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
Date Written: April 25, 2009
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: Suggested Citation