We continue our investigation of international stock returns with a comprehensive coverage of the smaller stock exchanges around the world. Panel A of Table 6 lists the individual results for 18 additional countries, which include most remaining sizable stock exchanges in the world. The available return series for these countries vary in length, with the longest series starting in 1971 and the shortest series starting in 1982. An examination of Panel A reveals that the lunar-cycle effect found for the G-7 countries is pervasive around the world. 7 In fact, the most striking evidence of.
