In this paper we explore the impact of trading taxes (commissions) on day-of-the-week effect in the Lithuanian Stock market. We applied the computational model for processing trading activities only on the particular days of the week. The suggested algorithm of trading shares not only reveals presence of the day-of-the-week anomaly, but allows comparing it to the influence of the trading taxes by estimating the final return of the selected shares. As the taxes of each transaction depend on the investment sum, therefore the suggested algorithm had to optimize the number of operations for ensuring the biggest gain. The research revealed significance of intra-week stock return seasonality for majority of shares (17 out of total 24). The advantages of the suggested method include its ability to better specify the shares for performing intra-week seasonality-based transactions, even though embracing of the trading commissions reduces visibility of the effect. © 2008 Springer-Verlag Berlin Heidelberg.
CITATION STYLE
Sakalauskas, V., & Kriksciuniene, D. (2008). The impact of taxes on intra-week stock return seasonality. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 5102 LNCS, pp. 504–513). https://doi.org/10.1007/978-3-540-69387-1_57
Mendeley helps you to discover research relevant for your work.