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ABSTRACT
This research tests the Adaptive Market Hypothesis (AMH) regarding calendar anomalies in the Baltic stock markets. Analysis of known calendar anomalies over time is carried out by using sub-sample GARCH (1,1) regression with Kruskal–Wallis statistics and rolling windows. Three calendar anomalies were confirmed in these markets: Friday, MoY (July and January), and ToM (turn-of-the-month). The Baltic stock markets demonstrated behavior supporting the AMH. It was found that the opportunity to earn abnormal returns on investment strategies based on Friday, July, and ToM effects disappeared during the financial crisis of 2007–9. The Friday and the ToM effects follow a more time-varying pattern, while the July effect is less so.
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No potential conflict of interest was reported by the author(s).
Supplementary material
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Additional information
Notes on contributors
Vilija Aleknevičienė
Vilija Aleknevičienė is a Professor in the Department of Applied Economics. Finance amd Accounting at Vytautas Magnus University, Kaunas, Lithuania. Her research interests include the risk-adjusted performance of companies and farms, investment valuation, decision modeling in financial markets, and financial behavior. [email protected], +37061228771
Vaida Klasauskaitė
Vaida Klasauskaitė received her master’s degree in Finance from Vytautas Magnus University, Kaunas, Lithuania. [email protected]
Eglė Aleknevičiūtė
Eglė Aleknevičiūtė is asenior economist in the Macroeconomics and Forecasting Devision at the Bank of Lithuania. She is responsible for the analysis and assessment of the national and international economic environment, and economic forecasting. Her research interests include global financial markets. [email protected]