Seasonal Trends in Lithuanian Stock Market

Purpose of the article is to disentangle different calendar effects which leave efficiency holes in Lithuanian market. This paper presents and tests if commonly described seasonal patterns exist in Lithuanian stock market. Analysis of three different sections: period-of-the-year; week-of-the-month and day-of-the-week, suggests that calendar effects do exist in this market. The multitude of explanations for the seasonal effect leaves the reader confused about its primary cause(s): is it tax-loss selling, window dressing, information, bid-ask bounce, or a combination of these causes? The confusion arises, in part, because evidence has generally been presented in support of a particular hypothesis though the same evidence may be consistent with another hypothesis. Methodology/methods are logical and systemic analysis of research literature based on the comparative and generalization methods as well as statistical methods. Scientific aim of the article is the lack of arguments questioning if market prices operating system is fully effective. Novelty of the paper is to the answer to the question what seasonal anomalies are also present in the stock market of new open economy countries. Findings show that using this modified strategy investor could achieve 20.7% compounded annual growth rate versus 7.8% achieved using simply holding stocks throughout. The hypothesis asserts that returns generally will be greater following the “January effect”. There is limited amount of data for constructing robust seasonal strategies so we modified Buy and Hold strategy with simple rules of using best and worst months to show how they influence OMXV index performance. In the conclusions, empirical results using stock index returns for 2000 - 2010 support the hypothesis in Lithuaian stock market. Abnormal activity of OMXV index’s performance is found in the end of summer and throughout autumn. August is best performer of the year while October is performing worst

The microstructure of the U.S. treasury market

This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury issues; stages of the Treasury market; the major players, including the role of the Federal Reserve Bank of New York and the interdealer brokers; the structure of both the spot and futures markets; the findings of the seasonality/announcement and order book literature; and research on price discovery. We conclude by discussing possible future avenues of research.Government securities

Taxpayer search for information: implications for rational attention

We examine data on capital-gains-tax-related information search to determine when and how taxpayers acquire information. We find seasonal increases in information search around tax deadlines, suggesting that taxpayers seek information to comply with tax law. Positive correlations between stock market activity and search as well as year-end spikes in information search on capital losses when the market performs poorly suggest that taxpayers seek information for tax planning purposes. Policy changes and news events cause information search. These data suggest that taxpayers are not always fully informed, but that rational attention and exogenous shocks to tax salience drive taxpayer information search

The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market

This paper assesses the existence of persistent seasonal effects in the daily returns of the Portuguese stock market. We use daily data on the stock market index to study long-lasting differences in returns across the days of the week, within months and around holidays. For the period 1988-2001, we find no evidence that daily returns are different between weekdays. However, we find a closed-market effect during 1988-1996. This effect disappears for the 1997-2001 period which coincides with the period from when the Portuguese market started to be internationally considered as a developed market.

Taxpayer Search for Information: Implications for Rational Attention

We examine novel data on searches for capital-gains-tax-related information to determine when and how taxpayers acquire information. We find strong seasonal increases in information search around tax filing deadlines, suggesting that taxpayers seek information to comply with tax law. Positive correlations between stock market activity and information search and year-end spikes in information search on capital losses suggest that taxpayers seek information for tax planning purposes. Policy changes and news events cause noteworthy information search. Overall, these data suggest that taxpayers are not always fully informed, but that rational attention and exogenous shocks to tax salience drive taxpayer information search.http://deepblue.lib.umich.edu/bitstream/2027.42/99756/1/1198_Slemrod.pdfhttp://deepblue.lib.umich.edu/bitstream/2027.42/99756/4/1198_Slemrod_sept13.pd

