Calendar effect on a small stock market

Abstract

In this article, the result of an examination of the efficiency of the Icelandic stock market is presented. Tests were conducted to find out if the market had shown temporal anomalies. The findings were that there was a clear relationship between days of the week and returns. The returns were, on average, negative in the beginning of the week and positive during the end. On average, returns were lowest on Tuesdays and highest on Fridays. On the other hand, there was no significant relationship between the months of the year and stock returns. The so-called “January effect” (i.e., abnormally high returns in January) was not detected. Returns were, on average, highest in August and lowest in October.