Calendar anomaly in the Greek stock market: Stochastic dominance analysis ☆ Osamah M. Al-Khazali a, ⁎ , Evangelos P. Koumanakos b , Chong Soo Pyun c a American University of Sharjah, United Arab Emirates b National Bank of Greece, Greece c University of Memphis, United States Received 30 November 2006; received in revised form 10 February 2007; accepted 11 February 2007 Available online 20 February 2007 Abstract Using stochastic dominance (SD) analysis, this paper examines calendar anomalies in the Athens Stock Exchange (ASE), an emerging market thrust into a path of rapid transition by the economic integration of Greece with the European Union. SD offers two essential analytical attributes: It requires no assumptions regarding the normality of return distributions, and it imposes few restrictions on investors' risk-return tradeoff preference. Between 1985 and 2004, we find temporal predictability of returns in the ASE — a strong “day” effect and rather weak “week” and “January” effects. Our findings on the week and January effects are far less robust as compared to those reported in earlier studies based on parametric tests. © 2007 Elsevier Inc. All rights reserved. JEL classification: G15; C32; E44 Keywords: January effect; Week effect; Day effect; Stochastic dominance; Seasonality; Cumulative density function 1. Introduction There are, perhaps, few stock exchanges in the world that have raced forward as swiftly as was recorded by the Athens Stock Exchange (ASE). 1 In the twenty year period between 1985 and Available online at www.sciencedirect.com International Review of Financial Analysis 17 (2008) 461 – 474 ☆ Comments of David Ding and Michael Gootzeit are gratefully acknowledged. This research was partially supported by a Fogelman College Summer Research Grant at the University of Memphis. ⁎ Corresponding author. Accounting and Finance Department, School of Business and Management, American University of Sharjah, P. O. Box 26666, Sharjah, United Arab Emirates. Tel.: +971 6 515 2320; fax: +971 6 5585065. E-mail address: kazali@aus.edu (O.M. Al-Khazali). 1 The merger of ASE and Athens Derivatives Exchange formed the Athens Exchange (ATHEX) in 2002. This study focuses on trading activities of the ATHEX represented by the Athens Stock Exchange General Index. 1057-5219/$ - see front matter © 2007 Elsevier Inc. All rights reserved. doi:10.1016/j.irfa.2007.02.001