?url_ver=Z39.88-2004&rft_id=10.2139%2Fssrn.1595706&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F1628%2F&rft.title=The+Month-of-The-Year+Effect%3A+Evidence+from+GARCH+Models+in+Fifty+Five+Stock+Markets&rft.creator=Giovanis%2C+Eleftherios&rft.subject=HB+Economic+Theory&rft.subject=HD28+Management.+Industrial+Management&rft.description=This+paper+studies+the+month+of+the+year+effect%2C+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%2C+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%2C+with+higher+returns+on+the+specific+month%2C+while+February+effect+is+presented+in+nine+stock+markets%2C+followed+by+January+and+April+effects+in+seven+and+six+stock+markets+respectively.+These+patterns+provide+positive+and+highest+returns+on+the+mentioned+months%2C+while+a+pattern+where+a+specific+month+gives+a+persistence+signal+of+negative+returns+couldn%E2%80%99t+be+found.+&rft.date=2009-04&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.identifier=++Giovanis%2C+Eleftherios++The+Month-of-The-Year+Effect%3A+Evidence+from+GARCH+Models+in+Fifty+Five+Stock+Markets.++Working+Paper++%23+%2F2009++++++++++&rft.relation=http%3A%2F%2Fssrn.com%2Fabstract%3D1595706&rft.relation=10.2139%2Fssrn.1595706