Emerging Market Regularities - the Case of Monthly Effects on the Warsaw Stock Exchange

Abstract

Purpose – Seasonality of equity returns has been widely discussed, mainly in relation to the efficient market theory. The study focuses on the re-examination of monthly anomalies for the Polish emerging market, incorporating the fact that the market has grown and developed in recent last years. Design/Methodology/approach – The empirical study is focused on equity market returns, considering the regularity of various seasonal anomalies on the Warsaw Stock Exchange during 1995-2015. Monthly equity returns, half-of-the-month effect, January barometer and turn-of-the-month effect are analysed with a buy-and-hold and cumulative approach. Findings – Differences in average monthly returns seem to be pronounced. The differences between the first and the second half of the month become considerable for small companies where averagely higher returns were reported for the second half of the month. The average returns for the turn-of-the-month periods were reported in comparison to the rest of the month. The January barometer anomaly was observed most often for small companies. Originality/value – The paper discusses monthly Polish security market regularities for all companies during 1995-2015. Moreover, the size effects for companies are checked for monthly anomalies.