eprintid: 1628
rev_number: 9
eprint_status: archive
userid: 6
dir: disk0/00/00/16/28
datestamp: 2013-07-08 13:44:34
lastmod: 2014-01-24 14:24:45
status_changed: 2013-07-08 13:44:34
type: monograph
metadata_visibility: show
creators_name: Giovanis, Eleftherios
creators_id: eleftherios.giovanis@imtlucca.it
title: The Month-of-The-Year Effect: Evidence from GARCH Models in Fifty Five Stock Markets
ispublished: pub
subjects: HB
subjects: HD28
divisions: EIC
full_text_status: none
monograph_type: working_paper
keywords: Keywords: Seasonality, Stock Returns, Calendar Effects, Month of the Year Effect, Asymmetric GARCH Models, Asymmetry Tests, January Effect  -  JEL Classification: C15, H51, I10
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. 
date: 2009-04
date_type: published
number:  
pages: 20
id_number: 10.2139/ssrn.1595706
institution: IMT Institute for Advanced Studies Lucca
official_url: http://ssrn.com/abstract=1595706
citation:   Giovanis, Eleftherios  The Month-of-The-Year Effect: Evidence from GARCH Models in Fifty Five Stock Markets.  Working Paper  # /2009