Calendar Anomaly in the Athens Stock Exchange: Stochastic Dominance Analysis
| dc.contributor.author | Κουμανάκος, Ευάγγελος | el |
| dc.contributor.author | Khazali, A. | en |
| dc.contributor.author | Pyun, C. | en |
| dc.date.accessioned | 2015-11-24T17:05:01Z | |
| dc.date.available | 2015-11-24T17:05:01Z | |
| dc.identifier.uri | https://olympias.lib.uoi.gr/jspui/handle/123456789/11258 | |
| dc.rights | Default Licence | - |
| dc.subject | January effect | en |
| dc.subject | Week effect | en |
| dc.subject | Day effect | en |
| dc.subject | Stochastic dominance | en |
| dc.subject | Seasonality | en |
| dc.subject | Cumulative density function | en |
| dc.title | Calendar Anomaly in the Athens Stock Exchange: Stochastic Dominance Analysis | en |
| heal.abstract | Using stochastic dominance (SD) analysis, this paper examines calendar anomalies in the Athens Stock Exchange (ASE), an emerging market thrust into a path of rapid transition by the economic integration of Greece with the European Union. SD offers two essential analytical attributes: It requires no assumptions regarding the normality of return distributions, and it imposes few restrictions on investors' risk-return tradeoff preference. Between 1985 and 2004, we find temporal predictability of returns in the ASE " a strong " day" effect and rather weak " week" and " January" effects. Our findings on the week and January effects are far less robust as compared to those reported in earlier studies based on parametric tests. | en |
| heal.access | campus | - |
| heal.fullTextAvailability | TRUE | - |
| heal.identifier.primary | http://dx.doi.org/10.1016/j.irfa.2007.02.001 | - |
| heal.journalName | International Review of Financial Analysis | en |
| heal.journalType | peer reviewed | - |
| heal.language | en | - |
| heal.publicationDate | 2008 | - |
| heal.recordProvider | Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών | el |
| heal.type | journalArticle | - |
| heal.type.el | Άρθρο Περιοδικού | el |
| heal.type.en | Journal article | en |
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