This paper investigates the turn-of-the-month effects presence on stock markets from 32 countries during two periods of time: a relative quiet one from January 2000 to December 2006 and a turbulent one from January 2000 to October 2013. We found some significant changes that occurred from the...

The aim of the paper is to estimate the day of the week effect in the stock markets in the Czech Republic, Hungary and Poland over the period 2006 – 2012. The entire period of estimation is divided to six sub-periods capturing individual phases of the financial and economic crisis. We...

The persistence in time of the calendar anomalies is one of the most disputed subjects from the financial literature. Quite often, the passing from quiet to turbulent periods of time provokes radical changes in the investors’ behaviors which affect the stock markets seasonality. In this paper...

This study examines the return and volatility behaviour of Borsa Istanbul Real Estate Investment Trusts (REITs) Index and Borsa Istanbul 100 (BIST 100) Index. It focuses on three main points. First, we search whether there are variations in index returns and volatilities by days of the week,...

Purpose – The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects. Design/methodology/approach – The authors suggest the use of an F-test to examine mean stationarity of asset pricing effects across subperiods. The superiority of...

This paper investigates the most important calendar anomalies in a market that have received very little attention by researchers. The anomalies investigated are the day of the week, turn of the month, turn of the year, and holidays. The methodology we propose allows to simultaneously...

This paper explores the presence of the turn – of – the – month effect on Bucharest Stock Exchange. We employ daily values from 2002 to 2011 of the two important indices of the Romanian capital market: BET – C and RAQ – C, composed on the stock prices of some of the biggest Romanian...

I examine intraday stock returns in the Istanbul Stock Exchange (ISE) around nontrading periods - weekends and holidays - by utilizing the exchange's structure of two trading sessions. I find that returns are generally more positive in the last session on Fridays and more negative in the first...

The main aim of this research is to examine existence of day of the week effect on the stock market indices in five countries from South Eastern Europe (SEE): Bosnia and Herzegovina, Bulgaria, Croatia, Macedonia and Serbia in the most recent period which is characterized by the bear market (from...

This paper approaches the presence of the Gone Fishin’ effects on returns from 32 advanced and emerging markets during two periods of time: a relative quiet one and a turbulent one. For the first period we found that calendar anomaly was more pregnant on the advanced markets than on the...