Testing the turn-of-the-year effect on Baltic stock exchanges
Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Straipsnis / Article
Language:
Anglų kalba / English
Title:
Testing the turn-of-the-year effect on Baltic stock exchanges
Authors:
In the Journal:
Review of Finance and Banking. 2013, Vol. 5, Iss. 2, p. 145-154
Subject Category:
Summary / Abstract:
ENThis paper is testing the presence of the Turn-of-the-year effect on Baltic stock exchanges from 2000 to 2012. The results show that on index basis, the Turn-of-the-year effect was present on Baltic stock exchanges in all years. On the level of single stocks the effect varied by years and also by lists. In terms of single stocks, many stocks showed excess return on Baltic stock exchanges during the Turn-of-the-year period. The effect provided excess returns mostly on main list stocks, but not on secondary list stocks due to high bid-ask spreads. [From the publication]
ISSN:
2067-2713
Subject:
Related Publications:
Efficiency and price clustering in the Baltic stock exchanges: evidence from a micro-level analysis / Júlio Lobão. Journal of Baltic studies. 2023, p. 1-19.
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https://www.lituanistika.lt/content/108117
Updated:
2024-05-24 13:45:07
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