The paper examines the day of the week and the month of the year effect n the stock market index of Athens.
Written in 2007; 1,328 words; 8 sources; APA; $ 44.95
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."
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