Seasonality in the Baltic Stock Markets
LTReikšminiai žodžiai: Baltijos vertybinių popierių rinkos; Kalendoriaus efektai; Mėnesio efektas; Rinkos sezoniškumas; Sezoninės anomalijos; Baltic Stock Markets; Calendar Effects; Markets Seasonality; Month Effect; Seasonal Anomalies.
ENInvestors look for opportunities to increase returns and therefore apply different trade strategies. One of the options is to make use of market anomalies. Purpose of this paper is to investigate trends of seasonality evidences in the Baltic stock markets and to determine whether trading strategy based on seasonal anomalies allow an investor to earn abnormal profit. In our research, the daily log return indexes of Nasdaq OMX Tallinn, Nasdaq OMX Riga, and Nasdaq OMX Vilnius in Baltic stock exchange were analyzed for the period of 2003 – 2014. The methodology of the research employed in investigating seasonality in daily returns, entails estimating a regression with dummies to capture month effects or Halloween effect. The research of the main seasonal anomalies “Halloween” and Month effect in the Baltic stock markets for the period of 2003 – 2014 evidenced that Halloween effect exists in Estonia and Month effect exists in Estonia and Lithuania. [From the publication]
- Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets / Vilija Aleknevičienė, Vaida Klasauskaitė & Eglė Aleknevičiūtė. Journal of Baltic studies. 2022, vol. 53, no. 2, p. 187-210.
- 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.
- The Month effect in the Baltic and Nordic stock markets at market-level and sector-level / Rasa Norvaisiene, Jurgita Stankeviciene. Inžinerinė ekonomika 2022, 33 (5), p. 473-485.
