Calendar Effects

Paper Summary:

The paper examines the day of the week and the month of the year effects on the stock market in Athens, with the expectation of negative or lower returns on Monday, the highest average returns on Friday and the higher average returns in January. The paper finds insignificant returns on Monday, but significant positive and higher average returns on Friday. The paper reaches the conclusion that the Athens stock market might not be characterized by market efficiency, as calendar anomalies are present. The paper includes graphs and tables as appendices to the paper.

Outline:
Introduction
Methodology
Data
Results
Conclusion

From the Paper:

"Many studies and researches have been made in calendar effects. One of them is the study of Aggarwal and Tandon (1994) test the day-of-the week found that Monday returns are negative in thirteen countries, but are significant only in seven countries. Also they found that Friday returns are significantly positive in almost all countries. Agathee (2008) examined the day of the week effect, who finds positive and significant ordinary least squares regression coefficients on Mondays, Wednesdays, Thursdays and Fridays, but however Fridays returns are the highest. Mills et al. (2000) haven't found Monday effect , but a Tuesday effect similar to other papers is presented. Aggarwal and Rivoli (1989) find that Monday and Tuesday returns are lower than the overall average, while the Friday returns are higher, as also the volatility measured by the standard deviation is highest on Mondays."

Sample of Sources Used:

• Agathee U.S. (2008). Day of the Week Effects: Evidence from the Stock Exchange of Mauritius (SEM). International Research Journal of Finance and Economics 17, 7-14
• Aggarwal R, and Rivoli P. (1989). Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets. The Financial Review 24 (7), 541-550
• Aggarwal A, Tandon K. (1994). Anomalies or illusions? Evidence from stock markets in eighteen countries. Journal of International Money and Finance 13, 083-106
• Alagidede P. and Panagiotidis T., (2006) "Calendar Anomalies in the Ghana Stock Exchange" Loughborough University, Department of economics Discussion paper series, WP 2006 - 13, U.K.
• Choudhry T. (2001). Month of the year effect and January effect in Pre-WWI stock returns: Evidence from a non-linear GARCH model. International Journal of Finance and Economics 6: 1-11

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