Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets

Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Straipsnis / Article
Language:
Anglų kalba / English
Title:
Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets
Authors:
In the Journal:
Journal of Baltic studies. 2022, vol. 53, no. 2, p. 187-210
Keywords:
LT
Finansai. Kapitalas / Finance. Capital; Rinka. Rinkodara / Market. Marketing.
Summary / Abstract:

ENThis research tests the Adaptive Market Hypothesis (AMH) regarding calendar anomalies in the Baltic stock markets. Analysis of known calendar anomalies over time is carried out by using sub-sample GARCH (1,1) regression with Kruskal–Wallis statistics and rolling windows. Three calendar anomalies were confirmed in these markets: Friday, MoY (July and January), and ToM (turn-of-the-month). The Baltic stock markets demonstrated behavior supporting the AMH. It was found that the opportunity to earn abnormal returns on investment strategies based on Friday, July, and ToM effects disappeared during the financial crisis of 2007–9. The Friday and the ToM effects follow a more time-varying pattern, while the July effect is less so. [From the publication]

DOI:
10.1080/01629778.2021.1990094
ISSN:
0162-9778; 1751-7877
Subject:
Ekonomika / Economics
Related Publications:
Semi-strong form efficiency in the Baltic stock markets under changing economic situation / Vilija Alekneviciene, Lauryna Kviedaraitiene, Egle Alekneviciute. Inžinerinė ekonomika. 2018, 29 (5), p. 495-506.
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https://www.lituanistika.lt/content/98132
Updated:
2022-10-17 22:33:50
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