Publication
Calendar effects in stock markets : critique of previous methodologies and recent evidence in european countries
| dc.contributor.author | Borges, Maria Rosa | |
| dc.date.accessioned | 2010-04-14T13:57:30Z | |
| dc.date.available | 2010-04-14T13:57:30Z | |
| dc.date.issued | 2009 | |
| dc.description.abstract | This paper examines day of the week and month of the year effects in seventeen European stock market indexes in the period 1994-2007. We discuss the shortcomings of model specifications and tests used in previous work, and propose a simpler specification, usable for detecting all types of calendar effects. Recognizing that returns are non-normally distributed, autocorrelated and that the residuals of linear regressions are variant over time, we use statically robust estimation methodologies, including bootstrapping and GARCH modeling. Although returns tend to be lower in the months of August and September, we do not find strong evidence of across-the-board calendar effects, as the most favorable evidence is only country-specific. Additionally, using rolling windows regressions, we find that the stronger country-specific calendar effects are not stable over the whole sample period, casting additional doubt on the economic ignificance of calendar effects. We conclude that our results are not immune to the critique that calendar effects may only be a “chimera” delivered by intensive data mining. | pt |
| dc.identifier.citation | Borges, Maria Rosa. (2009). "Calendar effects in stock markets : critique of previous methodologies and recent evidence in european countries". Instituto Superior de Economia e Gestão - DE working paper nº 37-2009/DE/SOCIUS. | pt |
| dc.identifier.issn | 0874-4548 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/1825 | |
| dc.language.iso | eng | pt |
| dc.publisher | ISEG - Departamento de Economia | pt |
| dc.relation.ispartofseries | DE/ Working papers nº 37-2009/DE/SOCIUS | |
| dc.subject | Day-of-the-Week Effect | pt |
| dc.subject | Month Effect | pt |
| dc.subject | Market Efficiency | pt |
| dc.subject | European Stock Markets | pt |
| dc.title | Calendar effects in stock markets : critique of previous methodologies and recent evidence in european countries | pt |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt |
| rcaap.type | workingPaper | pt |