The Month-of-The-Year Effect: Evidence from GARCH Models in Fifty Five Stock Markets

Aydın İktisat Fakültesi Dergisi, 1(1), 20-49, 2016

20 Pages Posted: 27 Apr 2010 Last revised: 19 Mar 2017

See all articles by Eleftherios Giovanis

Eleftherios Giovanis

Adnan Menderes University, Nazilli Faculty of Economics and Administrative Sciences; Economic Research Forum (ERF)

Date Written: April 25, 2009

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 Returns, Calendar Effects, Month of the Year Effect, Asymmetric GARCH Models, Asymmetry Tests, January Effect

JEL Classification: C15, H51, I10

Suggested Citation

Giovanis, Eleftherios, The Month-of-The-Year Effect: Evidence from GARCH Models in Fifty Five Stock Markets (April 25, 2009). Aydın İktisat Fakültesi Dergisi, 1(1), 20-49, 2016, Available at SSRN: https://ssrn.com/abstract=1595706 or http://dx.doi.org/10.2139/ssrn.1595706

Eleftherios Giovanis (Contact Author)

Adnan Menderes University, Nazilli Faculty of Economics and Administrative Sciences ( email )

Nazilli IIBF
Sumer Kampusu
Nazilli, Aydın 09800
Turkey

Economic Research Forum (ERF) ( email )

21 Al-Sad Al-Aaly St.
(P.O. Box: 12311)
Dokki, Cairo
Egypt

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