文章基本信息

标题：Seasonality in the Baltic Stock Markets
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作者：Rasa Norvaisiene ; Rasa Norvaisiene ; Jurgita Stankeviciene 等
期刊名称：Procedia - Social and Behavioral Sciences
印刷版ISSN：1877-0428
出版年度：2015
卷号：213
页码：468-473
DOI：10.1016/j.sbspro.2015.11.435
语种：English
出版社：Elsevier
摘要：AbstractInvestors 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.
关键词：Baltic Stock Markets;Calendar Effects;Markets Seasonality;Seasonal Anomalies;Month Effect.