After describing the various concepts of efficiency information, valuation, full-insurance and functional with special reference to the Italian stock market, the paper analyzes the impact of particular dates and periods of the civil year and stock exchange calendars on stock price changes to test the existence of information inefficiencies. The analysis is based on the Milan Stock Exchange's "MIB storico" stock index with reference to the period 2 January - 22 August The events tested for systematic anomalies include weekend and public holidays, the end of the calendar and stock exchange months, and the end of the year.

The results obtained are in line with those found for the US market, with evidence of anomalous changes, though not all are stable over time. Barone, Emilio, The Italian Stock Market: Efficiency and Calendar Anomalies November Subscribe to this fee journal for more curated articles on this topic.

the italian stock market efficiency and calendar anomalies

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Emilio Barone Luiss - Guido Carli Dpt. Abstract After describing the various concepts of efficiency information, valuation, full-insurance and functional with special reference to the Italian stock market, the paper analyzes the impact of particular dates and periods of the civil year and stock exchange calendars on stock price changes to test the existence of information inefficiencies.

Emilio Barone Contact Author Luiss - Guido Carli Dpt. Download this Paper Open PDF in Browser.

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