Calendar anomaly in the Greek stock market: Stochastic dominance analysis

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...

Full description

Saved in:
Bibliographic Details
Published in:International review of financial analysis 2008-06, Vol.17 (3), p.461-474
Main Authors: Al-Khazali, Osamah M., Koumanakos, Evangelos P., Pyun, Chong Soo
Format: Article
Language:English
Subjects:
Cumulative density function
Day effect
Emerging markets
January effect
Rates of return
Seasonality
Stochastic dominance
Stochastic models
Stock exchanges
Studies
Week effect
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:1057-5219
1873-8079
DOI:10.1016/j.irfa.2007.02.001