Seasonality in the Athens stock exchange

Authors: Mills T. C.; Siriopoulos C.; Markellos R. N.; Harizanis D.

Source: Applied Financial Economics, Volume 10, Number 2, 1 April 2000 , pp. 137-142(6)

Publisher: Routledge, part of the Taylor & Francis Group

Key:
Free Content - Free Content
New Content - New Content
Subscribed Content - Subscribed Content
Free Trial Content - Free Trial Content

Abstract:

This paper studies calendar effects in the emerging Athens Stock Exchange. Rather than examining only basket indices, we analyse calendar effects for each of the constituent stocks of the Athens Stock Exchange General Index for the period from October 1986 to April 1997. In accordance with similar studies substantial evidence of 'day-of-the week', 'monthly', 'trading month' and 'holiday' effects are found. The intensity of these effects for various stocks on the basis of capitalization, beta coefficients and company type are examined. The results indicate that the calendar regularities vary significantly across the constituent shares of the General Index and that aggregation introduces a considerable bias in unravelling these regularities. Also, it is found that factors such as the beta coefficient and company type influence significantly the intensity of calendar effects.

Language: English

Document Type: Research article

The full text electronic article is available for purchase. You will be able to download the full text electronic article after payment.

$38.49 plus tax

 

OR

Back to top

Key:
Free Content - Free Content
New Content - New Content
Subscribed Content - Subscribed Content
Free Trial Content - Free Trial Content
Page Help Click here for Page Help
Shopping cart
Tools
Sign in






Need to register?
Sign up here
Text size: A | A | A | A