Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects
“We apply standard regression models with dummy variables for the effects in the mean returns, while we apply GARCH(1,1) models with dummy variables for the effects in the volatility of returns.”
AssetEquitiesindices
StrategySeasonalitymachine learning
TechniqueClassical time series
GeographyEurope
Also stated: Daily, 2007–2014
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodSeasonality and calendar effects by year
FamilySeasonality and calendar effects15Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 987
AssetEquities14
AuthorsÁngel Pardo Tornero2
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