摘要：The motivation for testing anomalies in the selected financial markets in the region was primarily to help investors to devise a viable investment strategy.Taking into account the difficult circumstances faced by the capital markets in developing countries,their efficient operation is under question.While the calendar anomalies in the developed capital markets have been studied intensively,emerging stock markets have received less attention.The aim of this paper is to test historical data on movements of stock exchange indexes in the region,and in that way the possibility of gaining beyond average yields on capital in certain calendar months during the year,also known as the January effect.The paper aims to test the efficient market hypothesis(in terms of the presence or not of the 'January effect')in the financial markets in the region by using daily data of regional stock market indexes.Panel data analysis includes daily data during the period from 2008 to 2014 for the stock exchanges in the emergent economies of Serbia,Bosnia and Herzegovina,Macedonia,Montenegro,Croatia, Romania and Bulgaria.However,in this study it has been proven that the traditional January effect is present only on the stock market in Macedonia. The obtained results on capital markets in selected countries in the region indicate weak sustainability of the efficient market hypothesis in most of the observed countries in the region and the presence of calendar anomalies.
其他摘要：Motivacija za testiranje anomalija na odabranim finansijskim berzama u regionu predstavlja pomoć investitorima da uspostave isplative investicione strategije.Ako se uzmu u obzir otežane okolnosti sa kojima se suočavaju tržišta kapitala u zemljama u razvoju to dovodi u pitanje njihovo efikasno poslovanje.Dok su kalendarske anomalije na razvijenim tržištima kapitala istražene intezivno,berze u nastajanju su dobile manju pažnju.Cilj rada je da se testiranjem istorijskih podataka o kretanjima berzanskih indeksa u regionu,utvrdi mogućnost ostvarivanja iznadprosečnih prinosa na tržištu kapitala u određenim kalendarskim mesecima u toku godine,poznatiji kao efekat januara.Rad ima za cilj testiranje hipoteze efikasnosti tržišta(u smislu prisustva ili ne „Januarskog efekta”)na finansijskim berzama u regionu, koristeći se dnevnim podacima regionalnih berzanskih indeksa.Testiranje obuhvata panel dnevnih podataka u vremenskom periodu od 2008.do 2014. godine za finansijske berze,u rastućim ekonomijama,Srbiji,Bosni i Hercegovini,Makedoniji,Crnoj Gori,Hrvatskoj,Rumuniji i Bugarskoj. Međutim,u ovom istraživanju dokazano je da je tradicionalni januarski efekat prisutan samo na berzi u Makedoniji.Dobijeni rezltati testiranja tržišta kapitala u odabranim zemljama u regionu ukazuju na slabu održivost hipoteze efikasnosti tržišta u većini posmatranih zemalja u regionu i prisustvo kalendarskih anomalija.
