TY  - RPRT
EP  - 20
AV  - none
A1  - Giovanis, Eleftherios
TI  - The Month-of-The-Year Effect: Evidence from GARCH Models in Fifty Five Stock Markets
N2  - 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. 
VL  - 10.2139/ssrn.1595706
Y1  - 2009/04//
KW  - Keywords: Seasonality
KW  -  Stock Returns
KW  -  Calendar Effects
KW  -  Month of the Year Effect
KW  -  Asymmetric GARCH Models
KW  -  Asymmetry Tests
KW  -  January Effect  -  JEL Classification: C15
KW  -  H51
KW  -  I10
UR  - http://ssrn.com/abstract=1595706
ID  - eprints1628
M1  - working_paper
ER  -