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Calendar Effects and Seasonality on Returns and Volatility

Author

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  • Giovanis, Eleftherios
Abstract
This study examines the calendar effects in 55 Stock market exchange indices around the globe. The effects which are examined are the turn-of-the-Month effect, day-of-the-Week effect, Month-of the-Year effect and semi-Month effect. The methodology followed is the test hypothesis with bootstrap simulated t-statistics. A seasonality test is to investigate if there is more certain seasonality on expected returns or in volatility. The conclusion is that we reject all calendar effects in a global level, except from the turn-of-the-Month effect, which is presented in 36 stock indices. Moreover there is higher seasonality in volatility rather on expected returns, concerning the day of the week and the month of the year effects.

Suggested Citation

  • Giovanis, Eleftherios, 2009. "Calendar Effects and Seasonality on Returns and Volatility," MPRA Paper 64404, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:64404
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    References listed on IDEAS

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    Cited by:

    1. Zaremba, Adam, 2019. "Price range and the cross-section of expected country and industry returns," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 174-189.

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    More about this item

    Keywords

    Calendar Effects; Seasonality; Stock returns;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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