This paper uses a data set from FYROM Stock Exchange to investigate the presence of calendar effects in this recently organised equity market during the period 2002–2008. Five well known calendar effects are examined by both mean (OLS) and variance (GARCH) regressions; the day of the week...

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...