Seasonality in the Baltic Stock Markets

Abstract

Investors look for opportunities to increase returns and therefore apply different trade strategies. One of the options is to make use of market anomalies. Purpose of this paper is to investigate trends of seasonality evidences in the Baltic stock markets and to determine whether trading strategy based on seasonal anomalies allow an investor to earn abnormal profit. In our research, the daily log return indexes of Nasdaq OMX Tallinn, Nasdaq OMX Riga, and Nasdaq OMX Vilnius in Baltic stock exchange were analyzed for the period of 2003 – 2014. The methodology of the research employed in investigating seasonality in daily returns, entails estimating a regression with dummies to capture month effects or Halloween effect. The research of the main seasonal anomalies “Halloween” and Month effect in the Baltic stock markets for the period of 2003 – 2014 evidenced that Halloween effect exists in Estonia and Month effect exists in Estonia and Lithuania.

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