January anomalies on CEE stock markets
Numerous studies show that stock markets are often impacted by various calendar anomalies that disrupt the “random walk” behavior of stock prices. These anomalies contradict the Efficient markets theory and can be exploited to generate abnormal returns. This paper investigates the presence of two of...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2021-10-01
|
| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/15736/IMFI_2021_04_Arendas.pdf |
| _version_ | 1826908694814654464 |
|---|---|
| author | Peter Árendáš Božena Chovancová Jana Kotlebova Martin Koren |
| author_facet | Peter Árendáš Božena Chovancová Jana Kotlebova Martin Koren |
| author_sort | Peter Árendáš |
| collection | DOAJ |
| description | Numerous studies show that stock markets are often impacted by various calendar anomalies that disrupt the “random walk” behavior of stock prices. These anomalies contradict the Efficient markets theory and can be exploited to generate abnormal returns. This paper investigates the presence of two of them, namely the January effect and the January barometer, on the stock markets of 12 Central and Eastern European (CEE) countries. The paper examines the statistical significance of differences in returns recorded over the month of January and returns recorded over the other months (the January effect), as well as the statistical significance of differences between returns recorded during the remainder of year after a positive January return and after a negative January return (the January barometer). The results show, among other things, that the statistically significant January effect affects the Estonian, Lithuanian, Czech, Romanian, and Latvian stock markets. On the Romanian and Lithuanian stock markets, statistically significantly higher January returns are accompanied by statistically significantly higher January price volatility. On the other hand, we can speak of a statistically significant January barometer only in the case of the Latvian, Lithuanian, and Ukrainian stock markets. The presence of these anomalies is contrary to the Efficient market theory. It can be assumed that proper investment strategies based on these calendar anomalies should be able to generate abnormal returns.
AcknowledgmentThis paper is an outcome of the science projects VEGA (1/0613/18) and VEGA (1/0221/21). |
| first_indexed | 2024-12-20T16:11:41Z |
| format | Article |
| id | doaj.art-c75af93688a44d97a7eaa956fa4fc30c |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2025-02-17T09:28:09Z |
| publishDate | 2021-10-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-c75af93688a44d97a7eaa956fa4fc30c2025-01-02T11:31:42ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582021-10-0118412013010.21511/imfi.18(4).2021.1115736January anomalies on CEE stock marketsPeter Árendáš0https://orcid.org/0000-0003-1413-2795Božena Chovancová1https://orcid.org/0000-0003-1253-6446Jana Kotlebova2https://orcid.org/0000-0002-2716-0165Martin Koren3https://orcid.org/0000-0001-6334-5733Ph.D., Associate Professor, Department of Banking and International Finance, University of Economics in BratislavaProfessor, Department of Banking and International Finance, University of Economics in BratislavaAssociate Professor, Department of Banking and International Finance, University of Economics in BratislavaDoctoral Student, Department of Banking and International Finance, University of Economics in BratislavaNumerous studies show that stock markets are often impacted by various calendar anomalies that disrupt the “random walk” behavior of stock prices. These anomalies contradict the Efficient markets theory and can be exploited to generate abnormal returns. This paper investigates the presence of two of them, namely the January effect and the January barometer, on the stock markets of 12 Central and Eastern European (CEE) countries. The paper examines the statistical significance of differences in returns recorded over the month of January and returns recorded over the other months (the January effect), as well as the statistical significance of differences between returns recorded during the remainder of year after a positive January return and after a negative January return (the January barometer). The results show, among other things, that the statistically significant January effect affects the Estonian, Lithuanian, Czech, Romanian, and Latvian stock markets. On the Romanian and Lithuanian stock markets, statistically significantly higher January returns are accompanied by statistically significantly higher January price volatility. On the other hand, we can speak of a statistically significant January barometer only in the case of the Latvian, Lithuanian, and Ukrainian stock markets. The presence of these anomalies is contrary to the Efficient market theory. It can be assumed that proper investment strategies based on these calendar anomalies should be able to generate abnormal returns. AcknowledgmentThis paper is an outcome of the science projects VEGA (1/0613/18) and VEGA (1/0221/21).https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/15736/IMFI_2021_04_Arendas.pdfcalendar anomalyCEEJanuary barometerJanuary effectstock market |
| spellingShingle | Peter Árendáš Božena Chovancová Jana Kotlebova Martin Koren January anomalies on CEE stock markets Investment Management & Financial Innovations calendar anomaly CEE January barometer January effect stock market |
| title | January anomalies on CEE stock markets |
| title_full | January anomalies on CEE stock markets |
| title_fullStr | January anomalies on CEE stock markets |
| title_full_unstemmed | January anomalies on CEE stock markets |
| title_short | January anomalies on CEE stock markets |
| title_sort | january anomalies on cee stock markets |
| topic | calendar anomaly CEE January barometer January effect stock market |
| url | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/15736/IMFI_2021_04_Arendas.pdf |
| work_keys_str_mv | AT peterarendas januaryanomaliesonceestockmarkets AT bozenachovancova januaryanomaliesonceestockmarkets AT janakotlebova januaryanomaliesonceestockmarkets AT martinkoren januaryanomaliesonceestockmarkets |