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The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets
20 pages
Published by
giovanis
The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five
Stock Markets
Eleftherios Giovanis
Abstract
This paper studies the month of the year effect, where January effect presents positive
and the highest returns of the...
[More]
The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five
Stock Markets
Eleftherios Giovanis
Abstract
This paper studies the month of the year effect, where January effect presents positive
and the highest returns of the other months of the year.
In order to investigate the
specific calendar effect in global level, fifty five stock market indices from fifty one
countries are examined.
Symmetric GARCH models are applied and based on
asymmetries tests asymmetric GARCH models are estimated.
The main findings of
this study is that a December effect is found on twenty stock markets, with higher
returns on the specific month, while February effect is presented in nine stock
markets, followed by January and April effects in seven and six stock markets
respectively.
These patterns provide positive and highest returns on the mentioned
months, while a pattern where a specific month gives a persistence signal of negative
returns couldn’t be found.
Keywords: seasonality, stock re
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Tags
december,
effect,
effects,
garch,
index,
january,
july,
markets,
model,
month,
negative,
positive,
returns,
significant,
stock,
test,
year
