Stock market calendar effects impact South Eastern Europe's daily returns.
The article looks at stock market trends in South Eastern Europe from 2007 to 2014. Researchers studied how certain calendar patterns affect stock returns. They found that the day of the week has an impact on returns in nine out of ten markets. The half month effect affects returns in one market for mean returns and five markets for volatility. The turn of the month effect influences mean returns in six markets and volatility in all markets.