| Title |
Variation of the month effect in Central and Eastern Europe stock markets |
| Authors |
Norvaisiene, Rasa ; Stankeviciene, Jurgita |
| DOI |
10.5937/imcsm26 |
| eISBN |
9788663051690 |
| Full Text |
|
| Is Part of |
XXII international May conference on strategic management – IMCSM26 proceedings, May 2026, Belgrade, Serbia: book of proceedings: An international serial publication for theory and practice of management science.. Bor : University of Belgrade, 2026. p. 502-511.. eISBN 9788663051690 |
| Keywords [eng] |
calendar anomalies ; month effect ; stock return ; Central and East Europe stock markets ; GARCH estimation |
| Abstract [eng] |
The aim of this paper is to analyze the change in the manifestation of the month effect in Eastern and Central European countries during periods of intense fluctuations. Following stock indexes that best reflect the situation in thirteen Eastern and Central European stock markets were used in this research: the Bulgarian stock index SOFIX, Polish - WIG, Romanian - BET, Serbian - BELEX15, Slovenian - SBITOP, Bosnia and Herzegovina - BIRS, Croatian - CROBEX, Slovak - SAX, Hungarian - BUX, Czech - PX, Lithuanian - OMXV, Latvian - OMXR, Estonian - OMXT. The daily closing prices of the indexes for the years 2009-2025 were used in the study. To assess the change in the manifestation of the month effect, the study period was divided into 2 subperiods: 2009-2019 and 2020-2025. The results obtained after using the GARCH(1,1) and EGARCH models for the study evidenced that since 2020, with the onset of intense fluctuations in the stock markets of Eastern and Central Europe, month effects have changed significantly as compared to previous periods, and this should be noted by investors. |
| Published |
Bor : University of Belgrade, 2026 |
| Type |
Conference paper |
| Language |
English |
| Publication date |
2026 |
| CC license |
|
