Calendar Anomalies in Athens Exchange Stock Market - An Application of GARCH Models and the Neural Network Radial Basis Function

22 Pages Posted: 9 Sep 2008

See all articles by Eleftherios Giovanis

Eleftherios Giovanis

Izmir Bakircay University Department of International Trade and Business; Economic Research Forum (ERF)

Date Written: September 8, 2008

Abstract

The purpose of this paper is to examine if there are calendar anomalies in the Greek Stock market and to confirm the findings of other researches. Specifically two models are presented, one for the day of the week effect test and other for the month of the year effect. We provide GARCH estimation in the models that present heteroscedasticity and we compare the forecasting results and performance with one of the many neural networks models, the radial basis function.

Keywords: day of the week and month effect, recursive OLS and GARCH, Radial basis function, neural networks, bootstrap

JEL Classification: C45, C51, C53, G12

Suggested Citation

Giovanis, Eleftherios, Calendar Anomalies in Athens Exchange Stock Market - An Application of GARCH Models and the Neural Network Radial Basis Function (September 8, 2008). Available at SSRN: https://ssrn.com/abstract=1264970 or http://dx.doi.org/10.2139/ssrn.1264970

Eleftherios Giovanis (Contact Author)

Izmir Bakircay University Department of International Trade and Business ( email )

Gazi Mustafa Kemal Mahallesi
Kaynak Caddesi Seyrek Menemen
Izmir, 35660
Turkey

Economic Research Forum (ERF) ( email )

21 Al-Sad Al-Aaly St.
(P.O. Box: 12311)
Dokki, Cairo
Egypt

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