The Italian Stock Market: Efficiency and Calendar Anomalies

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 1975-22 August 1989. 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 U.S. market, with evidence of anomalous changes, though not all are stable over time.