The monthly and trading month effects in Greek stock market returns: 1996‐2002

Abstract

Purpose

The paper aims to investigate the monthly and trading month effects in the stock market returns of the ASE using daily data before and after the crisis of 1999‐2001. In addition, the study seeks to consider data from both periods of the ASE, before and after the upgrade of the market (May 2001).

Design/methodology/approach

This paper examines the calendar effects in the Greek stock market returns using an ordinary least squares (OLS) model. Daily closing prices of the General ASE Index, FTSE/ASE‐20 and FTSE/ASE Mid 40 are used to calculate daily returns. The time period includes data from 26 November 1996 to 12 July 2002 for General ASE Index, 23 September 1997‐30 August 2001 for FTSE/ASE‐20 and 8 December 1999‐30 August 2001 for FTSE/ASE Mid 40.

Findings

The results show that there is no January effect. In other words, daily returns are not higher in January than in any other month. Moreover, the results for the trading month effect show higher (but not significant) returns over the first fortnight of the month.

Practical implications

The results have important implications for both traders and investors. The findings are strongly recommended to financial managers dealing with Greek stock indices.

Originality/value

The contribution of this paper is to provide evidence using data before and after the financial crisis of 1999‐2001 in Greece.

Citation

Floros, C. (2008), "The monthly and trading month effects in Greek stock market returns: 1996‐2002", Managerial Finance, Vol. 34 No. 7, pp. 453-464. https://doi.org/10.1108/03074350810874415