This paper searches for seasonality patterns in performance of Greek equity mutual
funds during the period 2002-2005. Four types of seasonality are assessed:
day-of-the week effect, monthly effect, half-monthly effect and holidays’ effect.
Results reveal a negative Monday effect and a positive Friday effect. Monday
returns are also more volatile than the other day-of-the-week returns. Furthermore,
the paper demonstrates that the well- known January effect does not apply
to Greek equity funds while performance is not affected by any other monthly impact
either. However, a half-monthly effect is revealed, namely returns during the
first half of each month exceed these in the second half. Finally, a positive holiday
effect on returns is found in the week after Easter, August 15th and Christmas.