Review article

THE CALENDAR EFFECTS ON STOCK RETURNS

Tihana Škrinjarić

Abstract

The Efficient Market Hypothesis (EMH) has been very popular since its formation. Nevertheless, over the years there have been arising some papers which have proved the existence of various anomalies in stock returns, which could not be explained by EHM. Calendar anomalies (effects) are one of the above mentioned anomalies, and they are very interesting to research, not only in developed markets, but also on emerging ones. This paper gives a systematic overview of definitions and previous empirical research of calendar effects. In that way investors can gain a concise insight into them. Some previous research of Zagreb Stock Exchange on these issues has been scarce. This paper should help investors to empirically evaluate various effects on the Croatian stock market in order to form trading strategies with the goal of beating the market.

Keywords

calendar effects; January effect; day-of-the-week effect; Efficient Market Hypothesis; capital markets

Hrčak ID:

93448

URI

https://hrcak.srce.hr/93448

Publication date:

1.12.2012.

Article data in other languages: croatian

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