This paper investigates calendar anomalies for four emerging stock markets (Romania, Bulgaria, Croatia and Turkey) and their mature counterpart in the Balkan region (Greece), during the period 2000-2008. Five well known calendar effects on both return and volatility are examined: The day of the...

This paper investigates calendar anomalies for one emerging stock market (Bulgaria) and its matured counterpart in the Balkan region (Greece) during the period 2002–2008. Five popular calendar effects on both mean and variance are examined; the day of the week effect, the January effect, the...