Munich Personal RePEc Archive

Calendar Effects and Seasonality on Returns and Volatility

Giovanis, Eleftherios (2009): Calendar Effects and Seasonality on Returns and Volatility.

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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.

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