Naslov
Exploring Calendar Effects in Sector Indices on Zagreb Stock Exchange

Autori
Škrinjarić, Tihana ; Šego, Boško

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
9th International Conference "An Enterprise Odyssey: Managing Change to Achieve Quality Development" / Načinović Braje, Ivana ; Jaković, Božidar ; Pavić, Ivana - Zagreb, 2018, 322-329

ISBN
978-953-346-057-4

Skup
9th International Conference “An Enterprise Odyssey: Managing Change to Achieve Quality Development”

Mjesto i datum
Zagreb, Hrvatska, 23.05.2018. - 26.05.2018

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
intra-month effects, turn-of-the-month effects, January effect, day-of-the-week effect, time-of-the-month effect, stock market

Sažetak
Calendar effects in stock returns are a well- known phenomenon which has been extensively researched over the last couple of decades. If they exist and are persistent over time, investors could exploit such anomalies in order to obtain short-term gains. In this paper we focus on several calendar effects in stock returns of five sector indices on Zagreb Stock Exchange (ZSE) for the period from January 2nd 2012 to October 31st 2017. We examine sector indices because there is a lack of research regarding sector investment opportunities. The results in this research can be used as a guideline for similar markets which have not yet been explored in similar manner. The effects which have not yet been explored on ZSE and which we examine are: intra-month, turn-of- the-month and time-of-the-month effect. Moreover, we observe January and day-of-the- week effect which have been examined only in the stock market index CROBEX.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA