Investigating the existence of stock market anomalies on the Budapest Stock Exchange

Abstract

According to behavioral finance, investors are influenced by their emotions, they do not always make rational decisions, thereby providing an explanation for the phenomenon of stock market anomaly. In this study, we examined the existence of the calendar effect and the effect of the weather on the BUX index between 1991 and 2022; using a general linear model, a decomposition model, and an asymmetric GJR-GARCH model. The effect of the turn of the month and the New Year is statistically significant on the Hungarian stock market. Furthermore, via the examination of the intraday trading of OTP, MOL and Richter shares, we found that the trading volume between individual hours differs significantly, thus the lunch break and closing hour anomaly observed in international capital markets also transfers to the Hungarian market. Further results also reveal that significantly lower trading volume was observed on the Hungarian stock exchange on rainy days. Based on the results of the article, it is worth considering behavioral distortions when planning investments on the Hungarian stock market.