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- Title
NEW EVIDENCE FOR MONDAY'S AND JANUARY'S EFFECTS ON THE MACEDONIAN STOCK EXCHANGE INDEX (MBI10) RETURNS.
- Authors
SVRTINOV, VESNA GEORGIEVA; TODEVSKI, DUSKO; BOSKOVSKA, DIANA; GJORGIEVA-TRAJKOVSKA, OLIVERA
- Abstract
This paper examines the calendar effects on the Macedonian stock market's daily returns during the period from 2006 to 2016. We focus on two market anomalies: the day of the week and the month of the year effect. Our aim is to find out if it is possible to earn higher return than the market return on the Macedonian Stock Exchange by using the alternative investment strategies related to Monday and January effects. We apply standard regression models with dummy variables for the effects in the mean returns. The results of the empirical analysis provide evidence for the existence of the Monday effect. However, the results did not indicate the existence of the January effect for the MBI 10 returns in the case of the Macedonian stock exchange.
- Subjects
STOCK exchanges; INVESTMENT policy; ECONOMIC indicators; EFFICIENT market theory; STOCK price indexes
- Publication
Economic Development / Ekonomiski Razvoj, 2017, Vol 19, Issue 1/2, p117
- ISSN
1409-7893
- Publication type
Article