Analysis of Calendar Anomalies in the European Stock Market

Student: Shokorova Daria

Educational Programme: Economics (Bachelor)

Final Grade: 8

Year of Graduation: 2020

The aim of this research is to check the European stock markets for efficiency in terms of the presence of calendar anomalies. The main calendar anomalies of this study were the January effect and the Monday effect. The study was conducted on the stock markets of 28 European countries in four time intervals, the largest of which is 2002-2019. To solve the problems, the OLS model and the ARMA and GARCH models were used. In addition, this study examined 19 other indices to check the impact of these effects on companies with different capitalization. It was revealed that Monday's effect is more significant in the returns of large companies. Also, the dates of the release of financial statements and information on the stock markets of European countries and their relationship with calendar anomalies were additionally analyzed. It has been shown that for some European stock markets Efficient-market hypothesis is being violated.

Full text (added May 14, 2020)

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