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AB Klaipėdos Nafta stocks seasonality analysis

AB Klaipėdos Nafta is one of the oldest stocks in Nasdaq Baltics stock exchange market. Date of equity listing (Secondary List): 16 January 1996. Date of equity listing (Main List): 4 April 2016

AB Klaipedos nafta (KNF1L ) ISIN LT0000111650
Records 3836

Possible seasonal trends in stock prices from Vilnius stock exchange will be analyzed . Some known historical market anomalies :are

  • January effect ( under performed stocks in the fourth quarter of the previous year tend to outperform the markets in January )
  • September effect ( it is generally believed that investors return from summer vacation in September ready to lock in gains )
  • Friday effect ( stock prices tend to move more on Fridays than Mondays )
  • Sunshine effect ( more sun makes people happier )

Lets analyze weekdays. Is it correct to say that Friday is more positive then other weekdays?

Weekday      Average return (%)
Monday       0.054033
Tuesday     -0.045794
Wednesday    0.005613
Thursday     0.037340
Friday       0.024541

Highest positive return is observed on Monday following by the only negative day of the week – Tuesday.

Test whether or not the average return for each weekday is statistically significantly different from the average return over all the months using a t-test.

Monday : Ttest_1sampResult(statistic=0.62079583257599,   pvalue=0.5349210735630046)
Tuesday : Ttest_1sampResult(statistic=-0.9765812107325494, pvalue=0.3290824374049611)
Wednesday : Ttest_1sampResult(statistic=-0.16681383349652154, pvalue=0.8675601025844539)
Thursday : Ttest_1sampResult(statistic=0.3712791528106866, pvalue=0.7105322889716879)
Friday : Ttest_1sampResult(statistic=0.14959328373957512, pvalue=0.8811250392334233)

Average weekday return over years also does not suggest any clear pattern. Some years Monday is among the best performing days (2010), while in other years it is among the worst (2019).

Lets’ analyze average monthly return.

Most profitable month for this stock clearly is July. Might be that first quarter results tend to be best. But if we analyze monthly return by year the patter is not so visible any more.

Test on all 31 days of the month is performed. None of the patters observed. If the year is volatile, stock tends to swing in both directions. Seems like market is quite efficient for Klaipedos nafta stock.

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