Georgieva Svrtinov, Vesna and Todevski, Dusko and Boskovska, Diana and Gorgieva-Trajkovska, Olivera (2017) New evidence for Monday's and January's effects on the Macedonian stock exchange index (MBI10) returns. Economic Development, Journal of the Institute of Economics - Skopje. ISSN 1857-7741
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Abstract
This paper examines the calendar effects on the Macedonian stock market’s daily returns during the period from 2006 to 2016. We focus on two market anomalies: the day of the week and the month of the year effect. Our aim is to find out if it is possible to earn higher return than the market return on the Macedonian Stock Exchange by using the alternative investment strategies related to Monday and January effects. We apply standard regression models with dummy variables for the effects in the mean returns. The results of the empirical analysis provide evidence for the existence of the Monday effect. However, the results did not indicate the existence of the January effect for the MBI 10 returns in the case of the Macedonian stock exchange. Keywords: calendar effects, market anomalies, day of the week effect, month of the year effect, market efficiency.
| Item Type: | Article |
|---|---|
| Subjects: | Social Sciences > Economics and business |
| Divisions: | Faculty of Economics |
| Depositing User: | Olivera Trajkovska |
| Date Deposited: | 16 Aug 2017 10:47 |
| Last Modified: | 16 Aug 2017 10:47 |
| URI: | https://eprints.ugd.edu.mk/id/eprint/18078 |
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