Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala

Tomić, Bojan (2016): Ispitivanje kalendarskih sezonaliteta na hrvatskom tržištu kapitala. Published in: Accounting and Management No. 17th International Scientific and Professional Conference (June 2016): pp. 175-192.

Abstract

Using different techniques, models and strategies investors are trying to construct their own portfolio whose dynamic performance should beat the market, or portfolio that should achieve yields more than the yield of the market in equilibrium. Active search for undervalued stocks, as well as the continuous trading with them, should result in a efficient market, which reflects aggregate value of all relevant and available information related to the individual instruments. This definition suggests that the use of any kind technique, analysis and strategies to project future prices of securities may not achieve desired result of investors, because the relevant informations are already integrated in the market price. On the other hand, if the efficient markets hypothesis is accurate, calendar anomalies should not exist. The Monday effect, the day of the week or the weekend effect are the calendar anomalies that have already been tested and proven in the developed capital markets, as well as in the emerging markets. They are expressed so that a specific day of the week can affect the dynamics of share return. This paper examines the presence of Monday effect, the day of the week effect, as well as the presence of the week of the month effects in the Croatian capital market. The results confirm the existence of Monday effect, but also and the presence of other calendar patterns, which brings into question the accuracy of the efficient markets hypothesis, as well as the very efficiency of the Croatian capital market.

• Item Type: MPRA Paper
• English Title: Testing the significance of calendar effects on croatian capital market
• Language: Croatian
• Keywords: CROBEX; linear regression; categorical variables; the day of the week effect; the week of the month effects.
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions

References

Barone, E., (1990). „The Italian Stock Market: Efficiency and Calendar Anomalies.“ Journal of Banking and Finance, No. 14, pp. 483-510.

Bartlett, M. S., (1937). „Properties of sufficiency and statistical tests“. Proc of the Royal Statistical Society, Series A, 160, pp. 268–282.

Belsley, D. A., Kuh, E. and Welsch, R. E., (1980). „Regression Diagnostics – Identifying Influential Data and Sources of Collinearity“. Journal of Marketing Research 144(3), xv + 292 pages.

Breusch, T. S., Pagan, A. R. (1979). „A Simple Test for Heteroskedasticity and Random Coefficient Variation“. Econometrica, 47 (5), pp. 1287–1294

Chen, C.Y., Lin, C.J. and Lin, Y.C., (2008). „Audit partner tenure, audit firm tenure, and discretionary accruals: Does long auditor tenure impair earnings quality?“ Contemporary Accounting Research, 25(2), pp. 415-445.

Cinko, M., Afci, E., (2009). „Examining the day of the week effect in Istanbul Stock Exchange“. The International Business and Economics Research Journal, 8 (11), pp. 45-49.

Cross, F., (1973). „The Behaviour of Stock Price on Friday and Monday“. Financial Analysis Journal, No. 29, pp.67-69.

Damodaran, A., (1996). „Investment Valuation. John Wiley and Sons. Inc. New York.

Dickey, D. A., Fuller, W. A., (1979). „Distribution of the Estimators for Autoregressive Time Series With a Unit Root“. Journal of the American Statistical Association, pp. 427-431.

Durbin, J., Watson, G. S., (1950). „Testing for Serial Correlation in Least Squares Regression, I“. Biometrika 37 (3–4), pp. 409–428.

Durbin, J., Watson, G. S., (1951). „Testing for Serial Correlation in Least Squares Regression, II“. Biometrika 38 (1–2), pp. 159–179.

Elango, R., Al Macki, N., (2008). „Monday effect and stock return seasonality: Further empirical evidence“. The Business Review, Cambridge, 10(2), pp. 282-288.

Fama, E. F., (1970). „Efficient Capital Markets: A Review of Theory and Empirical Work“. Journal of Finance, 25(2), pp. 383-417.

Fama, E. F., (1995). „Random Walks in Stock Market Prices“. Financial Analysts Journal, September/ October, 5 (21), pp. 75-80.

Fields, M.J., (1931). „Stock Prices: A Problem in Verification“. Journal of Business, Vol (4).

French, K., (1980). „Stock Return and the Weekend Effect“. Journal of Financial Economics, No. 40. pp.31-62.

Fruk, M., (2004). „Sezonalnost prinosa dionica na Zagrebačkoj burzi.“ Financijska teorija i praksa, 28 (4), pp. 435-444.

Gibbons, M., and Hess, P., (1981). „Day of the Week Effects and Asset Returns.“ Journal of Business, No. 54, pp. 579-596.

Jaffe, J., and R. Westerfield., (1985). „The Weekend Effect in Common Stock Returns: The International Evidence.“ Journal of Finance, No. 40, pp. 433-454.

Kamath, R., Liu, C. (2011). „The day-of-the-week effect on the Santiago Stock Exchange of Chile“. Journal of International Business Research, 10 (1).

Keim, D. B., and F. Stambaugh., (1984). „A Further Investigation of Weekend Effects in Stock Returns.“ Journal of Finance, No. 39, pp. 819-840.

Raj, M., Kumari, D., (2006). „Day-of-the-week and other market anomalies in the Indian Stock Market“. International Journal of Emerging Markets, 1(3),pp. 235-246.

Rokhim, R., Tanuwijaya, H., (2015). „Market Anomalies and Intraday Return Indonesia Stock Exchange“. International Journal of Economics & Management Sciences, No 5 (4).

Solnik, B., and L. Bousquet., (1990). „Day-of-the-Week Effect on the Paris Bourse.“ Journal of Banking and Finance, No. 14, pp. 461-468.

Šego, B., Škrinjarić, T., (2012). „Modeliranje dnevne sezonalnosti prinosa na Zagrebačkoj burzi, Matematički modeli u analizi razvoja hrvatskog financijskog tržišta.“ (urednici: Aljinović, Z., Marasović, B.), Sveučilište u Splitu, Ekonomski fakultet, Split, ISBN 978-953-281-049-3, pp. 159-172.

Škrinjarić, T., (2013). „Investicijske strategije prilagođene dnevnoj sezonalnosti u prinosima dionica“. Ekonomska misao i praksa, No 1., pp. 97-120.

Škrinjarić, T., (2013). „Investicijske strategije prilagođene dnevnoj sezonalnosti u prinosima dionica“. Ekonomska misao i praksa, No. 1, pp. 159-172.

Tukey, John W., (1953). „The Problem of Multiple Comparisons“. Unpublished manuscript, Princeton University.