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Occurrence of Calendar Anomalies in Dividend Companies – the Case of Quarter-of-the-Year Effect

100%
Pieloch-Babiarz A.
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
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2020
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vol. 54
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issue 4
101-109
EN
Theoretical background: The efficient-market hypothesis (EMH) states that share prices immediately and fully reflect all information available on the market, so stock investors are not able to “beat the market” in the long term. Since stock exchanges are not fully efficient, there are numerous exceptions to EMH, called market anomalies (seasonal anomalies, fundamental anomalies, etc.). The occurrence of such anomalies enables stock investors to achieve excess market returns. Therefore, market anomalies are of particular interest to them. However, there are no studies on “beating the market” in the long term by dividend investing. Research to date has focused mainly on the short-term response of the capital market to dividend announcements.Purpose of the article: The purpose of this paper is to examine whether by dividend investing stock investor is able to “beat the market” on quarterly basis, i.e. achieve excess market returns in some quarters of the year. In order to conduct the research, the following hypothesis was formulated: The average rates of return on the dividend index are higher in the third quarter of the calendar year than the average rates of return on other indices.Research methods: The study was carried out in the period between 2012 and 2019 on the Warsaw Stock Exchange (WSE) using rates of return on income indices (i.e. WIG, WIGdiv, WIG20TR, WIG30TR, mWIG40TR and sWIG80TR). The main method used for the calculation was Kruskal–Wallis H test.Main findings: Average returns on examined indices were negative in the second quarter of the year. Our finding is consistent with the so-called holiday effect. The highest rates of return occurred in the third quarter, except for small and medium companies. In these cases, the highest returns were observed in the first quarter). The study conducted with the use of the Kruskal–Wallis H test showed that the null hypothesis, stating that the cases come from the same population, cannot be rejected.
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Efekt stycznia oraz jego dynamika na wybranych indeksach giełdowych krajów Europy Środkowo-Wschodniej

63%
Świder W.
Pieniądze i Więź
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2018
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vol. 21
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issue 2(79)
112-120
PL
W artykule badano efekt stycznia na wybranych indeksach giełdowych krajów Europy Środkowo-Wschodniej: Sofix Index (Bułgaria), PX Index (Czechy), OMX Tallinn Index (Estonia), OMX Riga Index (Łotwa), BET Index (Rumunia), SAX Index (Słowacja), UX Index (Ukraina), BUX Index (Węgry) oraz WIG20 Index (Polska). Okres badawczy obejmował lata 2002 – 2017. Został on podzielony na dwa podokresy w celu prześledzenia dynamiki anomalii. Rynek polski wykazał względną efektywność, efekt stycznia, mimo że występował na warszawskiej giełdzie, w ostatnich latach zanikł. Z drugiej strony, na wielu z analizowanych rynków, można było generować ponadprzeciętne stopy zwrotu w oparciu o efekt stycznia w ostatnich latach. W badaniu podzielono styczeń na krótsze okresy, w celu zidentyfikowania najbardziej dochodowych części pierwszego miesiąca. Okazało się, że średnio najwyższe stopy zwrotu generuje pierwsze pięć sesji stycznia.
EN
The article examines the effect of January on selected stock indices of Central and Eastern European countries: Sofix Index (Bulgaria), PX Index (Czech Republic), OMX Tallinn Index (Estonia), OMX Riga Index (Latvia), BET Index (Romania), SAX Index (Slovakia), UX Index (Ukraine), BUX Index (Hungary) and WIG20 Index (Poland). The research period covered the years 2002 – 2017. It was divided into two sub-periods in order to investigate the dynamics of the anomaly. The Polish market showed relative effectiveness. Despite the fact that the effect of January appeared on the Warsaw Stock Exchange, it has disappeared in recent years. On the other hand, in many of the analyzed markets, it was possible to generate above-average rates of return based on the January effect in recent years. The study divided January into shorter periods to identify the most profitable parts of the first month. It turned out that on average the highest rates of return are generated in the first five sessions of January.
3
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Calendar Effects in the Stock Markets of Central European Countries

51%
Szymański M., Wojtalik G.
Acta Universitatis Lodziensis. Folia Oeconomica
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2020
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vol. 5
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issue 350
27-51
PL
Według hipotezy rynku efektywnego inwestorzy nie są w stanie uzyskiwać ponadprzeciętnych zysków, ponieważ w każdej chwili ceny walorów w pełni odzwierciedlają informacje dostępne na ich temat. Jednakże na rynku występuje wiele anomalii kalendarzowych, co stanowi wyjątek od hipotezy efektywnego rynku. Głównym celem tego artykułu jest analiza i porównanie anomalii kalendarzowych – efektu miesiąca w roku i efektu dnia w tygodniu – na giełdach papierów wartościowych krajów Europy Środkowej (Polska, Węgry i Czechy). W pracy przeprowadzono krytyczną analizę literatury z zakresu anomalii rynkowych. Wyniki badań nie są jednoznaczne. Na polskiej giełdzie zaobserwowano anomalie w przypadku małych firm. Anomalie sezonowe zostały również zaobserwowane do pewnego stopnia na giełdzie węgierskiej oraz czeskiej.
EN
The efficient market hypothesis suggests that there are no opportunities to gain above‑normal profits using available information, because it is all reflected in the prices. However, calendar anomalies are found to contradict the efficient market hypothesis and enable investors to predict prices during specific days. Based on a review of papers on market efficiency and market anomalies, this paper examines and compares calendar effects known as ‘the month‑of‑the year effect’ and ‘the day‑of‑the‑week effect’ between the stock markets of three Central European countries: Poland, Hungary and the Czech Republic. The study has revealed the presence of calendar anomalies in the indexes representing small‑cap stocks listed on the Polish stock market and, to some extent, in the indexes used in the Hungarian and Czech stock markets.
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