The demand for euro area currencies: past, present and future

The present paper analyses currency in circulation in the euro area since the beginning of the 1980s. After a comprehensive literature review on this topic we present some stylised facts on currency holdings in the euro area countries as well as at an aggregate euro area level. The next chapter develops a theoretical model, which extends traditional money demand models to also incorporate arguments for the informal economy and foreign demand for specific currencies. In the empirical sections we first estimate the demand for euro legacy currencies in total and for small and large denominations within a cointegration framework. We find significant differences between the determinants of holdings of small and large denominations as well as overall currency demand. While small-value banknotes are mainly driven by domestic transactions, the demand for large-value banknotes depends on a short-term interest rate, the exchange rate of the euro as a proxy for foreign demand and inflation variability. Large-value banknotes seem to be therefore used to an important extent as a store of value domestically and abroad. As monetary policy is mainly interested in getting information on the demand for currency used for domestic transactions we also try several approaches in this direction. All the methods applied result in rather low levels of transaction balances used within the euro area of around 25% to 35% of total currency. After this we deal with possibly changing cost-benefit-considerations of the use of cash due to the introduction of euro notes and coins. Overall, there seems no evidence so far of a substantial decline of the demand for currency in the euro area. JEL Classification: E41, E52, E58cointegration, currency in circulation, purposes of holding currency

A survey of announcement effects on foreign exchange volatility and jumps

This article reviews, evaluates, and links research that studies foreign exchange volatility reaction to macro announcements. Scheduled and unscheduled news typically raises volatility for about an hour and often causes price discontinuities or jumps. News contributes substantially to volatility but other factors contribute even more to periodic volatility. The same types of news that affect returns—payrolls, trade balance, and interest rate shocks—are also the most likely to affect volatility, and U.S. news tends to produce more volatility than foreign news. Recent research has linked news to volatility through the former’s effect on order flow. Empirical research has confirmed the predictions of microstructure theory on how volatility might depend on a number of factors: the precision of the information in the news, the state of the business cycle, and the heterogeneity of traders’ beliefs.Foreign exchange

Presence of Day-of-the-Week Effect in the Karachi Stock Market

This study investigates the day-of-the week (DOW) effect and volatility in Karachi Stock Exchange (KSE), from 2009-2013, using all four indices in the exchange. The objective is to assess the reliability of the four indices working at KSE, from investor perspective of portfolio and risk management of KSE. By using OLS and autoregressive technique with lagged value of returns the study shows Tuesday and Thursday effect in case of KSE-100 and KSE-all share respectively. No DOW effect in KSE-30 and in KMI-30 indices found. This is in favour of the free-floating concept of shares in these indices. The GARCH (1,1) technique with student’s t distribution revealed highly persistent volatility in  KSE-100 index, comparatively less persistent shocks in KSE-all share and KSE-30 index and a rapid decay in KMI-30. Keywords: Day-of-the-week effect; KSE-100 index; KSE-30 index; KMI-30 index; KSE-all share index; GARCH (1,1

Lunar effect and other Calendar effects: Evidence from Vietnamese stock market

There are beliefs that the Moon affects human behaviors and behavioral biases impact investors’ decisions. Although these topics have been well studied in developed stock markets for years, it is still subjected to shortage of academic attentions in Vietnamese market. As a result, this deficiency motivated the author to perform a systematic test in this stock market. The thesis investigates the associations of lunar cycle and other Calendar effects with stock market returns in Vietnam. The sample includes returns of seven major indexes as well as twenty industry indexes over the period of 2009 to 2014. The relationships are tested by econometric analyses with selected indexes as dependent variables and dummy variables of respective anomalies as interested objects. The empirical findings suggest that there is little evidence supporting the existence of anomalies in Vietnamese stock market. Regarding lunar effect, although the daily returns during full moon periods are consistently lower than that of the new moon period, the results are not statistically significant. Moreover, we only acquire the appearance of January effect in Vietnamese stock market for the chosen five-year period and the coefficients are statistically significant at least at 5% level. However, similar to lunar effect, the presences of Weekend effect, Intra-month effect and Turn-of-the-month effect are not confirmed.fi=Opinnäytetyö kokotekstinä PDF-muodossa.|en=Thesis fulltext in PDF format.|sv=Lärdomsprov tillgängligt som fulltext i PDF-format

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