Calendar anomaly in the Greek stock market: Stochastic dominance analysis

Autor:	Evangelos Koumanakos, Osamah M. Al-Khazali, Chong Soo Pyun
Rok vydání:	2008
Předmět:	Economic integration Economics and Econometrics Financial economics Stochastic dominance Stock exchange Economics media_common.cataloged_instance Stock market European union Predictability January effect Emerging markets Finance media_common
Zdroj:	International Review of Financial Analysis. 17:461-474
ISSN:	1057-5219
DOI:	10.1016/j.irfa.2007.02.001
Popis:	Using stochastic dominance (SD) analysis, this paper examines calendar anomalies in the Athens Stock Exchange (ASE), an emerging market thrust into a path of rapid transition by the economic integration of Greece with the European Union. SD offers two essential analytical attributes: It requires no assumptions regarding the normality of return distributions, and it imposes few restrictions on investors' risk-return tradeoff preference. Between 1985 and 2004, we find temporal predictability of returns in the ASE — a strong “day” effect and rather weak “week” and “January” effects. Our findings on the week and January effects are far less robust as compared to those reported in earlier studies based on parametric tests.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a17fc4125b5df9c5ce87474aad18834b https://doi.org/10.1016/j.irfa.2007.02.001 Zobrazit plný text záznamu Full Text from ScienceDirect