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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Makale Bilgileri

Dergi:
İşletme ve Ekonomi Araştırmaları Dergisi
Makalenin Başlığı: Month Related Seasonality on the Macedonian Stock Market
Yazar(lar): Julijana Angelovska
Cilt:5
Sayı:1
Yıl:2014
Sayfa: 143-150
ISSN:1309-2448
Özet

A consistent theme in the market efficiency literature has concerned the presence of calendar anomalies or seasonality in stock market returns. Whereas calendar anomalies in advanced equity markets have been investigated extensively, the stock markets in the transition economies have received less attention. This research examines the month-of-the-year effect on Macedonian Stock Exchange using a simple single ANOVA model and regression-based approach. If there is evidence of existence of predictable pattern or market inefficiency, then investors can have opportunity to generate abnormal returns by forecasting of the predictable movements in asset prices. The results indicate that there is evidence of month of the year effect. ANOVA model rejected the null of equality in the monthly returns during the year, and dummy variable regression model using OLS methodology found that returns are significantly lower in November. These findings can be useful for the investors trading on the Macedonian Stock Exchange.

Anahtar Kelimeler: Calendar pattern, seasonality, month-of-the-year, market efficiency, Macedonian stock exchange

JEL Sınıflandırması: C12, G10, G14

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