which display high volailiy and sudden movemens ha can no be followed reacively. Finally, fuure research may examine he calendar anomalies on hese emerging markes by covering a swich from a srong bull o a severe bear marke siuaion under he 2008 global financial crisis. Noes 1. To address he drawback of he OLS ha error erms may no be whie noise due o auocorrelaion and heeroskedasiciy problems resuling o misleading inferences, he significance of he regression esimaes (-saisics) is observed using he Newey-Wes heeroskedasiciy- and auocorrelaionadjused sandard errors (Newey and Wes, 1987). 2. One disadvanage of using he GARCH [1,1] wih he relevan dummies for each anomaly is he possibiliy of being oo resricive. In order o assess he condiional variance beer, we include addiional erms in he condiional variance equaion. Specifically we include (a) addiional lag values for he ARCH erm [GARCH (1,2)] and (b) addiional lag values for he GARCH coefficien [GARCH (2,1)]. The resuls for all indices are robus wih our previous findings and hese findings are no abulaed and repored.

15 Calendar Anomalies in Emerging Balkan Equiy Markes The Ljung-Box Q and ARCH-LM ess for various lags are also employed in he invesigaion of each calendar anomaly in variance for all markes. The resuls, no presened here, confirm ha he sandardized residuals erms have consan variances and do no exhibi auocorrelaion. References Agrawal, A. and Tandon, K. (1994), Anomalies or Illusions? Evidence from Sock Markes in Eigheen Counries, Journal of Inernaional Money and Finance, 13, Alexakis, P. and Xanhakis, M. (1995), Day of he Week Effec on he Greek Sock Marke, Applied Financial Economics, 5, Balaban, E. (1995a), Day of he Week Effecs: New Evidence from an Emerging Sock Marke, Applied Economics Leers, 2, Balaban, E. (1995b), Jauary Effec, Yes! Wha abou Mark Twain Effec, Discussion paper 9509, Cenral Bank of he Republic of Turkey. Balaban, E. and Bulu, M. (1996), Is here a Semi Monhly Effec in he Turkish Sock Marke?, Discussion paper No. 9606, Research Deparmen, Cenral Bank of he Republic of Turkey. Bollerslev, T. (1986), A Generalized Auoregressive Condiional Heeroscedasiciy, Economerics, 31, Journal of Bollerslev, T. and Wooldridge, J. M. (1992), Quasi-maximum Likelihood Esimaion and Inference in Dynamic Models wih Time Varying Covariances, Economeric Reviews, 11, Campbell, J. Y. and Henschel, L. (1992), No News is Good News: An Asymmeric Model of Changing Volailiy in Sock Reurns, Journal of Financial Economics, 31, Cous, J.A., Kaplanidis, C. and Robers, J. (2000), Securiy Price Anomalies in an Emerging Marke: The Case of he Ahens Sock Exchange, Applied Financial Economics, 10, Engle, R. (1982), Auoregressive Condiional Heeroskedasiciy wih Esimaes of he Variance of Unied Kingdom Inflaion, Economerica, 50, Fama, E.F. (1965), The Behavior of Sock Marke Prices, Journal of Business, 34, Fishe, R. P. H., Gosnell, T. F. and Lasser, D. J. (1993), Good News, Bad News, Volume and he Monday Effec, Journal of Business Finance and Accouning, 20, French, K. (1980), Sock Reurns and he Weekend Effec, Journal of Financial Economics, 8, French, K., Schwer, G. and Sambaugh, R. (1987), Expeced Sock Reurns and Volailiy, Journal of Financial Economics, 19, Glosen, L. R., Jagannahan, R.and Runkle, D. E. (1993), On he Relaion beween he Expeced Value and he Volailiy of he Nominal Excess Reurns on Socks, Journal of Finance, 48, Gulekin, M. N. and Gulekin, N. B. (1983), Sock Marke Seasonaliy: Inernaional Evidence, Journal of Financial Economics, 12, IMF (2000), Transiion: Experience and Policy Issues, in World Economic Oulook, Focus on Transiion Economies, Chaper III, Inernaional Moneary Fund. Jaffe, J. and Weserfield, R. (1989), Is here a Monhly Effec in Sock Marke Reurns?, Journal of Banking and Finance, 13, Kenourgios, D. and Samias, A. (2008), The Day of he Week Effec Paerns on Sock Marke Reurn and Volailiy: Evidence for he Ahens Sock Exchange, Inernaional Research Journal of Finance and Economics, 15, Kohers, T. and Pael, J. B. (1999), A New Time of he Monh Anomaly in Sock Reurns, Applied Economics Leers, 6,

16 82 Inernaional Economics and Finance Journal Lakonishok, J. and Smid, S. (1988), Are Seasonal Anomalies Real? A Niney Year Perspecive, Review of Financial Sudies, 1, Mills, T. C. and Cous, J. A. (1995), Calendar Effecs in he London Sock Exchange FTSE Indices, The European Journal of Finance, 1, Mills, T. C., Siriopoulos, C. Markelos, R. N. and Harizanis, D. (2000), Seasonaliy in he Ahens Sock Exchange, Applied Financial Economics, 10, Newey, W. and Wes, K. (1987), A Simple Posiive Semi-define, Heeroskedasiciy and Auocorrelaion Consisen Covariance Marix, Economerica, 55, Oguzsoy, C. B. and Guven, S. (2003), Sock Reurns and he Day-of-he-week Effec in Isanbul Sock Exchange, Applied Economics, 35, Oguzsoy, C. B. and Guven, S. (2006), Turn of he Monh and Turn of he Monh Surrounding Days Effecs in Isanbul Sock Exchange, Journal of Emerging Marke Finance, 5, Phillips-Parick, F. J. and Schneeweis, T. (1988), The Weekend Effec of Sock Marke and Sock Fuures, Journal of Fuures Markes, 8, Thaler, R. H. (1987b), Anomalies: Seasonal Movemens in Securiy Prices II: Weekend, Holiday, Turn of he Monh and Inra-day Effecs, Journal of Economic Perspecives, 1, Tsamis, A. and Georganopoulos, A. (2007), The Ahens Sock Exchange: Efficiency and Calendar Anomalies, The 14h Annual Conference of he Mulinaional Finance Sociey, July 1-3, Thessaloniki, Greece.

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