Behavior of calendar anomalies and the adaptive market hypothesis: evidence from the Baltic stock markets

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.

本研究针对波罗的海股票市场的日历异象，检验了自适应市场假说（Adaptive Market Hypothesis，AMH）。研究采用滚动窗口结合克鲁斯卡尔-沃利斯（Kruskal–Wallis）统计量的子样本GARCH(1,1)回归方法，对已知日历异象开展时序分析。本研究在该市场中确认了三类日历异象：周五效应、年度月份效应（Month of the Year，MoY，涵盖七月与一月效应）以及月末效应（Turn-of-the-Month，ToM）。波罗的海股票市场展现出契合自适应市场假说的运行特征。研究发现，基于周五效应、七月效应与月末效应构建的投资策略所能获取的超额收益，在2007至2009年金融危机期间完全消失。周五效应与月末效应呈现出更强的时变特征，而七月效应的时变程度相对较弱。